# EDGAR Filing Document

**Accession Number:** 0001027263
**File Stem:** 0002071691-26-005145
**Filing Date:** 2026-2
**Character Count:** 341419
**Document Hash:** 8150ca04cabca396e9091989b4790f3e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-005145.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0002071691-26-005145

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EQ ADVISORS TRUST
- **CENTRAL INDEX KEY:** 0001027263

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07953
- **FILM NUMBER:** 26694178

**BUSINESS ADDRESS:**
- **STREET 1:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105
- **BUSINESS PHONE:** 212-554-1234

**MAIL ADDRESS:**
- **STREET 1:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 787 TRUST
- **DATE OF NAME CHANGE:** 19961125

## Series and Classes Contracts Data

### EQ/PIMCO Total Return ESG Portfolio (Series ID: S000062647)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000203174 | Class IB     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EQ Advisors Trust

- **b. Investment Company Act file number:** 811-07953

- **c. CIK number of Registrant:** 0001027263

- **d. LEI of Registrant:** 549300Q691FLN6WHB832

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

  - **Street Address 1:** 1345 Avenue of the Americas

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10105

  - **Telephone number:** 212-554-1234

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

- **a. Name of Series:** EQ/PIMCO Total Return ESG Portfolio

- **b. EDGAR series identifier (if any):** S000062647

- **c. LEI of Series:** 549300NBLWYBHQJNZR73

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $371214684.75

**Total Liabilities:** $108676422.65

**Net Assets:** $262538262.10

**Cash Not Reported:** $500788.82

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 29390.31000000 | **1-Year:** 4525.62000000 | **5-Year:** 16773.66000000 | **10-Year:** 17690.66000000 | **30-Year:** 29592.08000000

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

- **3-Month:** 21.59000000 | **1-Year:** 170.26000000 | **5-Year:** 590.67000000 | **10-Year:** 2308.66000000 | **30-Year:** 327.87000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203174 | 0.93%                | 0.61%                | 0.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-652594.21              | $1702988.92                                |
| Month 2  | $-273793.61              | $827946.26                                 |
| Month 3  | $236262.31               | $-1238105.83                               |

**Designated Index Information**

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

- **Index Identifier:** LEH_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AES Corp. (The)                                                              | AES Corp. (The)                                                                                        | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1398488.70   | 0.53%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Ares XXVII CLO Ltd.                                                          | Ares XXVII CLO Ltd., Series 2013-2A, Class AR3                                                         | CUSIP: 00190YBP9<br>LEI: 549300BC3E2Y44TL8536 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700225.40    | 0.27%             | 2034-10-28      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                                                       | AP Moller - Maersk A/S                                                                                 | CUSIP: 00203QAE7<br>LEI: 549300D2K6PKKKXVNN73 | Long             | DBT              | CORP              | DK        |    700000 | PA      | $707164.50    | 0.27%             | 2029-06-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                                                       | AP Moller - Maersk A/S                                                                                 | CUSIP: 00203QAF4<br>LEI: 549300D2K6PKKKXVNN73 | Long             | DBT              | CORP              | DK        |    300000 | PA      | $319820.10    | 0.12%             | 2033-09-14      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Abu Dhabi National Energy Co. PJSC                                           | Abu Dhabi National Energy Co. PJSC                                                                     | CUSIP: 00388WAP6<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    500000 | PA      | $490315.00    | 0.19%             | 2037-03-09      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                               | Accredited Mortgage Loan Trust, Series 2006-2, Class A4                                                | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17169 | PA      | $17101.90     | 0.01%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   1300000 | PA      | $20945.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   1600000 | PA      | $26391.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $1446.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $878.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3500000 | PA      | $14835.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    900000 | PA      | $-15221.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   5300000 | PA      | $499724.52    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $138061.63    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $16885.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $-11990.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $-17114.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1700000 | PA      | $-13790.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-1403.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    250000 | PA      | $-2382.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    450000 | PA      | $-4536.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $-7094.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-5353.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $-5400.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2467.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-5026.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $-6567.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $-13226.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    630000 | PA      | $-3865.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-3838.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-4745.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $133944.42    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $17784.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $17640.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $16278.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $32905.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $18276.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $27469.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $27856.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $17011.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $35339.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $8739.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $15109.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $15179.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-18743.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6400000 | PA      | $-226726.68   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1080000 | PA      | $108761.15    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  12015295 | PA      | $-114749.18   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-1109.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $-5935.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-10203.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $-31663.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $1747.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $1836.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $1281.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $1274.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $724.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $169.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $275.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-901.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-416.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $75.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2128.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $3378.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2095.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     80000 | PA      | $-731.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2530.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2530.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  31000000 | PA      | $8887.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 229000000 | PA      | $65416.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 229000000 | PA      | $64656.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  20000000 | PA      | $5990.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  31000000 | PA      | $8891.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-1248.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    806363 | PA      | $-681.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    317530 | PA      | $-239.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   6128216 | PA      | $-5147.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1370785 | PA      | $-1203.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    699208 | PA      | $-611.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    483738 | PA      | $-286.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    444505 | PA      | $-228.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-917.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    140000 | PA      | $-1379.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-1112.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-1244.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-651.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-699.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-684.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    181000 | PA      | $-2567.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    191000 | PA      | $-2388.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    181000 | PA      | $-2290.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   4402984 | PA      | $967.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   6161055 | PA      | $11308.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2542573 | PA      | $-2400.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1525195 | PA      | $2926.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1450000 | PA      | $-26905.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1450000 | PA      | $-24054.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1450000 | PA      | $-25910.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1450000 | PA      | $-24199.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $59117.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $58784.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      1000 | PA      | $74.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    679000 | PA      | $51927.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $3747.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    500000 | PA      | $676.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    400000 | PA      | $610.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $301.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $136.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   8900000 | PA      | $15892.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDIT                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    360000 | PA      | $3844.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDIT                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    140000 | PA      | $1535.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $2304.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDIT                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $925.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange USD/KRW                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |   -848000 | PA      | $-1502.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange USD/KRW                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    848000 | PA      | $5042.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange USD/KRW                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |   -446000 | PA      | $-623.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange USD/KRW                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    446000 | PA      | $2454.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange USD/KRW                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |    294000 | PA      | $1596.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange USD/KRW                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |   -294000 | PA      | $-424.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-6.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $2120.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $1560.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-27.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-25.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $87.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    235000 | PA      | $250.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -100000 | PA      | $-14.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -100000 | PA      | $-77.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -100000 | PA      | $-40.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -100000 | PA      | $-37.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -100000 | PA      | $-65.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -100000 | PA      | $-83.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7100000 | PA      | $6278507.99   | 2.39%             | 2056-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11200000 | PA      | $10323250.56  | 3.93%             | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7650000 | PA      | $7258534.97   | 2.76%             | 2056-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $390406.24    | 0.15%             | 2056-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21400000 | PA      | $21687562.50  | 8.26%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5930000 | PA      | $6088905.62   | 2.32%             | 2056-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                         | Ally Financial, Inc.                                                                                   | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1413124.95   | 0.54%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA11, Class A1B                                                    | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201984 | PA      | $199467.70    | 0.08%             | 2046-09-25      | Floating      | 4.23%                 | 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        |    172104 | PA      | $166181.37    | 0.06%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                         | American Airlines Pass-Through Trust, Series 2016-3, Class A                                           | CUSIP: 023771S25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114632 | PA      | $108779.15    | 0.04%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ameren Missouri Securitization Funding I LLC                                 | Ameren Missouri Securitization Funding I LLC, Series A-1                                               | CUSIP: 023940AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    674441 | PA      | $677768.39    | 0.26%             | 2039-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                         | American Tower Corp.                                                                                   | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $356697.84    | 0.14%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-R9, Class M1 | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36582 | PA      | $36377.52     | 0.01%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                               | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A                               | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    323155 | PA      | $323155.30    | 0.12%             | 2037-01-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                                  | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5                                 | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $563411.22    | 0.21%             | 2053-05-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| Argent Securities Trust                                                      | Argent Securities Trust, Series 2006-W2, Class A2B                                                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200338 | PA      | $108533.00    | 0.04%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                               | BCAP LLC Trust, Series 2007-AA2, Class 12A1                                                            | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40717 | PA      | $39659.62     | 0.02%             | 2047-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                               | BCAP LLC Trust, Series 2011-RR5, Class 12A1                                                            | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5146 | PA      | $5131.27      | 0.00%             | 2037-03-26      | Variable      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| BMW US Capital LLC                                                           | BMW US Capital LLC                                                                                     | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202359.32    | 0.08%             | 2028-03-21      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                                      | BPCE SA                                                                                                | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $530164.75    | 0.20%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| BNG Bank NV                                                                  | BNG Bank NV                                                                                            | CUSIP: 05591F2Y5<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | NUSS              | NL        |    600000 | PA      | $621156.84    | 0.24%             | 2030-02-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BRSP Ltd.                                                                    | BRSP Ltd., Series 2021-FL1, Class A                                                                    | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    291991 | PA      | $291632.69    | 0.11%             | 2038-08-19      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BMW Vehicle Lease Trust                                                      | BMW Vehicle Lease Trust, Series 2024-1, Class A3                                                       | CUSIP: 05611UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275746 | PA      | $276590.84    | 0.11%             | 2027-03-25      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                               | Banc of America Mortgage Trust, Series 2003-D, Class 2A4                                               | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31 | PA      | $30.19        | 0.00%             | 2033-05-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                                | Banc of America Funding Trust, Series 2007-2, Class 1A2                                                | CUSIP: 05951GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48149 | PA      | $37323.84     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                                | Banc of America Funding Trust, Series 2005-D, Class A1                                                 | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3414 | PA      | $3206.40      | 0.00%             | 2035-05-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                        | Bank of America Corp.                                                                                  | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $623222.82    | 0.24%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                                 | Barclays plc                                                                                           | CUSIP: 06738EBR5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $637314.44    | 0.24%             | 2032-03-10      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                      | Bayer US Finance II LLC                                                                                | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600625.20    | 0.23%             | 2028-12-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-8, Class 2A1                                                       | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13572 | PA      | $12616.90     | 0.00%             | 2034-11-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-10, Class 22A1                                                     | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2906 | PA      | $2605.29      | 0.00%             | 2035-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-10, Class 23A1                                                     | CUSIP: 07384M4K5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       953 | PA      | $904.40       | 0.00%             | 2035-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-1, Class 12A5                                                      | CUSIP: 07384MG97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6523 | PA      | $5826.64      | 0.00%             | 2034-04-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-3, Class 1A1                                                       | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6200 | PA      | $5817.67      | 0.00%             | 2034-07-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2002-11, Class 1A1                                                      | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8 | PA      | $8.97         | 0.00%             | 2033-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2003-1, Class 6A1                                                       | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       492 | PA      | $494.84       | 0.00%             | 2033-04-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2003-8, Class 2A1                                                       | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3220 | PA      | $3076.80      | 0.00%             | 2034-01-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2006-3, Class 35A1                                                    | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45850 | PA      | $21559.29     | 0.01%             | 2036-05-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A1                                                    | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10348 | PA      | $9918.59      | 0.00%             | 2035-05-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1                                                    | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15658 | PA      | $8322.53      | 0.00%             | 2035-09-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                 | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE7, Class 2A2                               | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12263 | PA      | $12054.03     | 0.00%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                 | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 1A2                               | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95092 | PA      | $93617.99     | 0.04%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products, Inc. Trust                                 | Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1                                | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18726 | PA      | $13048.07     | 0.00%             | 2036-01-26      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products, Inc. Trust                                 | Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1                                | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19191 | PA      | $15081.71     | 0.01%             | 2046-12-26      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Beignet Investor LLC                                                         | Beignet Investor LLC                                                                                   | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2900000 | PA      | $3059500.00   | 1.17%             | 2049-05-30      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                     | Benchmark Mortgage Trust, Series 2019-B9, Class A5                                                     | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $787788.40    | 0.30%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                        | BlueMountain CLO Ltd., Series 2018-3A, Class A1R                                                       | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    206010 | PA      | $206276.58    | 0.08%             | 2030-10-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                               | BNP Paribas SA                                                                                         | CUSIP: 09659W2C7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $296804.04    | 0.11%             | 2027-11-16      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain Fuji Eur CLO V DAC                                              | BlueMountain Fuji Eur CLO V DAC, Series 5A, Class A                                                    | CUSIP: N/A<br>LEI: 635400IYPG2G6NM3OV52       | Long             | ABS-CBDO         | CORP              | IE        |    562848 | PA      | $660858.50    | 0.25%             | 2033-01-15      | Floating      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                               | Broadcom, Inc.                                                                                         | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    115000 | PA      | $99145.01     | 0.04%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance I UK plc                                                  | Brookfield Finance I UK plc                                                                            | CUSIP: 11272BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    700000 | PA      | $613218.90    | 0.23%             | 2032-01-30      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| C-Bass Trust                                                                 | C-Bass Trust, Series 2006-CB9, Class A1                                                                | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10417 | PA      | $4557.90      | 0.00%             | 2036-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                              | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class ASB                                             | CUSIP: 12532BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48238 | PA      | $48105.30     | 0.02%             | 2054-12-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                    | Commercial Mortgage Trust, Series 2018-COR3, Class A3                                                  | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $687097.04    | 0.26%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2005-HYB9, Class 3A2A                                          | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1317 | PA      | $1172.54      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-3, Class M2                                         | CUSIP: 126670WD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606689 | PA      | $593944.93    | 0.23%             | 2036-06-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2005-32T1, Class A3                                                     | CUSIP: 12667GC84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85582 | PA      | $44620.94     | 0.02%             | 2035-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-21, Class 2A4                                       | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195596 | PA      | $186979.85    | 0.07%             | 2037-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA3, Class 1A1                                                     | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24226 | PA      | $21206.35     | 0.01%             | 2036-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2004-22, Class A3                                              | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10836 | PA      | $10403.14     | 0.00%             | 2034-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2004-HYB9, Class 1A1                                           | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1466 | PA      | $1461.39      | 0.00%             | 2035-02-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| California Health Facilities Financing Authority                             | California Health Facilities Financing Authority                                                       | CUSIP: 13032UD88<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |   1300000 | PA      | $1241898.71   | 0.47%             | 2037-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                      | CenterPoint Energy Houston Electric LLC                                                                | CUSIP: 15189XBC1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    300000 | PA      | $285940.74    | 0.11%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                         | Charter Communications Operating LLC                                                                   | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $748488.00    | 0.29%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                 | Chase Mortgage Finance Trust, Series 2005-A2, Class 3A5                                                | CUSIP: 16162WQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23573 | PA      | $21209.70     | 0.01%             | 2036-01-25      | Variable      | 4.39%                 | 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      | $-1586.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1756.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-47674.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Chile                                                            | Republic of Chile                                                                                      | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    900000 | PA      | $919350.00    | 0.35%             | 2029-01-22      | Fixed         | 4.85%                 | 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      | $-759.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Choice Hotels International, Inc.                                            | Choice Hotels International, Inc.                                                                      | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |    700000 | PA      | $681115.33    | 0.26%             | 2029-12-01      | Fixed         | 3.70%                 | 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      | $300.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $754.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $67.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4396.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1117.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1831.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1224.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1665.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1786.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-8561.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1414.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $467.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $295.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                          | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4                                          | CUSIP: 17307GRE0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      3987 | PA      | $3838.65      | 0.00%             | 2035-05-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A                                               | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1386 | PA      | $1417.95      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                          | Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2                                           | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     21315 | PA      | $21302.77     | 0.01%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2006-WF2, Class A1                                               | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94773 | PA      | $47151.82     | 0.02%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2009-7, Class 5A2                                                | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53336 | PA      | $25347.40     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $14779.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $30968.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6557.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1186.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2570.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $25559.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5815.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6137.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1882.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-173.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1807.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-75117.22    | -0.03%            |  |  |  | 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      | $-8902.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $50.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5523.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-108876.68   | -0.04%            |  |  |  | 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      | $-91975.78    | -0.04%            |  |  |  | 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      | $-7307.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7409.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-45358.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1565.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1291.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-380.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11034.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2835.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $468.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5763.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-508.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $645.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $984.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4211.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $189.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3488.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $354.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1039.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-79.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4456.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-365.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-101.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-71.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1807.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-24.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2041.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Clearway Energy Operating LLC                                                | Clearway Energy Operating LLC                                                                          | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    600000 | PA      | $559974.00    | 0.21%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust                                          | American Home Mortgage Assets Trust, Series 2006-5                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    476974 | PA      | $64165.60     | 0.02%             | 2036-06-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates               | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2006-M1, Class A2C              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    613511 | PA      | $160897.51    | 0.06%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2040000 | PA      | $2036175.00   | 0.78%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3850500 | PA      | $3921343.04   | 1.49%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COPT Defense Properties LP                                                   | COPT Defense Properties LP                                                                             | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    800000 | PA      | $797059.60    | 0.30%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $297063.15    | 0.11%             | 2031-04-01      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                           | Crown Castle, Inc.                                                                                     | CUSIP: 22823QAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | STIV             | CORP              | US        |    700000 | PA      | $698368.86    | 0.27%             | 2026-01-20      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Crown Point CLO 7 Ltd.                                                       | Crown Point CLO 7 Ltd., Series 2018-7A, Class AR                                                       | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     90005 | PA      | $90020.56     | 0.03%             | 2031-10-20      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA12, Class A1B                                                    | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34687 | PA      | $36138.85     | 0.01%             | 2046-09-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-24, Class 1A                                        | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    576712 | PA      | $528591.09    | 0.20%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                                              | DC Office Trust, Series 2019-MTC, Class A                                                              | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1181358.49   | 0.45%             | 2045-09-15      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| DOLP Trust                                                                   | DOLP Trust, Series 2021-NYC, Class A                                                                   | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $899374.10    | 0.34%             | 2041-05-10      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                          | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 1A1                          | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2028 | PA      | $2006.74      | 0.00%             | 2035-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust                                | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2, Class A1                               | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81694 | PA      | $78283.46     | 0.03%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                                                      | EMC Mortgage Loan Trust, Series 2001-A, Class A                                                        | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1722 | PA      | $1717.15      | 0.00%             | 2040-05-25      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| EPR Properties                                                               | EPR Properties                                                                                         | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    800000 | PA      | $740596.00    | 0.28%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Edison International                                                         | Edison International                                                                                   | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    350000 | PA      | $365322.86    | 0.14%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                           | Elevation CLO Ltd., Series 2022-16A, Class A1AR                                                        | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700113.40    | 0.27%             | 2034-07-25      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                                | Enel Finance International NV                                                                          | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2300000 | PA      | $2186389.89   | 0.83%             | 2028-07-12      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $948103.10    | 0.36%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    800000 | PA      | $724479.28    | 0.28%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1151425.56   | 0.44%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| European Investment Bank                                                     | European Investment Bank                                                                               | CUSIP: 298785JV9<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | US        |    500000 | PA      | $492338.00    | 0.19%             | 2033-02-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                              | NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D                                              | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94314 | PA      | $26292.03     | 0.01%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                            | Eversource Energy                                                                                      | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    500000 | PA      | $497546.60    | 0.19%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                                          | Expedia Group, Inc.                                                                                    | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $479662.95    | 0.18%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                                                    | FHF Trust, Series 2023-1A, Class A2                                                                    | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63307 | PA      | $63620.36     | 0.02%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                                             | FHF Issuer Trust, Series 2024-2A, Class A2                                                             | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    339768 | PA      | $340814.79    | 0.13%             | 2030-06-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128KKPB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20934 | PA      | $22078.67     | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128M8Q80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19265 | PA      | $18925.06     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128P7LZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5235 | PA      | $5258.65      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3131Y9ZL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18520 | PA      | $17407.87     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DMG82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11922 | PA      | $11202.56     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DNG64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    868560 | PA      | $805295.67    | 0.31%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16836 | PA      | $15819.81     | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14653 | PA      | $13769.05     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DVM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400941 | PA      | $418909.43    | 0.16%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1909936 | PA      | $1696084.66   | 0.65%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386397 | PA      | $368677.88    | 0.14%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4962485 | PA      | $4975154.63   | 1.90%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728372 | PA      | $740207.67    | 0.28%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWLL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46678 | PA      | $47407.49     | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224388 | PA      | $230622.18    | 0.09%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50991 | PA      | $47859.22     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 31334XML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28648 | PA      | $26928.00     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                         | FHLB                                                                                                   | CUSIP: 313385VP8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |   3900000 | PA      | $3860363.13   | 1.47%             | 2026-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                         | FHLB                                                                                                   | CUSIP: 313385VR4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |   2400000 | PA      | $2375161.68   | 0.90%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                         | FHLB                                                                                                   | CUSIP: 313385XZ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |    400000 | PA      | $393724.96    | 0.15%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133BHJQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210570 | PA      | $206601.22    | 0.08%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133BNCS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270951 | PA      | $258525.98    | 0.10%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133BWPG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3628728 | PA      | $3460051.78   | 1.32%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133C1LA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41076 | PA      | $39141.34     | 0.01%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133KQM78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4765951 | PA      | $4778118.91   | 1.82%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133KRBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1603687 | PA      | $1572082.55   | 0.60%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133KRD92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    665536 | PA      | $678222.77    | 0.26%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 2248, Class FB                                                                           | CUSIP: 3133TPV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.06        | 0.00%             | 2030-09-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133WBMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    865207 | PA      | $879996.34    | 0.34%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2015-58, Class AI                                                                         | CUSIP: 3136APU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114380 | PA      | $6297.17      | 0.00%             | 2055-08-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA ACES, Series 2020-M33, Class X2                                                                   | CUSIP: 3136BBAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840981 | PA      | $89222.43     | 0.03%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2025-83, Class FA                                                                         | CUSIP: 3136BXVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490274 | PA      | $491949.14    | 0.19%             | 2055-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 4989, Class FA                                                                           | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149057 | PA      | $146594.59    | 0.06%             | 2040-08-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 4989, Class FB                                                                           | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108815 | PA      | $106961.76    | 0.04%             | 2040-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 5560, Class FB                                                                           | CUSIP: 3137HLZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442508 | PA      | $445180.25    | 0.17%             | 2055-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138AU6B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5967 | PA      | $5972.05      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA                                                                                                   | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63171 | PA      | $65021.22     | 0.02%             | 2038-05-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138EPLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26938 | PA      | $26887.21     | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138ERDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7065 | PA      | $7104.04      | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2003-25, Class KP                                                                         | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4200 | PA      | $4210.08      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2004-W2, Class 5AF                                                                        | CUSIP: 31393XGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3155 | PA      | $3145.82      | 0.00%             | 2044-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2005-79, Class NF                                                                         | CUSIP: 31394FHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3017 | PA      | $2998.04      | 0.00%             | 2035-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2006-5, Class 3A2                                                                         | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1279 | PA      | $1310.31      | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC Structured Pass-Through Certificates, Series T-63, Class 1A1                                     | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2233 | PA      | $2177.22      | 0.00%             | 2045-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2006-118, Class A1                                                                        | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2270 | PA      | $2219.41      | 0.00%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2007-73, Class A1                                                                         | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5049 | PA      | $4955.73      | 0.00%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2007-42, Class AF                                                                         | CUSIP: 31396VN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       321 | PA      | $316.83       | 0.00%             | 2037-05-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 3360, Class FC                                                                           | CUSIP: 31397KE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2805 | PA      | $2810.70      | 0.00%             | 2037-05-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26943 | PA      | $27869.75     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12670 | PA      | $13105.72     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140A1GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690961 | PA      | $702404.48    | 0.27%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140ACW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555008 | PA      | $566281.05    | 0.22%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140ACWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48604 | PA      | $49350.19     | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140AFCP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57842 | PA      | $58890.40     | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140B0B56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39739 | PA      | $39765.54     | 0.02%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140JAJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9412 | PA      | $8823.55      | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QSMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245819 | PA      | $247906.48    | 0.09%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QSPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345526 | PA      | $348135.40    | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QSST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889032 | PA      | $847151.26    | 0.32%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QSSU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900679 | PA      | $883773.10    | 0.34%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QTED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29858 | PA      | $30445.74     | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140XQZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269968 | PA      | $262546.93    | 0.10%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31414LB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17451 | PA      | $18131.09     | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19570 | PA      | $19965.29     | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7864 | PA      | $7372.26      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38961 | PA      | $39593.72     | 0.02%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713341 | PA      | $732658.20    | 0.28%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36610 | PA      | $37204.74     | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8559592 | PA      | $8412302.68   | 3.20%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61262 | PA      | $62353.52     | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1453241 | PA      | $1492103.66   | 0.57%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 31426UJU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715857 | PA      | $717013.63    | 0.27%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 31426WSE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31586 | PA      | $31657.21     | 0.01%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3142GQEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378977 | PA      | $360413.29    | 0.14%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3142GRGT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8358886 | PA      | $8494713.00   | 3.24%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                                             | FHF Issuer Trust, Series 2024-1A, Class A2                                                             | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226385 | PA      | $227268.91    | 0.09%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| First American Financial Corp.                                               | First American Financial Corp.                                                                         | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    700000 | PA      | $677111.96    | 0.26%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                          | First Horizon Alternative Mortgage Securities Trust, Series 2005-AA6, Class 3A1                        | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27705 | PA      | $22766.80     | 0.01%             | 2035-08-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                                    | First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1                                  | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16815 | PA      | $15244.92     | 0.01%             | 2035-10-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                    | Florida Power & Light Co.                                                                              | CUSIP: 341081GK7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102497.17    | 0.04%             | 2028-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                      | Fremont Home Loan Trust, Series 2006-E, Class 2A1                                                      | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1967 | PA      | $876.88       | 0.00%             | 2037-01-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                      | Fremont Home Loan Trust, Series 2005-D, Class M1                                                       | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267788 | PA      | $245918.22    | 0.09%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171411 | PA      | $170304.83    | 0.06%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2317 | PA      | $2353.66      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29175 | PA      | $29641.42     | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    854566 | PA      | $869556.74    | 0.33%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3617A36W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10778 | PA      | $9817.58      | 0.00%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3617A8MD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24521 | PA      | $22295.39     | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36185G6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4929 | PA      | $4472.11      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3618N5AY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552139 | PA      | $503241.19    | 0.19%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3618N5PE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    989492 | PA      | $900857.59    | 0.34%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3618N5RC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2782700 | PA      | $2629468.37   | 1.00%             | 2055-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                      | GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1                                                    | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12282 | PA      | $11760.57     | 0.00%             | 2035-09-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                      | GSR Mortgage Loan Trust, Series 2005-AR7, Class 6A1                                                    | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3740 | PA      | $3257.25      | 0.00%             | 2035-11-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                  | GSAMP Trust, Series 2006-NC2, Class A2B                                                                | CUSIP: 362463AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104769 | PA      | $56190.50     | 0.02%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                 | GS Mortgage Securities Trust, Series 2016-GS3, Class WMB                                               | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91319.21     | 0.03%             | 2049-10-10      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                           | GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A                                          | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339416 | PA      | $294027.50    | 0.11%             | 2034-05-10      | Fixed         | 2.86%                 | Yes           |                  2 | On Loan: No      |
| GSPA Monetization Trust                                                      | GSPA Monetization Trust                                                                                | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159026 | PA      | $164421.54    | 0.06%             | 2029-10-09      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                                        | Global Payments, Inc.                                                                                  | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    700000 | PA      | $648423.23    | 0.25%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                              | Goldman Sachs Group, Inc. (The)                                                                        | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $522504.30    | 0.20%             | 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        |    500000 | PA      | $512591.40    | 0.20%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                              | Goldman Sachs Group, Inc. (The)                                                                        | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $506862.05    | 0.19%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                       | Goldman Sachs Bank USA                                                                                 | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500256.05    | 0.19%             | 2027-05-21      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Solutions Trust                                    | GoodLeap Sustainable Home Solutions Trust, Series 2023-3C, Class A                                     | CUSIP: 38237CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394754 | PA      | $390027.97    | 0.15%             | 2055-07-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Solutions Trust                                    | GoodLeap Sustainable Home Solutions Trust, Series 2022-2CS, Class A                                    | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681995 | PA      | $606183.42    | 0.23%             | 2049-04-20      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                                 | Goodman US Finance Three LLC                                                                           | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $494613.90    | 0.19%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2017-H10, Class FB                                                                        | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130450 | PA      | $131996.69    | 0.05%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H22, Class FA                                                                        | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65475 | PA      | $65689.31     | 0.03%             | 2066-10-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2015-H18, Class FB                                                                        | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85379 | PA      | $85447.55     | 0.03%             | 2065-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2015-H19, Class FK                                                                        | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74164 | PA      | $74208.46     | 0.03%             | 2065-08-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H02, Class FH                                                                        | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31783 | PA      | $31962.02     | 0.01%             | 2066-01-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H14, Class FA                                                                        | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34181 | PA      | $34303.12     | 0.01%             | 2066-06-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H17, Class FM                                                                        | CUSIP: 38376RXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       413 | PA      | $411.40       | 0.00%             | 2066-08-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H17, Class FC                                                                        | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127088 | PA      | $127623.52    | 0.05%             | 2066-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H20, Class PT                                                                        | CUSIP: 38376RYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162476 | PA      | $166857.16    | 0.06%             | 2066-09-20      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2018-38, Class WF                                                                         | CUSIP: 38380V2S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110208 | PA      | $106941.62    | 0.04%             | 2043-10-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2023-H02, Class FA                                                                        | CUSIP: 38382YN82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290683 | PA      | $292987.26    | 0.11%             | 2073-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC                                 | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A2                                  | CUSIP: 39154GAH9<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |    498957 | PA      | $500640.90    | 0.19%             | 2027-10-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                       | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A3                                       | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $507126.50    | 0.19%             | 2060-03-25      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Greywolf CLO III Ltd.                                                        | Greywolf CLO III Ltd., Series 2020-3RA, Class A1R2                                                     | CUSIP: 39809CAY0<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |    609925 | PA      | $610277.08    | 0.23%             | 2033-04-22      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| HA Sustainable Infrastructure Capital, Inc.                                  | HA Sustainable Infrastructure Capital, Inc.                                                            | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514844.65    | 0.20%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                    | HCA, Inc.                                                                                              | CUSIP: 40412DA74<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | STIV             | CORP              | US        |    437000 | PA      | $436660.98    | 0.17%             | 2026-01-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                                    | HCA, Inc.                                                                                              | CUSIP: 40412DAD1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | STIV             | CORP              | US        |    263000 | PA      | $262619.33    | 0.10%             | 2026-01-13      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                            | HSBC Holdings plc                                                                                      | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $512476.15    | 0.20%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-2, Class 2A1A                                              | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5284 | PA      | $5150.22      | 0.00%             | 2035-05-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-4, Class 3A1                                               | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20081 | PA      | $14896.01     | 0.01%             | 2035-07-19      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-12, Class 2A12                                             | CUSIP: 41161PVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45003 | PA      | $32582.49     | 0.01%             | 2035-10-19      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-14, Class 4A1A                                             | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54795 | PA      | $25855.09     | 0.01%             | 2035-12-19      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC                                                           | HAT Holdings I LLC                                                                                     | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $85447.65     | 0.03%             | 2026-06-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| HAT Holdings I LLC                                                           | HAT Holdings I LLC                                                                                     | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    216000 | PA      | $224218.63    | 0.09%             | 2027-06-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Highwoods Realty LP                                                          | Highwoods Realty LP                                                                                    | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99020.26     | 0.04%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                             | Hilton USA Trust, Series 2016-SFP, Class A                                                             | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $534735.00    | 0.20%             | 2035-11-05      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Loan Trust                                                       | Home Equity Loan Trust, Series 2007-FRE1, Class 2AV3                                                   | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165685 | PA      | $162245.07    | 0.06%             | 2037-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts LP                                                     | Host Hotels & Resorts LP, Series J                                                                     | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $270957.48    | 0.10%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                       | Residential Asset Securitization Trust, Series 2005-A11, Class 1A1                                     | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31334 | PA      | $17998.26     | 0.01%             | 2035-10-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                             | IndyMac INDX Mortgage Loan Trust, Series 2006-AR9, Class 2A1                                           | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158746 | PA      | $107781.58    | 0.04%             | 2036-06-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                             | IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A                                         | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40536 | PA      | $36949.00     | 0.01%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                 | ING Groep NV                                                                                           | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $615045.54    | 0.23%             | 2031-03-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                              | Intercontinental Exchange, Inc.                                                                        | CUSIP: 45865VAA8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200499.50    | 0.08%             | 2028-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                              | Intercontinental Exchange, Inc.                                                                        | CUSIP: 45865VAC4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100003.97    | 0.04%             | 2031-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2005-S3, Class 1A2                                                    | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10397 | PA      | $4527.23      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp.                                         | JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class M1                                       | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26107 | PA      | $25867.63     | 0.01%             | 2035-10-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp.                                         | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1                                       | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17780 | PA      | $17690.73     | 0.01%             | 2035-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2006-A6, Class 1A4L                                                   | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41051 | PA      | $29260.53     | 0.01%             | 2036-10-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2006-A3, Class 6A1                                                    | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11604 | PA      | $11601.44     | 0.00%             | 2034-08-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Trust                                         | JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class A5                                        | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18613 | PA      | $18505.33     | 0.01%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                         | JPMorgan Chase & Co.                                                                                   | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    900000 | PA      | $853877.43    | 0.33%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                         | JPMorgan Chase & Co.                                                                                   | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $507918.75    | 0.19%             | 2027-10-22      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                         | JPMorgan Chase & Co.                                                                                   | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $506879.05    | 0.19%             | 2028-07-22      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                         | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-NYAH, Class A                        | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $681146.97    | 0.26%             | 2038-06-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| JDE Peet's NV                                                                | JDE Peet's NV                                                                                          | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $348003.20    | 0.13%             | 2031-09-24      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| JetBlue Pass-Through Trust                                                   | JetBlue Pass-Through Trust, Series 2020-1, Class A                                                     | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    605534 | PA      | $570947.88    | 0.22%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jones Lang LaSalle, Inc.                                                     | Jones Lang LaSalle, Inc.                                                                               | CUSIP: 48020QAB3<br>LEI: 6SYKCME112RT8TQUO411 | Long             | DBT              | CORP              | US        |    400000 | PA      | $427778.76    | 0.16%             | 2028-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                                             | Kilroy Realty LP                                                                                       | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1292503.31   | 0.49%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                         | WaMu Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3                                       | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193230 | PA      | $66234.49     | 0.03%             | 2037-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| State of Kuwait                                                              | State of Kuwait                                                                                        | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    200000 | PA      | $199996.00    | 0.08%             | 2028-10-09      | Fixed         | 4.02%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                           | LPL Holdings, Inc.                                                                                     | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511914.70    | 0.19%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Lazard Group LLC                                                             | Lazard Group LLC                                                                                       | CUSIP: 52107QAJ4<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    700000 | PA      | $704456.90    | 0.27%             | 2028-09-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                              | Lehman XS Trust, Series 2006-8, Class 2A1                                                              | CUSIP: 52522HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6839 | PA      | $8320.73      | 0.00%             | 2036-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                                     | Lloyds Banking Group plc                                                                               | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $405269.60    | 0.15%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                                      | MF1 LLC, Series 2025-FL17, Class A                                                                     | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $499062.80    | 0.19%             | 2040-02-18      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| MSSG Trust                                                                   | MSSG Trust, Series 2017-237P, Class A                                                                  | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $668737.02    | 0.25%             | 2039-09-13      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XXXVI Ltd.                                              | Madison Park Funding XXXVI Ltd., Series 2019-36A, Class A1RR                                           | CUSIP: 55819PBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $699245.40    | 0.27%             | 2035-04-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XLIX Ltd.                                               | Madison Park Funding XLIX Ltd., Series 2021-49A, Class AR                                              | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $799800.80    | 0.30%             | 2034-10-19      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XLVI Ltd.                                               | Madison Park Funding XLVI Ltd., Series 2020-46A, Class ARR                                             | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $699173.30    | 0.27%             | 2034-10-15      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Manulife Financial Corp.                                                     | Manulife Financial Corp.                                                                               | CUSIP: 56501RAN6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |   1100000 | PA      | $1053758.97   | 0.40%             | 2032-03-16      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                                 | Marriott International, Inc.                                                                           | CUSIP: 571903BW2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    500000 | PA      | $501237.00    | 0.19%             | 2031-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset-Backed Securities Trust                                          | MASTR Asset-Backed Securities Trust, Series 2006-FRE2, Class A5                                        | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131631 | PA      | $76788.22     | 0.03%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                                      | Mercedes-Benz Finance North America LLC                                                                | CUSIP: 58769JAF4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    600000 | PA      | $601186.38    | 0.23%             | 2026-03-30      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                                      | Mercedes-Benz Finance North America LLC                                                                | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203472.96    | 0.08%             | 2027-11-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                       | Merrill Lynch Mortgage Investors Trust, Series 2005-1, Class 2A5                                       | CUSIP: 59020UVM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21978 | PA      | $19982.06     | 0.01%             | 2035-04-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                                    | Mid-America Apartments LP                                                                              | CUSIP: 59523UAR8<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    400000 | PA      | $378324.96    | 0.14%             | 2030-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                 | Mizuho Financial Group, Inc.                                                                           | CUSIP: 60687YCZ0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $311353.74    | 0.12%             | 2029-07-06      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                 | Mizuho Financial Group, Inc.                                                                           | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $517043.45    | 0.20%             | 2030-07-10      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                                                       | Morgan Stanley Bank NA                                                                                 | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    500000 | PA      | $509946.40    | 0.19%             | 2028-05-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                           | Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 3A                                          | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34125 | PA      | $27456.01     | 0.01%             | 2035-07-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                               | Morgan Stanley                                                                                         | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $501173.65    | 0.19%             | 2028-04-13      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                               | Morgan Stanley                                                                                         | CUSIP: 61747YFP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $509934.30    | 0.19%             | 2028-04-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                               | Morgan Stanley                                                                                         | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $521304.45    | 0.20%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                               | Morgan Stanley                                                                                         | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505834.10    | 0.19%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                     | Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE5, Class A2D                                   | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403407 | PA      | $190447.66    | 0.07%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                               | Morgan Stanley Capital I Trust, Series 2020-CNP, Class A                                               | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $709600.08    | 0.27%             | 2042-04-05      | Variable      | 2.43%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                      | Mosaic Solar Loan Trust, Series 2023-3A, Class A                                                       | CUSIP: 618933AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129574 | PA      | $127636.44    | 0.05%             | 2053-11-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| MortgageIT Trust                                                             | MortgageIT Trust, Series 2005-5, Class A2                                                              | CUSIP: 61915RAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17163 | PA      | $17254.32     | 0.01%             | 2035-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                      | Mosaic Solar Loan Trust, Series 2022-1A, Class A                                                       | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    949923 | PA      | $810404.47    | 0.31%             | 2053-01-20      | Fixed         | 2.64%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                                       | NXP BV                                                                                                 | CUSIP: 62947QBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $499860.00    | 0.19%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                       | NXP BV                                                                                                 | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1421816.62   | 0.54%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                                                | NYO Commercial Mortgage Trust, Series 2021-1290, Class A                                               | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399273.96    | 0.15%             | 2038-11-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                                                  | Nationwide Building Society                                                                            | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $509318.85    | 0.19%             | 2027-10-18      | Variable      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Nederlandse Waterschapsbank NV                                               | Nederlandse Waterschapsbank NV                                                                         | CUSIP: 63983TEH4<br>LEI: JLP5FSPH9WPSHY3NIM24 | Long             | DBT              | NUSS              | NL        |    400000 | PA      | $402782.24    | 0.15%             | 2028-06-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| New Orleans Hotel Trust                                                      | New Orleans Hotel Trust, Series 2019-HNLA, Class A                                                     | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499201.90    | 0.19%             | 2032-04-15      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                          | New York State Electric & Gas Corp.                                                                    | CUSIP: 649840CU7<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    900000 | PA      | $933813.54    | 0.36%             | 2028-08-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                          | New York State Electric & Gas Corp.                                                                    | CUSIP: 649840CW3<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1234369.92   | 0.47%             | 2034-08-15      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| New York State Urban Development Corp.                                       | New York State Urban Development Corp.                                                                 | CUSIP: 650036AU0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    800000 | PA      | $796076.16    | 0.30%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Newcastle Mortgage Securities Trust                                          | Newcastle Mortgage Securities Trust, Series 2006-1, Class M5                                           | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $889783.92    | 0.34%             | 2036-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                        | NextEra Energy Capital Holdings, Inc.                                                                  | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2001461.28   | 0.76%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                              | Nissan Motor Acceptance Co. LLC                                                                        | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    800000 | PA      | $756584.00    | 0.29%             | 2028-03-09      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                                        | Nissan Motor Co. Ltd.                                                                                  | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $751448.00    | 0.29%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                              | Nissan Motor Acceptance Co. LLC                                                                        | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    800000 | PA      | $779424.00    | 0.30%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Norinchukin Bank (The)                                                       | Norinchukin Bank (The)                                                                                 | CUSIP: 656029AL9<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $613648.68    | 0.23%             | 2028-03-09      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Norinchukin Bank (The)                                                       | Norinchukin Bank (The)                                                                                 | CUSIP: 656029AN5<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $509892.00    | 0.19%             | 2029-10-16      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Northern States Power Co.                                                    | Northern States Power Co.                                                                              | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    872000 | PA      | $534143.69    | 0.20%             | 2051-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                    | Northern States Power Co.                                                                              | CUSIP: 665772CV9<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    700000 | PA      | $595463.40    | 0.23%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO XI                                                          | Ocean Trails CLO XI, Series 2021-11A, Class AR                                                         | CUSIP: 67514VAL3<br>LEI: 549300E51CF32RJNO651 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $698474.00    | 0.27%             | 2034-07-20      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| ONE Mortgage Trust                                                           | ONE Mortgage Trust, Series 2021-PARK, Class A                                                          | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $697075.96    | 0.27%             | 2036-03-15      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| ONEOK Partners LP                                                            | ONEOK Partners LP                                                                                      | CUSIP: 68268NAD5<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    800000 | PA      | $885418.08    | 0.34%             | 2037-10-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2006-3, Class 2A3                                               | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1044100 | PA      | $500879.74    | 0.19%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust Asset-Backed Certificates                     | Option One Mortgage Loan Trust Asset-Backed Certificates, Series 2005-4, Class M2                      | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222697 | PA      | $212667.43    | 0.08%             | 2035-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                 | Oracle Corp.                                                                                           | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    600000 | PA      | $586744.98    | 0.22%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1                                             | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123765 | PA      | $111373.65    | 0.04%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2007-5, Class 1A1                                               | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292570 | PA      | $175673.39    | 0.07%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                 | Pacific Gas and Electric Co.                                                                           | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1162603.09   | 0.44%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                 | Pacific Gas and Electric Co.                                                                           | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502795.50    | 0.19%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| New South Wales Treasury Corp.                                               | New South Wales Treasury Corp.                                                                         | CUSIP: N/A<br>LEI: TC7LRO17HPNPLTAV0H77       | Long             | DBT              | NUSS              | AU        |    400000 | PA      | $206794.55    | 0.08%             | 2034-03-20      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    221000 | PA      | $72986.84     | 0.03%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   3400000 | PA      | $1090812.07   | 0.42%             | 2032-08-12      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Republic of Philippines                                                      | Republic of Philippines                                                                                | CUSIP: 718286CX3<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    600000 | PA      | $600936.00    | 0.23%             | 2048-01-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO 4                                                             | Pikes Peak CLO 4, Series 2019-4A, Class ARR                                                            | CUSIP: 72132WAN9<br>LEI: 2549002NRPBIF0UZPU88 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700690.90    | 0.27%             | 2034-07-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                                              | Post Road Equipment Finance LLC, Series 2025-1A, Class A2                                              | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737026 | PA      | $740653.92    | 0.28%             | 2031-05-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                         | Prime Mortgage Trust, Series 2004-CL1, Class 1A2                                                       | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       435 | PA      | $413.46       | 0.00%             | 2034-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                         | Prime Mortgage Trust, Series 2006-CL1, Class A1                                                        | CUSIP: 74161QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6244 | PA      | $6237.37      | 0.00%             | 2035-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Public Service Electric & Gas Co.                                            | Public Service Electric & Gas Co.                                                                      | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1391299.65   | 0.53%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2007-QA3, Class A1                                                                  | CUSIP: 74923XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146056 | PA      | $134947.31    | 0.05%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                          | RCKT Mortgage Trust, Series 2025-CES9, Class A1A                                                       | CUSIP: 74942JAA2<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    289504 | PA      | $288801.25    | 0.11%             | 2055-09-25      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| RWE Finance US LLC                                                           | RWE Finance US LLC                                                                                     | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    600000 | PA      | $596599.44    | 0.23%             | 2035-09-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2006-QS12, Class 1A1                                                                | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134838 | PA      | $52657.11     | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2006-QS13, Class 1A10                                                               | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8477 | PA      | $6827.26      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                                   | RASC Trust, Series 2006-EMX2, Class M1                                                                 | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82901 | PA      | $81682.80     | 0.03%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                                         | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A                                         | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     87415 | PA      | $87393.86     | 0.03%             | 2036-11-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                                     | Regatta XVI Funding Ltd., Series 2019-2A, Class A1R                                                    | CUSIP: 75888TAL9<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |    605482 | PA      | $606441.06    | 0.23%             | 2033-01-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| RASC Trust                                                                   | RASC Trust, Series 2005-EMX5, Class A3                                                                 | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80190 | PA      | $69595.26     | 0.03%             | 2035-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2005-QA13, Class 2A1                                                                | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6399 | PA      | $5625.20      | 0.00%             | 2035-12-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                  | RFMSI Trust, Series 2007-S6, Class 1A11                                                                | CUSIP: 762009AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44097 | PA      | $34989.86     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                         | Royal Bank of Canada                                                                                   | CUSIP: 78016FZW7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $305761.83    | 0.12%             | 2028-01-12      | Fixed         | 4.90%                 | 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        |    351748 | PA      | $349989.75    | 0.13%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Stonepeak ABS                                                                | Stonepeak ABS, Series 2021-1A, Class AA                                                                | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229137 | PA      | $223675.61    | 0.09%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| STARM Mortgage Loan Trust                                                    | STARM Mortgage Loan Trust, Series 2007-1, Class 2A1                                                    | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19510 | PA      | $16694.72     | 0.01%             | 2037-02-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                                    | STWD Ltd., Series 2022-FL3, Class A                                                                    | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    290063 | PA      | $289167.60    | 0.11%             | 2038-11-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| STWD Ltd.                                                                    | STWD Ltd., Series 2021-FL2, Class A                                                                    | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    335183 | PA      | $335200.68    | 0.13%             | 2038-04-18      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| STWD Mortgage Trust                                                          | STWD Mortgage Trust, Series 2021-LIH, Class A                                                          | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1200000 | PA      | $1197777.00   | 0.46%             | 2036-11-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                                 | San Diego Gas & Electric Co.                                                                           | CUSIP: 797440CE2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512250.75    | 0.20%             | 2028-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                           | Renaissance Home Equity Loan Trust, Series 2006-4, Class AF2                                           | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544629 | PA      | $157783.35    | 0.06%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                    | Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1                                                 | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68454 | PA      | $17524.62     | 0.01%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                                          | Sandstone Peak Ltd., Series 2021-1A, Class A1R                                                         | CUSIP: 800130AN6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700228.90    | 0.27%             | 2034-10-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                              | Santander UK Group Holdings plc                                                                        | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $642039.58    | 0.24%             | 2032-03-15      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                 | Santander Holdings USA, Inc.                                                                           | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    500000 | PA      | $521134.15    | 0.20%             | 2029-03-09      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                 | Santander Holdings USA, Inc.                                                                           | CUSIP: 80282KBQ8<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    400000 | PA      | $411634.76    | 0.16%             | 2031-03-20      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                               | Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A                             | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25438 | PA      | $19411.42     | 0.01%             | 2037-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                                 | SG Mortgage Securities Trust, Series 2006-FRE1, Class A2C                                              | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61190 | PA      | $31133.52     | 0.01%             | 2036-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                             | SMB Private Education Loan Trust, Series 2024-A, Class A1A                                             | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392389 | PA      | $400389.83    | 0.15%             | 2056-03-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Smurfit Kappa Treasury ULC                                                   | Smurfit Kappa Treasury ULC                                                                             | CUSIP: 83272GAD3<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    600000 | PA      | $618738.66    | 0.24%             | 2030-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                                               | Smurfit Westrock Financing DAC                                                                         | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    400000 | PA      | $411526.60    | 0.16%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                                               | Smurfit Westrock Financing DAC                                                                         | CUSIP: 83272YAC6<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    300000 | PA      | $302389.17    | 0.12%             | 2036-01-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                          | Societe Generale SA                                                                                    | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $300157.26    | 0.11%             | 2027-01-12      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                    | Soundview Home Loan Trust, Series 2007-OPT5, Class 1A1                                                 | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    462808 | PA      | $361969.05    | 0.14%             | 2037-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                               | Southern California Edison Co.                                                                         | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42520.39     | 0.02%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                               | Southern California Edison Co., Series C                                                               | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $75824.94     | 0.03%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                               | Southern California Edison Co.                                                                         | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512654.90    | 0.20%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance Trust                           | Specialty Underwriting & Residential Finance Trust, Series 2006-BC5, Class A2D                         | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469288 | PA      | $258539.62    | 0.10%             | 2037-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Sprint Spectrum Co. LLC                                                      | Sprint Spectrum Co. LLC                                                                                | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $181092.91    | 0.07%             | 2028-03-20      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                                       | Standard Chartered plc                                                                                 | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $509115.00    | 0.19%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Stifel Financial Corp.                                                       | Stifel Financial Corp.                                                                                 | CUSIP: 860630AG7<br>LEI: 549300E5F07FE5GHJX84 | Long             | DBT              | CORP              | US        |    900000 | PA      | $877831.02    | 0.33%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Store Capital LLC                                                            | Store Capital LLC                                                                                      | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $441310.50    | 0.17%             | 2031-12-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Trust                                  | Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1                                 | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122 | PA      | $115.47       | 0.00%             | 2032-09-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                               | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                              | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10476 | PA      | $10378.68     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                               | Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A3                             | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524717 | PA      | $426356.61    | 0.16%             | 2046-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                               | Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1                               | CUSIP: 86363GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23687 | PA      | $19743.91     | 0.01%             | 2047-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                        | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2, Class A3                      | CUSIP: 86363MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86806 | PA      | $85248.89     | 0.03%             | 2037-05-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                        | Sumitomo Mitsui Financial Group, Inc.                                                                  | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $300137.88    | 0.11%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                              | Sumitomo Mitsui Trust Bank Ltd.                                                                        | CUSIP: 86563VBA6<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   1600000 | PA      | $1578873.44   | 0.60%             | 2027-03-10      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                              | Sumitomo Mitsui Trust Bank Ltd.                                                                        | CUSIP: 86563VBH1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $308962.83    | 0.12%             | 2028-03-09      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Sunnova Sol IV Issuer LLC                                                    | Sunnova Sol IV Issuer LLC, Series 2022-A, Class A                                                      | CUSIP: 86745AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1388356 | PA      | $1145128.72   | 0.44%             | 2049-02-22      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Sunnova Helios XI Issuer LLC                                                 | Sunnova Helios XI Issuer LLC, Series 2023-A, Class A                                                   | CUSIP: 86746AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    517505 | PA      | $472815.49    | 0.18%             | 2050-05-20      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                                                    | Sunrun Demeter Issuer LLC, Series 2021-2A, Class A                                                     | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632654 | PA      | $578234.28    | 0.22%             | 2057-01-30      | Fixed         | 2.27%                 | Yes           |                  2 | On Loan: No      |
| GSAA Trust                                                                   | GSAA Trust, Series 2006-7, Class AF2                                                                   | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223928 | PA      | $79056.26     | 0.03%             | 2046-03-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Tesla Sustainable Energy Trust                                               | Tesla Sustainable Energy Trust, Series 2024-1A, Class A2                                               | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396243 | PA      | $397844.37    | 0.15%             | 2050-06-21      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                          | Thornburg Mortgage Securities Trust, Series 2007-1, Class A2B                                          | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19383 | PA      | $13725.88     | 0.01%             | 2037-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                          | Thornburg Mortgage Securities Trust, Series 2007-3, Class 3A1                                          | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62709 | PA      | $55166.46     | 0.02%             | 2047-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                  | Toronto-Dominion Bank (The)                                                                            | CUSIP: 89115KAE0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    400000 | PA      | $400751.68    | 0.15%             | 2028-10-13      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                                          | Toyota Auto Receivables Owner Trust, Series 2024-B, Class A3                                           | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298203 | PA      | $301434.46    | 0.11%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XIX Ltd.                                                        | Trinitas CLO XIX Ltd., Series 2022-19A, Class A1R                                                      | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    598155 | PA      | $598218.12    | 0.23%             | 2033-10-20      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1000000 | PA      | $320827.08    | 0.12%             | 2032-08-12      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $200674.18    | 0.08%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $500186.70    | 0.19%             | 2027-01-12      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $600145.86    | 0.23%             | 2026-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                           | United Airlines Pass-Through Trust, Series 2020-1, Class A                                             | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340058 | PA      | $347736.44    | 0.13%             | 2027-10-15      | Fixed         | 5.88%                 | 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        |    481771 | PA      | $460749.41    | 0.18%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797PD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2600000 | PA      | $2594870.46   | 0.99%             | 2026-01-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    143000 | PA      | $143000.00    | 0.05%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    300000 | PA      | $299827.14    | 0.11%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797RK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    400000 | PA      | $398943.28    | 0.15%             | 2026-01-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797SE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    700000 | PA      | $699730.29    | 0.27%             | 2026-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1500000 | PA      | $1498402.80   | 0.57%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1400000 | PA      | $1397527.32   | 0.53%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    200000 | PA      | $199376.00    | 0.08%             | 2026-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797SS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    500000 | PA      | $497399.55    | 0.19%             | 2026-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2000000 | PA      | $1977286.60   | 0.75%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    908000 | PA      | $887286.25    | 0.34%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1268092.28   | 0.48%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $117228.29    | 0.04%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $745312.50    | 0.28%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1430156.16   | 0.54%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $505146.12    | 0.19%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $451824.90    | 0.17%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $103830.53    | 0.04%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $292517.23    | 0.11%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $215151.90    | 0.08%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $747031.20    | 0.28%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $76242.44     | 0.03%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12800000 | PA      | $9516966.40   | 3.62%             | 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        |    600000 | PA      | $476718.72    | 0.18%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $517890.66    | 0.20%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $93366.58     | 0.04%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $936638.04    | 0.36%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2360000 | PA      | $1486805.19   | 0.57%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $258125.00    | 0.10%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $883420.95    | 0.34%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $73057.70     | 0.03%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $197585.60    | 0.08%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $896714.81    | 0.34%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8600000 | PA      | $5602093.32   | 2.13%             | 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        |   2450000 | PA      | $1375292.31   | 0.52%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $744795.38    | 0.28%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $189890.64    | 0.07%             | 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        |    800000 | PA      | $590500.00    | 0.22%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2075000 | PA      | $1194277.25   | 0.45%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    625000 | PA      | $347168.00    | 0.13%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $247961.60    | 0.09%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $221625.00    | 0.08%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3300000 | PA      | $2762202.96   | 1.05%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    570000 | PA      | $524310.97    | 0.20%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $599341.39    | 0.23%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2527875.00   | 0.96%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $540093.72    | 0.21%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    570000 | PA      | $546398.47    | 0.21%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1147407.00   | 0.44%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $98531.25     | 0.04%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $196356.13    | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2353000 | PA      | $2384608.55   | 0.91%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $865176.18    | 0.33%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Notes                                                                                    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    185000 | PA      | $186726.88    | 0.07%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury STRIPS Bonds                                                                             | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $149041.80    | 0.06%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury STRIPS Bonds                                                                             | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $47552.50     | 0.02%             | 2041-05-15      | 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        |    300000 | PA      | $140541.00    | 0.05%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                       | University of Michigan                                                                                 | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    900000 | PA      | $667827.00    | 0.25%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                             | Ventas Realty LP                                                                                       | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198575.52    | 0.08%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                                   | VMware LLC                                                                                             | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    500000 | PA      | $507890.65    | 0.19%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                      | Volkswagen Group of America Finance LLC                                                                | CUSIP: 928668CW0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    600000 | PA      | $602986.08    | 0.23%             | 2028-09-11      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1                            | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1837 | PA      | $1786.36      | 0.00%             | 2045-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR6, Class 1A1A                             | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158894 | PA      | $154066.32    | 0.06%             | 2045-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR16, Class 3A3                             | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9229 | PA      | $8298.49      | 0.00%             | 2036-12-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1                              | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63415 | PA      | $52267.87     | 0.02%             | 2037-05-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY7, Class 4A2                              | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35269 | PA      | $32127.30     | 0.01%             | 2037-07-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Weir Group, Inc.                                                             | Weir Group, Inc.                                                                                       | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |    300000 | PA      | $308397.54    | 0.12%             | 2030-05-06      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                                 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR16, Class A1                               | CUSIP: 94984NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270450 | PA      | $255326.38    | 0.10%             | 2036-10-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                        | Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class A5                                       | CUSIP: 95001RAX7<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $801579.68    | 0.31%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                     | Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-WMC2, Class A2C                                  | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222079 | PA      | $78996.80     | 0.03%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Weyerhaeuser Co.                                                             | Weyerhaeuser Co.                                                                                       | CUSIP: 962166CC6<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    234000 | PA      | $234716.41    | 0.09%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd.                                                          | Wind River CLO Ltd., Series 2021-2A, Class A1R                                                         | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $299772.30    | 0.11%             | 2034-07-20      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Wisconsin Power & Light Co.                                                  | Wisconsin Power & Light Co.                                                                            | CUSIP: 976826BR7<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304440.45    | 0.12%             | 2033-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Wisconsin Power & Light Co.                                                  | Wisconsin Power & Light Co.                                                                            | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    400000 | PA      | $411337.56    | 0.16%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Trust                                                        | Worldwide Plaza Trust, Series 2017-WWP, Class A                                                        | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $717444.18    | 0.27%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Australian Dollar                                                            | Australian Dollar                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AU        |    104140 | OU      | $69498.02     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   1200000 | PA      | $61911.34     | 0.02%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Alba plc                                                                     | Alba plc, Series 2007-1, Class A3                                                                      | CUSIP: N/A<br>LEI: 2138008XOOHJFP498784       | Long             | ABS-MBS          | CORP              | GB        |    177576 | PA      | $235243.88    | 0.09%             | 2039-03-17      | Floating      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    100000 | PA      | $33025.72     | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     81000 | PA      | $26750.83     | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Bank plc                                                              | Lloyds Bank plc                                                                                        | CUSIP: N/A<br>LEI: H7FNTJ4851HG0EXQ1Z70       | Long             | DBT              | CORP              | GB        |    600000 | PA      | $447936.00    | 0.17%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   1200000 | PA      | $69851.81     | 0.03%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   6500000 | PA      | $383753.60    | 0.15%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Treasury Corp. of Victoria                                                   | Treasury Corp. of Victoria                                                                             | CUSIP: N/A<br>LEI: 549300ZJM7BQW1P9UV75       | Long             | DBT              | NUSS              | AU        |    200000 | PA      | $109105.41    | 0.04%             | 2033-09-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                               | BNP Paribas SA                                                                                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |    800000 | PA      | $535231.94    | 0.20%             | 2027-07-17      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Digital Dutch Finco BV                                                       | Digital Dutch Finco BV                                                                                 | CUSIP: N/A<br>LEI: 549300ONZ5IS6B6IMJ70       | Long             | DBT              | CORP              | NL        |   1200000 | PA      | $1205772.40   | 0.46%             | 2032-01-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| ING Groep NV                                                                 | ING Groep NV                                                                                           | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |    300000 | PA      | $290376.00    | 0.11%             | 2029-05-16      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Queensland Treasury Corp.                                                    | Queensland Treasury Corp.                                                                              | CUSIP: N/A<br>LEI: 98INKCEEHOU5YJS0HQ88       | Long             | DBT              | NUSS              | AU        |    300000 | PA      | $161577.99    | 0.06%             | 2032-08-20      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| European Union                                                               | European Union                                                                                         | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |    100000 | PA      | $81346.17     | 0.03%             | 2043-02-04      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Province of Quebec                                                           | Province of Quebec                                                                                     | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   1200000 | PA      | $917891.98    | 0.35%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                         | Jyske Realkredit A/S, Series CCE                                                                       | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.10         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  97000000 | PA      | $507997.18    | 0.19%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                         | U.K. Treasury Bonds                                                                                    | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |   1071000 | PA      | $1265493.05   | 0.48%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    260000 | PA      | $15093.52     | 0.01%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Bonos de la Tesoreria                                                        | Bonos de la Tesoreria                                                                                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |   2500000 | PA      | $848756.81    | 0.32%             | 2033-08-12      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| New South Wales Treasury Corp.                                               | New South Wales Treasury Corp.                                                                         | CUSIP: N/A<br>LEI: TC7LRO17HPNPLTAV0H77       | Long             | DBT              | NUSS              | AU        |    100000 | PA      | $62711.43     | 0.02%             | 2037-02-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Queensland Treasury Corp.                                                    | Queensland Treasury Corp.                                                                              | CUSIP: N/A<br>LEI: 98INKCEEHOU5YJS0HQ88       | Long             | DBT              | NUSS              | AU        |    100000 | PA      | $62474.00     | 0.02%             | 2035-08-22      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| European Union                                                               | European Union                                                                                         | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |    100000 | PA      | $115768.51    | 0.04%             | 2031-12-04      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  52000000 | PA      | $241250.65    | 0.09%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Landmark Mortgage Securities No. 3 plc                                       | Landmark Mortgage Securities No. 3 plc, Series 3, Class A                                              | CUSIP: N/A<br>LEI: 213800S8KWEEVI3XTK68       | Long             | ABS-MBS          | CORP              | GB        |    332620 | PA      | $437354.05    | 0.17%             | 2044-04-17      | Floating      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Brazilian Real                                                               | Brazilian Real                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | BR        |    438802 | OU      | $80076.93     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| European Union                                                               | European Union                                                                                         | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |   1000000 | PA      | $1191092.46   | 0.45%             | 2029-10-05      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Bonos de la Tesoreria                                                        | Bonos de la Tesoreria                                                                                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |    400000 | PA      | $128323.23    | 0.05%             | 2035-08-12      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Canada Government Bond                                                       | Canada Government Bond                                                                                 | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1000000 | PA      | $712014.35    | 0.27%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                | Federative Republic of Brazil                                                                          | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |   1800000 | PA      | $317307.35    | 0.12%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  90000000 | PA      | $460779.14    | 0.18%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  67100000 | PA      | $396119.39    | 0.15%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 120000000 | PA      | $665896.42    | 0.25%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  60000000 | PA      | $342415.33    | 0.13%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  30000000 | PA      | $185459.54    | 0.07%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                    | Commonwealth of Australia                                                                              | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |   1000000 | PA      | $567140.72    | 0.22%             | 2035-06-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   1510000 | PA      | $91449.62     | 0.03%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Warwick Finance Residential Mortgages Number Three plc                       | Warwick Finance Residential Mortgages Number Three plc, Series 3A, Class A                             | CUSIP: N/A<br>LEI: 213800JVKL1PIG7KRI38       | Long             | ABS-MBS          | CORP              | GB        |    192404 | PA      | $259341.74    | 0.10%             | 2049-12-21      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Warwick Finance Residential Mortgages Number Three plc                       | Warwick Finance Residential Mortgages Number Three plc, Series 3A, Class B                             | CUSIP: N/A<br>LEI: 213800JVKL1PIG7KRI38       | Long             | ABS-MBS          | CORP              | GB        |    100000 | PA      | $135876.46    | 0.05%             | 2049-12-21      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Japan International Cooperation Agency                                       | Japan International Cooperation Agency                                                                 | CUSIP: 47109LAB0<br>LEI: 254900XEIG78M2AJB031 | Long             | DBT              | NUSS              | JP        |    600000 | PA      | $590850.42    | 0.23%             | 2027-04-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |  15000000 | PA      | $944224.73    | 0.36%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Canadian Dollar                                                              | Canadian Dollar                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CA        |    230314 | OU      | $167800.15    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Swiss Franc                                                                  | Swiss Franc                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CH        |      1666 | OU      | $2102.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | Canada 10 Year Bond                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         9 | NC      | $-7172.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chinese Renminbi (Yuan)                                                      | Chinese Renminbi (Yuan)                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CN        |       919 | OU      | $131.53       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Danish Krone                                                                 | Danish Krone                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | DK        |      4399 | OU      | $692.15       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO                                                                         | EURO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |     53897 | OU      | $63339.80     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | U.S. Treasury 5 Year Note                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       228 | NC      | $-2055.65     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | Long Gilt                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        23 | NC      | $19015.57     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| British Pound                                                                | British Pound                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | GB        |     36679 | OU      | $49441.27     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Japanese Yen                                                                 | Japanese Yen                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | JP        |   7372526 | OU      | $47066.69     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Queensland Treasury Corp.                                                    | Queensland Treasury Corp.                                                                              | CUSIP: N/A<br>LEI: 98INKCEEHOU5YJS0HQ88       | Long             | DBT              | NUSS              | AU        |    100000 | PA      | $53859.33     | 0.02%             | 2032-08-20      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| New Mexican Pesos                                                            | New Mexican Pesos                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | MX        |       316 | OU      | $17.55        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Norwegian Krone                                                              | Norwegian Krone                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NO        |     98110 | OU      | $9733.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New Zealand Dollar                                                           | New Zealand Dollar                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NZ        |       481 | OU      | $276.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-45T1, Class 1A16                                                   | CUSIP: 02149JCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227788 | PA      | $86106.70     | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury 10 Year Note                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -14 | NC      | $-1531.25     | -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        |        -8 | NC      | $-1000.00     | -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        |        -6 | NC      | $-1593.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Peruvian New Sol                                                             | Peruvian New Sol                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | PE        |     58400 | OU      | $17375.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | Euro-Bund                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -14 | NC      | $28645.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Dollar                                                             | Singapore Dollar                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | SG        |       325 | OU      | $252.97       | 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        |         5 | NC      | $697.07       | 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        |       310 | NC      | $-72577.82    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | U.S. Treasury Long Bond                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -5 | NC      | $2961.85      | 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        |       -25 | NC      | $5826.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United Mexican States                                                        | United Mexican States                                                                                  | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    500000 | PA      | $599833.83    | 0.23%             | 2032-05-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Romania Government Bond                                                      | Romania Government Bond                                                                                | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    600000 | PA      | $695964.02    | 0.27%             | 2036-02-22      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                              | Oncor Electric Delivery Co. LLC                                                                        | CUSIP: N/A<br>LEI: 549300SP2X2BS1KERD24       | Long             | DBT              | CORP              | US        |    500000 | PA      | $589040.68    | 0.22%             | 2031-05-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury Ultra Bond                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -43 | NC      | $92931.21     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Coty, Inc.                                                                   | Coty, Inc.                                                                                             | CUSIP: N/A<br>LEI: 549300BO9IWPF3S48F93       | Long             | DBT              | CORP              | US        |    500000 | PA      | $595315.19    | 0.23%             | 2027-05-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Mondelez International, Inc.                                                 | Mondelez International, Inc.                                                                           | CUSIP: 609207BD6<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    700000 | PA      | $527776.08    | 0.20%             | 2031-07-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Canada Government Bond                                                       | Canada Government Bond                                                                                 | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    344000 | PA      | $248760.38    | 0.09%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Province of Ontario                                                          | Province of Ontario                                                                                    | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     56000 | PA      | $40959.03     | 0.02%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Ares European CLO XIV DAC                                                    | Ares European CLO XIV DAC, Series 14A, Class AR                                                        | CUSIP: N/A<br>LEI: 635400CPKWIBFGMQTE81       | Long             | ABS-CBDO         | CORP              | IE        |    326880 | PA      | $384216.00    | 0.15%             | 2034-10-21      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                                                  | Prologis LP                                                                                            | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    700000 | PA      | $513183.00    | 0.20%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Australia 10 Year Bond                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        28 | NC      | $4108.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| State of Kuwait                                                              | State of Kuwait                                                                                        | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    200000 | PA      | $199100.00    | 0.08%             | 2035-10-09      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Harvest CLO XVI DAC                                                          | Harvest CLO XVI DAC, Series 16A, Class AR3                                                             | CUSIP: N/A<br>LEI: 635400HU8ASOJYEX2I14       | Long             | ABS-CBDO         | CORP              | IE        |   1100000 | PA      | $1290408.75   | 0.49%             | 2038-10-15      | Floating      | 3.34%                 | Yes           |                  2 | On Loan: No      |
| South African Rand                                                           | South African Rand                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | ZA        |         0 | OU      | $0.02         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** EQ Advisors Trust

**Signature:** Brian Walsh

**Name of Signer:** Brian Walsh

**Title:** Chief Financial Officer and Treasurer