# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-26-009319
**Filing Date:** 2026-4
**Character Count:** 663133
**Document Hash:** b539e0716d883b5a50e7f22dea9ded5c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009319.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009319

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22903
- **FILM NUMBER:** 26912564

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

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

## Series and Classes Contracts Data

### JPMorgan Active Bond ETF (Series ID: S000081828)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000244901 | JPMorgan Active Bond ETF | JBND            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

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

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

- **a. Name of Series:** JPMorgan Active Bond ETF

- **b. EDGAR series identifier (if any):** S000081828

- **c. LEI of Series:** 5493000MOG2CRB378P65

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6781749479.58

**Total Liabilities:** $160636463.52

**Net Assets:** $6621113016.06

**Cash Not Reported:** $6220448.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2513.96892000 | **1-Year:** 173040.88023000 | **5-Year:** 817816.71839000 | **10-Year:** 689343.42867000 | **30-Year:** 245779.75835000

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

- **3-Month:** 0.00000000 | **1-Year:** 11356.93343000 | **5-Year:** 19358.17535000 | **10-Year:** 3496.95674000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000244901 | -0.26%               | 0.32%                | 1.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-442636.81              | $-27950612.88                              |
| Month 2  | $616151.78               | $-4767670.67                               |
| Month 3  | $398068.25               | $86825615.66                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                       | ABN AMRO Bank NV                                                                   | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $519336.29    | 0.01%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| ABL                                                    | ABL, Series 2024-RTL1, Class A1                                                    | CUSIP: 00092EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3715000 | PA      | $3732145.84   | 0.06%             | 2029-09-25      | Variable      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| ACHD Trust                                             | ACHD Trust, Series 2025-DS1, Class A                                               | CUSIP: 00092TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4651144 | PA      | $4660694.46   | 0.07%             | 2034-01-09      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                         | Southern Co. Gas Capital Corp.                                                     | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1051377.16   | 0.02%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                        | AES Corp. (The)                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   3440000 | PA      | $3593481.17   | 0.05%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                          | AIB Group plc                                                                      | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  18170000 | PA      | $19362278.88  | 0.29%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                          | AIB Group plc                                                                      | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1190000 | PA      | $1236170.33   | 0.02%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                              | Corebridge Global Funding                                                          | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    560000 | PA      | $564149.29    | 0.01%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2023-SFR2, Class E1                                             | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $678499.99    | 0.01%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2023-SFR2, Class E2                                             | CUSIP: 00178YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1530000 | PA      | $1476201.53   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR1, Class D                                              | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $949918.70    | 0.01%             | 2038-06-17      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2024-SFR2, Class D                                              | CUSIP: 00179UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1097000 | PA      | $1066883.18   | 0.02%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR2, Class A                                              | CUSIP: 00179VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98315 | PA      | $97023.03     | 0.00%             | 2038-08-17      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR2, Class B                                              | CUSIP: 00179VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    711112 | PA      | $701841.09    | 0.01%             | 2038-08-17      | Fixed         | 1.78%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2025-SFR2, Class D                                              | CUSIP: 00180BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3417000 | PA      | $3311084.62   | 0.05%             | 2042-11-17      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR3, Class C                                              | CUSIP: 00180UAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    705000 | PA      | $692899.03    | 0.01%             | 2038-10-17      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR3, Class E1                                             | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785000 | PA      | $771562.84    | 0.01%             | 2038-10-17      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR3, Class E2                                             | CUSIP: 00180UAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1965104.20   | 0.03%             | 2038-10-17      | Fixed         | 2.43%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2025-SFR1, Class D                                              | CUSIP: 00182MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1654228.80   | 0.02%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2025-SFR1, Class E1                                             | CUSIP: 00182MAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5384892.25   | 0.08%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                | APA Infrastructure Ltd.                                                            | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   1487000 | PA      | $1533216.64   | 0.02%             | 2044-09-16      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                         | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   9940000 | PA      | $6729584.86   | 0.10%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $705063.44    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                         | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1695956.88   | 0.03%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                         | CUSIP: 00206RNH1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    850000 | PA      | $862523.75    | 0.01%             | 2036-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                           | AbbVie, Inc.                                                                       | CUSIP: 00287YDA4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $941336.68    | 0.01%             | 2044-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                           | AbbVie, Inc.                                                                       | CUSIP: 00287YEG0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1708905.43   | 0.03%             | 2036-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                           | AbbVie, Inc.                                                                       | CUSIP: 00287YEH8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   5605000 | PA      | $5639561.72   | 0.09%             | 2056-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ACHM Trust                                             | ACHM Trust, Series 2025-HE3, Class A                                               | CUSIP: 00449VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4192649 | PA      | $4250719.72   | 0.06%             | 2055-11-25      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    730000 | PA      | $682185.38    | 0.01%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                         | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1520000 | PA      | $1265458.25   | 0.02%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                         | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    765000 | PA      | $763878.30    | 0.01%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                         | CUSIP: 00774MBU8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1770000 | PA      | $1773465.80   | 0.03%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                            | Aetna, Inc.                                                                        | CUSIP: 00817YAP3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $880667.75    | 0.01%             | 2044-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                         | Aircastle Ltd.                                                                     | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    525000 | PA      | $541939.30    | 0.01%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                         | Aircastle Ltd.                                                                     | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    265000 | PA      | $270952.97    | 0.00%             | 2030-09-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA/FHLMC                                             | FNMA/FHLMC UMBS, Single Family, 30 Year                                            | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  31000000 | PA      | $26855052.62  | 0.41%             | 2056-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                             | FNMA/FHLMC UMBS, Single Family, 30 Year                                            | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  65000000 | PA      | $65291553.60  | 0.99%             | 2056-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                             | FNMA/FHLMC UMBS, Single Family, 30 Year                                            | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  52000000 | PA      | $52833705.08  | 0.80%             | 2056-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2117313.22   | 0.03%             | 2030-01-03      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                         | Alphabet, Inc.                                                                     | CUSIP: 02079KBN6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   2115000 | PA      | $2153702.66   | 0.03%             | 2046-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                         | Alphabet, Inc.                                                                     | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   3105000 | PA      | $3177215.72   | 0.05%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                         | Alphabet, Inc.                                                                     | CUSIP: 02079KBQ9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1945075.72   | 0.03%             | 2066-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                    | Amcor Flexibles North America, Inc.                                                | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1702560.51   | 0.03%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2016-1, Class A                       | CUSIP: 02376WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6028922 | PA      | $5972973.82   | 0.09%             | 2028-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2024-3, Class E               | CUSIP: 02490BAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4739753.70   | 0.07%             | 2032-03-12      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2025-1, Class D               | CUSIP: 02528DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8155688.80   | 0.12%             | 2031-08-12      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2023-4, Class C               | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207858 | PA      | $209381.39    | 0.00%             | 2030-09-12      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2024-1, Class E               | CUSIP: 02531AAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6733438.40   | 0.10%             | 2031-11-12      | Fixed         | 7.98%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2026-1, Class D               | CUSIP: 02531FAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9245000 | PA      | $9334631.20   | 0.14%             | 2033-01-12      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                   | American Express Co.                                                               | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $2016646.88   | 0.03%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                   | American Express Co.                                                               | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    420000 | PA      | $430236.11    | 0.01%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                   | American Express Co.                                                               | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1520241.56   | 0.02%             | 2036-10-24      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                   | American Tower Corp.                                                               | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    900000 | PA      | $679274.55    | 0.01%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                   | American Tower Corp.                                                               | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   6145000 | PA      | $6215704.98   | 0.09%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                          | Cencora, Inc.                                                                      | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    775000 | PA      | $801666.12    | 0.01%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                            | Amgen, Inc.                                                                        | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $2793732.99   | 0.04%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                            | Amgen, Inc.                                                                        | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1664000 | PA      | $1661035.42   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                            | Amgen, Inc.                                                                        | CUSIP: 031162DW7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   4425000 | PA      | $4448935.53   | 0.07%             | 2036-02-19      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Amphenol Corp.                                         | Amphenol Corp.                                                                     | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2043191.83   | 0.03%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                  | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                  | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   7270000 | PA      | $7311462.26   | 0.11%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                  | Anchor Mortgage Trust, Series 2025-RTL1, Class A2                                  | CUSIP: 03290CAB2<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1436184.18   | 0.02%             | 2040-05-25      | Variable      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                         | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1117200.00   | 0.02%             | 2030-09-10      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                         | CUSIP: 034863BE9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   2035000 | PA      | $2160274.60   | 0.03%             | 2034-04-05      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Ansley Park Capital LLC                                | Ansley Park Capital LLC, Series 2025-A, Class C                                    | CUSIP: 03637AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2021873.60   | 0.03%             | 2035-04-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Ansley Park Capital LLC                                | Ansley Park Capital LLC, Series 2025-A, Class D                                    | CUSIP: 03637AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7440000 | PA      | $7558891.20   | 0.11%             | 2035-04-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2019-A, Class B                                         | CUSIP: 038370AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3082346 | PA      | $3030016.22   | 0.05%             | 2040-07-16      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2019-A, Class C                                         | CUSIP: 038370AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394926 | PA      | $389355.71    | 0.01%             | 2040-07-16      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                              | Aqua Finance Issuer Trust, Series 2025-B, Class B                                  | CUSIP: 03837GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2475000 | PA      | $2523840.66   | 0.04%             | 2051-05-17      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                              | Aqua Finance Issuer Trust, Series 2025-A, Class C                                  | CUSIP: 038394AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765620 | PA      | $1811105.20   | 0.03%             | 2050-12-19      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2020-AA, Class C                                        | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202821 | PA      | $197628.34    | 0.00%             | 2046-07-17      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2021-A, Class B                                         | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3036679 | PA      | $2864034.61   | 0.04%             | 2046-07-17      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2021-A, Class C                                         | CUSIP: 03842VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6216823 | PA      | $5846521.65   | 0.09%             | 2046-07-17      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                     | Atmos Energy Corp.                                                                 | CUSIP: 049560BB0<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    629000 | PA      | $581580.25    | 0.01%             | 2054-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                             | Aviation Capital Group LLC                                                         | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    545000 | PA      | $559935.04    | 0.01%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2025-1A, Class C                  | CUSIP: 05377RKN3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2049709.60   | 0.03%             | 2029-08-20      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2025-2A, Class C                  | CUSIP: 05377RKS2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3674718.60   | 0.06%             | 2031-08-20      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2025-3A, Class C                  | CUSIP: 05377RKY9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1235000 | PA      | $1241669.99   | 0.02%             | 2030-02-20      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    850000 | PA      | $884229.50    | 0.01%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1500000 | PA      | $1519980.00   | 0.02%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3732000 | PA      | $3820597.68   | 0.06%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    928000 | PA      | $941451.82    | 0.01%             | 2030-10-10      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   5000000 | PA      | $5010958.50   | 0.08%             | 2032-10-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1460000 | PA      | $1464686.60   | 0.02%             | 2031-01-30      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401ABF7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1035000 | PA      | $1026881.46   | 0.02%             | 2033-04-01      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2016-ETC, Class D                                     | CUSIP: 05491LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $202582.99    | 0.00%             | 2036-08-14      | Variable      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| BAHA Trust                                             | BAHA Trust, Series 2024-MAR, Class A                                               | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2922810.80   | 0.04%             | 2041-12-10      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                   | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class B736                                 | CUSIP: 05494BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5894491.20   | 0.09%             | 2052-09-27      | Variable      | 1.94%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                   | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class BK86                                 | CUSIP: 05494BBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4318275.00   | 0.07%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                   | BAMLL Re-REMIC Trust, Series 2024-FRR3, Class B                                    | CUSIP: 054988AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    851000 | PA      | $820011.69    | 0.01%             | 2050-01-27      | Variable      | 1.53%                 | Yes           |                  3 | On Loan: No      |
| BMD2 Re-REMIC Trust                                    | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 5A1                                   | CUSIP: 055631BQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3806426.40   | 0.06%             | 2052-05-25      | Variable      | 3.41%                 | Yes           |                  3 | On Loan: No      |
| BMD2 Re-REMIC Trust                                    | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 5C                                    | CUSIP: 055631BX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6619500 | PA      | $5643441.49   | 0.09%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BMD2 Re-Remic Trust                                    | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 3AB                                   | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7750000 | PA      | $6891920.00   | 0.10%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BMD2 Re-REMIC Trust                                    | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 4A                                    | CUSIP: 055631FB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2350000 | PA      | $2042513.08   | 0.03%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BMD2 Re-REMIC Trust                                    | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 5B13                                  | CUSIP: 055631GM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5450028.60   | 0.08%             | 2052-05-25      | Variable      | 2.16%                 | Yes           |                  3 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $1123846.98   | 0.02%             | 2034-10-19      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3250000 | PA      | $3429776.81   | 0.05%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  10855000 | PA      | $11692497.33  | 0.18%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $411414.92    | 0.01%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| BG Beta I Ltd.                                         | BG Beta Ltd.                                                                       | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |    970000 | PA      | $998823.55    | 0.02%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| BG Beta I Ltd.                                         | BG Beta Ltd.                                                                       | CUSIP: 05593PAE6<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |    969643 | PA      | $991944.83    | 0.01%             | 2054-07-16      | Fixed         | 7.12%                 | No            |                  3 | On Loan: No      |
| BG Beta I Ltd.                                         | BG Beta I Ltd.                                                                     | CUSIP: 05593PAH9<br>LEI: 254900Z3OU5JTNX05R08 | Long             | DBT              | CORP              | KY        |   3995640 | PA      | $3995640.00   | 0.06%             | 2054-07-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2025-DELC, Class A                                                | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $3458625.00   | 0.05%             | 2042-12-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2025-DELC, Class C                                                | CUSIP: 05594MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2265000 | PA      | $2272475.86   | 0.03%             | 2042-12-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2025-DELC, Class D                                                | CUSIP: 05594MAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1980000 | PA      | $1989005.04   | 0.03%             | 2042-12-15      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                              | BXP Trust, Series 2017-GM, Class E                                                 | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4080000 | PA      | $3933791.16   | 0.06%             | 2039-06-13      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2155000 | PA      | $2229394.82   | 0.03%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2045000 | PA      | $2156866.35   | 0.03%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| BVRT LLC                                               | BVRT LLC, Series 2025-1, Class C                                                   | CUSIP: 05614UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2246800 | PA      | $2151387.64   | 0.03%             | 2033-05-10      | Floating      | 3.66%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                   | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class AK77                                 | CUSIP: 05620CAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6314000 | PA      | $5891535.94   | 0.09%             | 2051-05-27      | Variable      | 1.34%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                   | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class BK77                                 | CUSIP: 05620CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9986473 | PA      | $9267364.06   | 0.14%             | 2051-05-27      | Variable      | 1.34%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                   | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class CK77                                 | CUSIP: 05620CAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8335000 | PA      | $7651964.25   | 0.12%             | 2051-05-27      | Variable      | 1.34%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                   | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class BK97                                 | CUSIP: 05620CBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $10888957.20  | 0.16%             | 2052-07-27      | Variable      | 1.85%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                   | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class CK97                                 | CUSIP: 05620CBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12311000 | PA      | $10843063.44  | 0.16%             | 2052-07-27      | Variable      | 1.50%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Re-REMIC Trust                         | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class B                          | CUSIP: 05942XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $752973.90    | 0.01%             | 2049-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                     | Banco Bilbao Vizcaya Argentaria SA                                                 | CUSIP: 05946KAU5<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   4400000 | PA      | $4374328.68   | 0.07%             | 2036-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                     | Banco Santander SA                                                                 | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  14000000 | PA      | $14088046.14  | 0.21%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 060505GR9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7860000 | PA      | $7973367.45   | 0.12%             | 2037-02-06      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2545000 | PA      | $1891615.20   | 0.03%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $455514.31    | 0.01%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514691.83    | 0.01%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11030000 | PA      | $11559398.64  | 0.17%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5650000 | PA      | $5930194.40   | 0.09%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                              | Bank of Ireland Group plc                                                          | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    445000 | PA      | $463013.20    | 0.01%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                       | Bank of Montreal                                                                   | CUSIP: 06368MXV1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   2120000 | PA      | $2133680.30   | 0.03%             | 2031-09-22      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                              | Bank of Nova Scotia (The)                                                          | CUSIP: 06418GAZ0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   4015000 | PA      | $4061280.78   | 0.06%             | 2034-02-02      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                  | Banque Federative du Credit Mutuel SA                                              | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    835000 | PA      | $874119.22    | 0.01%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                  | Banque Federative du Credit Mutuel SA                                              | CUSIP: 06675DCS9<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   3685000 | PA      | $3724181.28   | 0.06%             | 2036-01-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                  | Banque Federative du Credit Mutuel SA                                              | CUSIP: 06675DCU4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   6930000 | PA      | $6969378.82   | 0.11%             | 2031-01-15      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738ECV5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $1023253.37   | 0.02%             | 2035-09-10      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1005000 | PA      | $1052895.70   | 0.02%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738EDJ1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1330000 | PA      | $1332943.86   | 0.02%             | 2032-02-24      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738EDK8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2895000 | PA      | $2892267.58   | 0.04%             | 2037-02-24      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                           | Biogen, Inc.                                                                       | CUSIP: 09062XAK9<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $2588966.95   | 0.04%             | 2051-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                           | Biogen, Inc.                                                                       | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    770000 | PA      | $821092.73    | 0.01%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                           | Biogen, Inc.                                                                       | CUSIP: 09062XAM5<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1609274.36   | 0.02%             | 2055-05-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Blue Owl Asset Leasing Trust LLC                       | Blue Owl Asset Leasing Trust LLC, Series 2024-1A, Class C                          | CUSIP: 095921AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1578754.52   | 0.02%             | 2031-01-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   6000000 | PA      | $6267692.88   | 0.09%             | 2035-11-19      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2810000 | PA      | $2911032.82   | 0.04%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4383000 | PA      | $4642242.75   | 0.07%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 09659W3E2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $4019202.72   | 0.06%             | 2034-01-15      | Variable      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                   | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4660000 | PA      | $3348508.71   | 0.05%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                   | CUSIP: 097023BZ7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1058613.32   | 0.02%             | 2048-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                   | CUSIP: 097023CF0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $703920.96    | 0.01%             | 2059-03-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3634625.13   | 0.05%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BOFAS Re-REMIC Trust                                   | BOFAS Re-REMIC Trust, Series 2025-FRR6, Class B                                    | CUSIP: 09711PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5381251.20   | 0.08%             | 2051-11-27      | Variable      | 1.50%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                   | BOFAS Re-REMIC Trust, Series 2025-FRR6, Class C                                    | CUSIP: 09711PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3491818.00   | 0.05%             | 2051-11-27      | Variable      | 1.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1                     | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6457154 | PA      | $6433743.33   | 0.10%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2023-RM7, Class A1                     | CUSIP: 10638BAA2<br>LEI: 98450003CE714EY3D313 | Long             | ABS-MBS          | CORP              | US        |   6820654 | PA      | $6781482.45   | 0.10%             | 2078-03-25      | Variable      | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                    | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4971730 | PA      | $4995874.54   | 0.08%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM11, Class A1                    | CUSIP: 10638GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5726444 | PA      | $5710468.55   | 0.09%             | 2065-05-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM12, Class A1                    | CUSIP: 10638KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4630035 | PA      | $4581239.99   | 0.07%             | 2065-07-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM13, Class A1                    | CUSIP: 10638PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5888052 | PA      | $5782659.56   | 0.09%             | 2065-10-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2026-RM14, Class A1                    | CUSIP: 10638QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12390000 | PA      | $12093680.76  | 0.18%             | 2066-01-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-3, Class D              | CUSIP: 107920AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5591430.90   | 0.08%             | 2031-05-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2026-1, Class D              | CUSIP: 107927AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4550954.40   | 0.07%             | 2031-11-17      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D              | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5098259.50   | 0.08%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C              | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $354868.64    | 0.01%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class C              | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1564000 | PA      | $1582164.61   | 0.02%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class D              | CUSIP: 10805NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12017000 | PA      | $12270433.72  | 0.19%             | 2030-05-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2024-SFR1, Class C                                            | CUSIP: 10806DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $513223.88    | 0.01%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class D              | CUSIP: 10806EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1167139.83   | 0.02%             | 2030-08-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D              | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6375000 | PA      | $6516364.35   | 0.10%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2025-SFR1, Class B                                            | CUSIP: 10807GAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5162021 | PA      | $5005499.05   | 0.08%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2025-SFR1, Class C                                            | CUSIP: 10807GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1392847 | PA      | $1339713.80   | 0.02%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2025-SFR1, Class D                                            | CUSIP: 10807GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7982661 | PA      | $7615600.50   | 0.12%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2025-SFR1, Class E                                            | CUSIP: 10807GAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2446219 | PA      | $2318539.59   | 0.04%             | 2042-09-17      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D              | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9080000 | PA      | $9300630.38   | 0.14%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class D              | CUSIP: 10807UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4889000 | PA      | $4999675.72   | 0.08%             | 2031-08-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                               | Bristol-Myers Squibb Co.                                                           | CUSIP: 110122DS4<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $695438.07    | 0.01%             | 2050-11-13      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                     | CUSIP: 11135FCV1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   6155000 | PA      | $5098707.89   | 0.08%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                     | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    507000 | PA      | $508251.69    | 0.01%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                               | Bunge Ltd. Finance Corp.                                                           | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   5256000 | PA      | $5234448.14   | 0.08%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                               | Bunge Ltd. Finance Corp.                                                           | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1251842.92   | 0.02%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-2A, Class A                               | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3388961 | PA      | $3438308.22   | 0.05%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-2A, Class B                               | CUSIP: 12326TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1657524 | PA      | $1665595.21   | 0.03%             | 2039-09-15      | Fixed         | 5.75%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2022-1A, Class B                               | CUSIP: 12327AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090158 | PA      | $1090386.79   | 0.02%             | 2037-06-15      | Fixed         | 5.19%                 | Yes           |                  3 | On Loan: No      |
| BXG Receivables Note Trust                             | BXG Receivables Note Trust, Series 2022-A, Class C                                 | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117331 | PA      | $117309.37    | 0.00%             | 2037-09-28      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LP                                         | CAFL Issuer LP, Series 2025-RRTL1, Class A1                                        | CUSIP: 124760AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $4649443.56   | 0.07%             | 2040-05-28      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                              | CFIN 2022-RTL1 Issuer LLC, Class A                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   8665142 | PA      | $8654310.89   | 0.13%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB14, Class M2                                               | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $970627.10    | 0.01%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Cigna Group (The)                                      | Cigna Group (The)                                                                  | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $839178.14    | 0.01%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                      | Cigna Group (The)                                                                  | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1634000 | PA      | $1678265.62   | 0.03%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2023-D, Class C                                 | CUSIP: 12598VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360684 | PA      | $364315.45    | 0.01%             | 2030-01-15      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                 | Consumer Portfolio Services Auto Trust, Series 2025-B, Class D                     | CUSIP: 12630SAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2246462.90   | 0.03%             | 2031-07-15      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                            | CSMC OA LLC, Series 2014-USA, Class A1                                             | CUSIP: 12649AAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6408073 | PA      | $5930140.70   | 0.09%             | 2037-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                            | CSMC OA LLC, Series 2014-USA, Class A2                                             | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1882247.80   | 0.03%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                            | CSMC OA LLC, Series 2014-USA, Class B                                              | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   5350000 | PA      | $4801821.35   | 0.07%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                            | CSMC OA LLC, Series 2014-USA, Class C                                              | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $660285.00    | 0.01%             | 2037-09-15      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                 | CVS Pass-Through Trust                                                             | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254549 | PA      | $258198.27    | 0.00%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| CVS Pass Through Trust                                 | CVS Pass-Through Trust                                                             | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212224 | PA      | $221345.59    | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                 | CVS Pass-Through Trust                                                             | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    371017 | PA      | $397191.37    | 0.01%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                 | CVS Pass-Through Trust                                                             | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366945 | PA      | $378756.40    | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                         | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class A                         | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4698900 | PA      | $4730161.31   | 0.07%             | 2042-11-10      | Variable      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                         | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class B                         | CUSIP: 12676JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3419657.44   | 0.05%             | 2042-11-10      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                         | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class D                         | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3110000 | PA      | $3140324.68   | 0.05%             | 2042-11-10      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| CRIBS Mortgage Trust                                   | CRIBS Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 12704NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7077067.90   | 0.11%             | 2040-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                   | Coterra Energy, Inc.                                                               | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1340605.47   | 0.02%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                   | Coterra Energy, Inc.                                                               | CUSIP: 127097AN3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   2275000 | PA      | $2262862.35   | 0.03%             | 2055-02-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                           | Cadence Design Systems, Inc.                                                       | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    879000 | PA      | $886622.14    | 0.01%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LP                                         | CAFL Issuer LP, Series 2025-RRTL2, Class A1                                        | CUSIP: 12770JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6745000 | PA      | $6789110.95   | 0.10%             | 2040-11-28      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    448000 | PA      | $502920.64    | 0.01%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    313000 | PA      | $326401.51    | 0.00%             | 2030-03-15      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   6510000 | PA      | $6985945.77   | 0.11%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  14955000 | PA      | $15516363.29  | 0.23%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                           | Canadian Pacific Railway Co.                                                       | CUSIP: 13645RAU8<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    700000 | PA      | $659632.48    | 0.01%             | 2045-08-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                        | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   4875000 | PA      | $4861506.24   | 0.07%             | 2036-09-11      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                        | CUSIP: 14040HDQ5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   5400000 | PA      | $5449005.49   | 0.08%             | 2037-01-30      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Cardinal Health, Inc.                                  | Cardinal Health, Inc.                                                              | CUSIP: 14149YBV9<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   2165000 | PA      | $2216687.12   | 0.03%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                        | CarMax Select Receivables Trust, Series 2025-A, Class C                            | CUSIP: 14319UAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5130937.00   | 0.08%             | 2031-07-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2021-P4, Class A4                           | CUSIP: 14687KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165337 | PA      | $164320.47    | 0.00%             | 2027-12-10      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-N2, Class C                            | CUSIP: 14687VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085000 | PA      | $2129698.65   | 0.03%             | 2030-09-10      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2022-P1, Class A4                           | CUSIP: 14688DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152678 | PA      | $152458.79    | 0.00%             | 2028-02-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                  | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3424869 | PA      | $3146217.90   | 0.05%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2021-MH1, Class M2                                  | CUSIP: 14731QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3007000 | PA      | $2472831.71   | 0.04%             | 2046-02-25      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2024-MH1, Class A1                                  | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1204210 | PA      | $1250725.92   | 0.02%             | 2056-11-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2024-MH1, Class A2                                  | CUSIP: 14731VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1554000 | PA      | $1648000.06   | 0.02%             | 2056-11-25      | Variable      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2024-MH1, Class M1                                  | CUSIP: 14731VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1060148.70   | 0.02%             | 2056-11-25      | Variable      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2024-MH1, Class M2                                  | CUSIP: 14731VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324000 | PA      | $343754.83    | 0.01%             | 2056-11-25      | Variable      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2019-MH1, Class M                                   | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5200000 | PA      | $5080625.68   | 0.08%             | 2044-11-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2024-RTL1, Class A1 | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1720000 | PA      | $1738182.81   | 0.03%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2026-RTL1, Class A1 | CUSIP: 151704AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5872000 | PA      | $5895863.81   | 0.09%             | 2030-12-25      | Variable      | 5.38%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB15, Class M1                                               | CUSIP: 15723AAB7<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   2470000 | PA      | $2436323.53   | 0.04%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB15, Class M2                                               | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $294321.81    | 0.00%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6835000 | PA      | $5696903.53   | 0.09%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $613101.54    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $2632128.56   | 0.04%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $494311.85    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $952336.99    | 0.01%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                            | Cheniere Energy Partners LP                                                        | CUSIP: 16411QAW1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    560000 | PA      | $581128.79    | 0.01%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                  | Cheniere Energy, Inc.                                                              | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    570000 | PA      | $599388.12    | 0.01%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                            | Cherry Securitization Trust, Series 2024-1A, Class A                               | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1384401.29   | 0.02%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Cherry Securitization Trust                            | Cherry Securitization Trust, Series 2025-1A, Class A                               | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1525903.05   | 0.02%             | 2032-11-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3275000 | PA      | $3415669.90   | 0.05%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2015267.22   | 0.03%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7630926.23   | 0.12%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1026000 | PA      | $1038106.72   | 0.02%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1004681.50   | 0.02%             | 2056-03-04      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3755000 | PA      | $3870720.39   | 0.06%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                   | Columbia Pipelines Operating Co. LLC                                               | CUSIP: 19828TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2230000 | PA      | $2187558.13   | 0.03%             | 2054-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                   | Columbia Pipelines Operating Co. LLC                                               | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10415753.50  | 0.16%             | 2035-02-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3568065.50   | 0.05%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2785000 | PA      | $2105508.35   | 0.03%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $965944.15    | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1067203.94   | 0.02%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    500000 | PA      | $522401.56    | 0.01%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1189000 | PA      | $1197162.62   | 0.02%             | 2037-01-15      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips Co.                                     | ConocoPhillips Co.                                                                 | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    680000 | PA      | $667774.94    | 0.01%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                        | CoreVest American Finance Trust, Series 2017-2, Class M                            | CUSIP: 21870DAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7250000 | PA      | $7185439.48   | 0.11%             | 2027-12-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Corevest American Finance Trust                        | Corevest American Finance Trust, Series 2020-2, Class C                            | CUSIP: 21872VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $522659.92    | 0.01%             | 2052-05-15      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Corevest American Finance Trust                        | Corevest American Finance Trust, Series 2020-2, Class E                            | CUSIP: 21872VAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2699000 | PA      | $2610462.00   | 0.04%             | 2052-05-15      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Corevest American Finance Trust                        | Corevest American Finance Trust, Series 2020-4, Class E                            | CUSIP: 21873AAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3432000 | PA      | $3075505.80   | 0.05%             | 2052-12-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                 | Consumer Portfolio Services Auto Trust, Series 2025-D, Class C                     | CUSIP: 223936AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4049181.60   | 0.06%             | 2032-02-17      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2025-2A, Class B                         | CUSIP: 224940AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2955000 | PA      | $2996018.06   | 0.05%             | 2036-01-15      | Fixed         | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2025-2A, Class C                         | CUSIP: 224940AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12509000 | PA      | $12749366.69  | 0.19%             | 2036-03-17      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                         | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7083000 | PA      | $7189128.84   | 0.11%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                                 | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1605000 | PA      | $1705922.96   | 0.03%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                                 | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    374000 | PA      | $386715.38    | 0.01%             | 2031-05-27      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                                 | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2640000 | PA      | $2659920.67   | 0.04%             | 2033-09-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                                 | CUSIP: 22535WAU1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   6810000 | PA      | $6879722.28   | 0.10%             | 2037-01-12      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class C                         | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6145000 | PA      | $6272497.07   | 0.09%             | 2035-07-16      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                         | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43066 | PA      | $43100.59     | 0.00%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $233941.86    | 0.00%             | 2032-05-14      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    636000 | PA      | $697547.50    | 0.01%             | 2034-09-22      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1310000 | PA      | $1305737.85   | 0.02%             | 2037-03-23      | Variable      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 225401BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4165000 | PA      | $4202805.83   | 0.06%             | 2037-08-10      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2022-A, Class D                                     | CUSIP: 22767DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3019188.60   | 0.05%             | 2031-04-21      | Fixed         | 8.99%                 | Yes           |                  3 | On Loan: No      |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2025-A, Class D                                     | CUSIP: 22767VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1680000 | PA      | $1716006.77   | 0.03%             | 2032-02-20      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                         | CSTL Commercial Mortgage Trust, Series 2026-GATE3, Class C                         | CUSIP: 228920AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3188000 | PA      | $3224303.99   | 0.05%             | 2043-02-10      | Variable      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                         | CSTL Commercial Mortgage Trust, Series 2026-GATE3, Class D                         | CUSIP: 228920AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2940000 | PA      | $2973176.14   | 0.04%             | 2043-02-10      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust, Series 2022-2A, Class E                                       | CUSIP: 23345AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2012925.80   | 0.03%             | 2029-05-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust, Series 2023-2A, Class D                                       | CUSIP: 23346CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1021335.90   | 0.02%             | 2029-02-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust, Series 2023-1A, Class E                                       | CUSIP: 23346KAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2083668.40   | 0.03%             | 2030-01-15      | Fixed         | 10.39%                | Yes           |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                     | DP Lion Holdco LLC, Series 2023-1A, Class A                                        | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |    186297 | PA      | $191518.75    | 0.00%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                        | Danske Bank A/S                                                                    | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    400000 | PA      | $417458.96    | 0.01%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                        | Danske Bank A/S                                                                    | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   4300000 | PA      | $4420653.23   | 0.07%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                   | Deephaven Residential Mortgage Trust, Series 2025-CES1, Class A1A                  | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8310656 | PA      | $8396787.79   | 0.13%             | 2055-10-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                   | Deephaven Residential Mortgage Trust, Series 2022-2, Class A1                      | CUSIP: 24380XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4365372 | PA      | $4323554.46   | 0.07%             | 2067-03-25      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                             | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2066721.82   | 0.03%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    445000 | PA      | $412492.22    | 0.01%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    175000 | PA      | $183025.79    | 0.00%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2440000 | PA      | $2519673.83   | 0.04%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    825000 | PA      | $829729.99    | 0.01%             | 2031-12-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2000000 | PA      | $2043986.78   | 0.03%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Dext ABS LLC                                           | Dext ABS LLC, Series 2025-2, Class A3                                              | CUSIP: 252153AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2765000 | PA      | $2773728.83   | 0.04%             | 2036-04-15      | Fixed         | 4.23%                 | Yes           |                  2 | On Loan: No      |
| DLIC Re-REMIC Trust                                    | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A104                                  | CUSIP: 255928AW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3672182.40   | 0.06%             | 2052-12-27      | Variable      | 2.56%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                    | DLIC Re-REMIC Trust, Series 2025-FRR1, Class B104                                  | CUSIP: 255928AY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5275347.00   | 0.08%             | 2052-12-27      | Variable      | 1.87%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                    | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A111                                  | CUSIP: 255928BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6220368.70   | 0.09%             | 2053-04-27      | Variable      | 2.25%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                    | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A120                                  | CUSIP: 255928BY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4415891.50   | 0.07%             | 2053-09-27      | Variable      | 2.60%                 | Yes           |                  3 | On Loan: No      |
| DuPont de Nemours, Inc.                                | DuPont de Nemours, Inc.                                                            | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   1059000 | PA      | $1075102.37   | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                | DuPont de Nemours, Inc.                                                            | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    316000 | PA      | $302221.71    | 0.00%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                        | Diversified ABS Holdings LLC, Series 2024-2A, Class A                              | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1764891 | PA      | $1781304.66   | 0.03%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2024-2, Class C                               | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720000 | PA      | $726119.78    | 0.01%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2024-2, Class D                               | CUSIP: 26207AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2021914.60   | 0.03%             | 2032-05-17      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2025-1, Class D                               | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2952891.94   | 0.04%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2025-2, Class D                               | CUSIP: 262103AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5615000 | PA      | $5669419.46   | 0.09%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| EIDP, Inc.                                             | EIDP, Inc.                                                                         | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1558650.80   | 0.02%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                                  | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1088250.79   | 0.02%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EOG Resources, Inc.                                    | EOG Resources, Inc.                                                                | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5196198.80   | 0.08%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco Sarl                               | Eagle Funding Luxco SARL                                                           | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   4681000 | PA      | $4774620.00   | 0.07%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                        | Eastern Energy Gas Holdings LLC                                                    | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    600000 | PA      | $592712.17    | 0.01%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                        | Eastern Energy Gas Holdings LLC                                                    | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    695000 | PA      | $738833.91    | 0.01%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Elara Hgv Timeshare Issuer LLC                         | Elara Hgv Timeshare Issuer LLC, Series 2025-A, Class A                             | CUSIP: 28416VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2237745 | PA      | $2255428.00   | 0.03%             | 2040-01-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                         | Element Fleet Management Corp.                                                     | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $820055.42    | 0.01%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Emera US Finance LP                                    | Emera US Finance LP                                                                | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6885000 | PA      | $5952785.53   | 0.09%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                     | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    890000 | PA      | $942102.50    | 0.01%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                                 | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1365608.14   | 0.02%             | 2045-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                                 | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    400000 | PA      | $417922.48    | 0.01%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                                 | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2101033.38   | 0.03%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                          | Enel Finance International NV                                                      | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    350000 | PA      | $365139.91    | 0.01%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                          | Enel Finance International NV                                                      | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1425000 | PA      | $1423519.78   | 0.02%             | 2035-09-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                  | Entergy Louisiana LLC                                                              | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    440000 | PA      | $447464.67    | 0.01%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                    | Entergy Texas, Inc.                                                                | CUSIP: 29365TAP9<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    564000 | PA      | $549859.98    | 0.01%             | 2054-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                      | Enterprise Products Operating LLC                                                  | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    470000 | PA      | $465128.51    | 0.01%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Equinix Europe 2 Financing Corp. LLC                   | Equinix Europe 2 Financing Corp. LLC                                               | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |   2990000 | PA      | $3025612.48   | 0.05%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Equinix Europe 2 Financing Corp. LLC                   | Equinix Europe 2 Financing Corp. LLC                                               | CUSIP: 29390XAH7<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2007406.32   | 0.03%             | 2033-03-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EQV Abs Issuer I LLC                                   | EQV Abs Issuer I LLC                                                               | CUSIP: 29476QAB2<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-MBS          | CORP              | US        |   2601769 | PA      | $2615558.72   | 0.04%             | 2040-12-15      | Fixed         | 5.85%                 | No            |                  3 | On Loan: No      |
| Essex Portfolio LP                                     | Essex Portfolio LP                                                                 | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    525000 | PA      | $547580.38    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                     | Essex Portfolio LP                                                                 | CUSIP: 29717PBB2<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1758878.45   | 0.03%             | 2035-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Evergy Kansas Central, Inc.                            | Evergy Kansas Central, Inc.                                                        | CUSIP: 30036FAD3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514202.50    | 0.01%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Evergy Missouri West, Inc.                             | Evergy Missouri West, Inc.                                                         | CUSIP: 30037EAC7<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |    750000 | PA      | $759157.65    | 0.01%             | 2035-12-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                    | Constellation Energy Generation LLC                                                | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    455000 | PA      | $473096.00    | 0.01%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                    | Constellation Energy Generation LLC                                                | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    850000 | PA      | $863304.72    | 0.01%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                           | Exelon Corp.                                                                       | CUSIP: 30161NBS9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003498.12   | 0.02%             | 2055-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-5A, Class C                       | CUSIP: 30166VAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3445000 | PA      | $3492072.14   | 0.05%             | 2032-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-5A, Class D                       | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3098000 | PA      | $3149423.70   | 0.05%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                       | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2465367.36   | 0.04%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                       | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6080000 | PA      | $6185281.28   | 0.09%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-2A, Class D                       | CUSIP: 30168JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $5049888.06   | 0.08%             | 2031-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust             | Exeter Select Automobile Receivables Trust, Series 2025-3, Class C                 | CUSIP: 30185FAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5098648.50   | 0.08%             | 2032-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                             | F&G Annuities & Life, Inc.                                                         | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1435938.77   | 0.02%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                    | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1595206.24   | 0.02%             | 2028-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                    | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7401964 | PA      | $7187111.63   | 0.11%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                    | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7361863.50   | 0.11%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                    | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3022400 | PA      | $2944811.37   | 0.04%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2021-GT2, Class B                                    | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6680000 | PA      | $6559357.86   | 0.10%             | 2026-10-25      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2022-GT1, Class B                                    | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504648.60    | 0.01%             | 2027-04-25      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                             | FW Energy Asset Issuer LLC                                                         | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |    437853 | PA      | $450234.63    | 0.01%             | 2044-06-26      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Energy Assets                                          | Energy Assets                                                                      | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    216230 | PA      | $222598.19    | 0.00%             | 2044-06-26      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2016-K55, Class C                                     | CUSIP: 30289HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $996729.00    | 0.02%             | 2049-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K79, Class C                                     | CUSIP: 302956AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145000 | PA      | $142958.28    | 0.00%             | 2051-07-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K154, Class B                                    | CUSIP: 302968AE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    610000 | PA      | $547143.34    | 0.01%             | 2032-11-25      | Variable      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K64, Class B                                     | CUSIP: 30296CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4455000 | PA      | $4429862.22   | 0.07%             | 2050-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K155, Class B                                    | CUSIP: 30296QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    580000 | PA      | $521548.82    | 0.01%             | 2033-04-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K77, Class B                                     | CUSIP: 30296VAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1170000 | PA      | $1165601.15   | 0.02%             | 2051-05-25      | Variable      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K77, Class C                                     | CUSIP: 30296VAU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $991429.80    | 0.01%             | 2051-05-25      | Variable      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K88, Class B                                     | CUSIP: 302971AR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1999900.80   | 0.03%             | 2052-02-25      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K88, Class C                                     | CUSIP: 302971AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $987835.30    | 0.01%             | 2052-02-25      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K89, Class B                                     | CUSIP: 302972AS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $7018583.60   | 0.11%             | 2051-01-25      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K89, Class C                                     | CUSIP: 302972AU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1988915.40   | 0.03%             | 2051-01-25      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-K105, Class C                                    | CUSIP: 302975BG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1651000 | PA      | $1586364.67   | 0.02%             | 2053-03-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                    | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1746147.40   | 0.03%             | 2030-02-25      | Variable      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-KS11, Class B                                    | CUSIP: 30298KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2952000 | PA      | $2873422.78   | 0.04%             | 2029-06-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-K737, Class B                                    | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1452000 | PA      | $1438232.57   | 0.02%             | 2053-01-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-K737, Class C                                    | CUSIP: 30300SAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4870000 | PA      | $4813666.28   | 0.07%             | 2053-01-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                   | Meta Platforms, Inc.                                                               | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6136876.59   | 0.09%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                   | Meta Platforms, Inc.                                                               | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   5430000 | PA      | $5364625.03   | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                   | Meta Platforms, Inc.                                                               | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   7410000 | PA      | $7534286.89   | 0.11%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                   | Meta Platforms, Inc.                                                               | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   4610000 | PA      | $4655902.92   | 0.07%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                   | Meta Platforms, Inc.                                                               | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   4165000 | PA      | $4076807.12   | 0.06%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K68, Class B                                     | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2971270.20   | 0.04%             | 2049-10-25      | Variable      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-KGX1, Class BFX                                  | CUSIP: 30305QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    570000 | PA      | $555323.36    | 0.01%             | 2027-10-25      | Variable      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K80, Class B                                     | CUSIP: 30307RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2076000 | PA      | $2051225.64   | 0.03%             | 2050-08-25      | Variable      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K90, Class C                                     | CUSIP: 30308QAU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $497394.30    | 0.01%             | 2052-02-25      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K91, Class C                                     | CUSIP: 30309JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1795000 | PA      | $1775820.07   | 0.03%             | 2051-04-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K94, Class C                                     | CUSIP: 30310XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1250000 | PA      | $1228743.75   | 0.02%             | 2052-07-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-KL05, Class BP                                   | CUSIP: 30311NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1905609.00   | 0.03%             | 2029-06-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-KBF3, Class B                                    | CUSIP: 30311TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170455 | PA      | $169470.62    | 0.00%             | 2029-01-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-KS12, Class B                                    | CUSIP: 30311XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2952332 | PA      | $2952743.71   | 0.04%             | 2029-08-25      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K98, Class B                                     | CUSIP: 30312DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1040000 | PA      | $1020755.32   | 0.02%             | 2052-10-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K98, Class C                                     | CUSIP: 30312DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9395000 | PA      | $9144455.08   | 0.14%             | 2052-10-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K102, Class B                                    | CUSIP: 30312WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $364460.03    | 0.01%             | 2051-12-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K102, Class C                                    | CUSIP: 30312WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4075000 | PA      | $3923332.58   | 0.06%             | 2051-12-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K93, Class B                                     | CUSIP: 30313FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1988727.60   | 0.03%             | 2052-05-25      | Variable      | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K100, Class C                                    | CUSIP: 30313PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4707000 | PA      | $4520342.50   | 0.07%             | 2052-11-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2019-K96 Mortgage Trust                          | FREMF Mortgage Trust, Series 2019-K96, Class B                                     | CUSIP: 30314DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1969270.60   | 0.03%             | 2056-08-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K96, Class C                                     | CUSIP: 30314DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4754000 | PA      | $4613922.44   | 0.07%             | 2056-08-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K103, Class B                                    | CUSIP: 30315DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1819000 | PA      | $1736932.36   | 0.03%             | 2051-12-25      | Variable      | 3.46%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                  | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    967142 | PA      | $910341.14    | 0.01%             | 2031-01-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class B                                                   | CUSIP: 30322DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2948844.60   | 0.04%             | 2038-09-17      | Fixed         | 1.72%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class D                                                   | CUSIP: 30322DAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905000 | PA      | $889648.94    | 0.01%             | 2038-09-17      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class E1                                                  | CUSIP: 30322DAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1228661.00   | 0.02%             | 2038-09-17      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class E2                                                  | CUSIP: 30322DAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1129712.85   | 0.02%             | 2038-09-17      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2021-KHG3, Class BFL                                  | CUSIP: 30323AAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8012539 | PA      | $8008721.15   | 0.12%             | 2028-09-25      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                       | FHF Issuer Trust, Series 2023-2A, Class B                                          | CUSIP: 30333LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $463054.82    | 0.01%             | 2029-11-15      | Fixed         | 7.49%                 | Yes           |                  2 | On Loan: No      |
| FARM Mortgage Trust                                    | FARM Mortgage Trust, Series 2021-1, Class A                                        | CUSIP: 30768WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1093671 | PA      | $892170.51    | 0.01%             | 2051-01-25      | Variable      | 2.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 276, Class 20                                                | CUSIP: 3128HX5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215403 | PA      | $193643.66    | 0.00%             | 2042-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1571422 | PA      | $1433827.56   | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DM3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1199910 | PA      | $1088907.90   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DMT39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3513063 | PA      | $3074265.31   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DMYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1645955 | PA      | $1511233.81   | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNKA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1743051 | PA      | $1760203.88   | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    654021 | PA      | $593829.98    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5743676 | PA      | $5247816.02   | 0.08%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNXS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    756162 | PA      | $770088.17    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2570108 | PA      | $2571150.11   | 0.04%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DTMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1043712 | PA      | $986831.28    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DUWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7070981 | PA      | $6441917.79   | 0.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DVJN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2298125 | PA      | $2104454.84   | 0.03%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    858988 | PA      | $779507.65    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2877237 | PA      | $2911600.99   | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 3132H7CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136995 | PA      | $139803.99    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 326, Class 350                                               | CUSIP: 3132HT3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433909 | PA      | $410080.47    | 0.01%             | 2044-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3132XHA38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $11105313.01  | 0.17%             | 2032-07-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3132XHA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $7530448.95   | 0.11%             | 2032-07-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3132XJN71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5101706.60   | 0.08%             | 2033-12-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133A4ST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232679 | PA      | $204864.64    | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133AAE57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1949382 | PA      | $1719490.16   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133ABNU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499847 | PA      | $440513.37    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    712502 | PA      | $597511.02    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133AWKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2762149 | PA      | $2508353.77   | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133B7LC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2067162 | PA      | $1802797.99   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730269 | PA      | $663060.95    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133B9SJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3787371 | PA      | $3291850.37   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BAFQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    775058 | PA      | $702113.62    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BGCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1645981 | PA      | $1606523.33   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BGEM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2774909 | PA      | $2756024.68   | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BH4K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3156398 | PA      | $2744977.96   | 0.04%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BJPD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693043 | PA      | $653979.15    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4725581 | PA      | $4772809.44   | 0.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KKBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605638 | PA      | $483319.36    | 0.01%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KKHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    569584 | PA      | $519720.61    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KL3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2020772 | PA      | $1905320.59   | 0.03%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KM4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13903130 | PA      | $12195009.48  | 0.18%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KMJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1629638 | PA      | $1355909.95   | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KMNK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1683598 | PA      | $1639300.05   | 0.02%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KMSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5885030 | PA      | $5384322.47   | 0.08%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KMTF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1768721 | PA      | $1545950.68   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KN6P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3890651 | PA      | $3522827.48   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    710228 | PA      | $674269.09    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KNNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10337867 | PA      | $10131038.48  | 0.15%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KNR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1299287 | PA      | $1185496.13   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3349407 | PA      | $2941519.93   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3133LWAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443675 | PA      | $427442.54    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133USHS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1206975 | PA      | $1104046.16   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-28, Class PT                                              | CUSIP: 3136A33E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716113 | PA      | $715099.45    | 0.01%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-4, Class NB                                               | CUSIP: 3136A3Q79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230389 | PA      | $227016.75    | 0.00%             | 2042-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-124, Class PA                                             | CUSIP: 3136A9Z92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88731 | PA      | $84344.43     | 0.00%             | 2042-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-130, Class DC                                             | CUSIP: 3136AAGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272533 | PA      | $255944.54    | 0.00%             | 2042-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-9, Class CB                                               | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591522 | PA      | $615231.40    | 0.01%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-92, Class GZ                                              | CUSIP: 3136AQUQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1225774 | PA      | $1103864.97   | 0.02%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-87, Class EA                                              | CUSIP: 3136AYU84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228140 | PA      | $214070.38    | 0.00%             | 2044-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-75, Class LA                                              | CUSIP: 3136B3BV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309959 | PA      | $1259108.26   | 0.02%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-12, Class BA                                              | CUSIP: 3136B4FJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244267 | PA      | $224700.05    | 0.00%             | 2049-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-60, Class DA                                              | CUSIP: 3136B6VJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163854 | PA      | $150128.42    | 0.00%             | 2049-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-10, Class DA                                              | CUSIP: 3136B9BV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4206120 | PA      | $3889029.43   | 0.06%             | 2060-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-50, Class A                                               | CUSIP: 3136BAZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395158 | PA      | $337303.44    | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-54, Class UB                                              | CUSIP: 3136BBGT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118632 | PA      | $120935.69    | 0.00%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-70, Class AD                                              | CUSIP: 3136BBW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281096 | PA      | $228552.33    | 0.00%             | 2050-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2020-M53, Class A2                                               | CUSIP: 3136BC7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27000 | PA      | $23598.65     | 0.00%             | 2032-11-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2021-M8, Class A2                                                | CUSIP: 3136BFHD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5619716 | PA      | $5134829.77   | 0.08%             | 2035-11-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-27, Class EC                                              | CUSIP: 3136BHAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131924 | PA      | $110202.93    | 0.00%             | 2051-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-91, Class GB                                              | CUSIP: 3136BK3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6134874 | PA      | $5307751.07   | 0.08%             | 2049-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-95, Class GA                                              | CUSIP: 3136BKUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4154187 | PA      | $3536204.43   | 0.05%             | 2051-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2022-12, Class GE                                              | CUSIP: 3136BMDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5598038 | PA      | $5287958.40   | 0.08%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2023-40                                                        | CUSIP: 3136BQGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3300906 | PA      | $2823920.19   | 0.04%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2024-M2, Class A1                                                | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631596 | PA      | $651913.39    | 0.01%             | 2033-04-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2023-M8, Class A1                                                | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278481 | PA      | $284571.35    | 0.00%             | 2032-11-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-29, Class LA                                              | CUSIP: 3136BV2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3138705 | PA      | $2817251.07   | 0.04%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-18, Class MA                                              | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6888891 | PA      | $5914616.87   | 0.09%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-31, Class MA                                              | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3829446 | PA      | $3265728.57   | 0.05%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-52, Class BT                                              | CUSIP: 3136BWUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10058269 | PA      | $8850574.41   | 0.13%             | 2055-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4016, Class KZ                                                | CUSIP: 3137ANAB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237530 | PA      | $234096.64    | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4487, Class TL                                                | CUSIP: 3137BK2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $937818.40    | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4480, Class NB                                                | CUSIP: 3137BKDQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $450555.80    | 0.01%             | 2045-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4585, Class DA                                                | CUSIP: 3137BPFK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202525 | PA      | $195444.39    | 0.00%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL06, Class XFX   | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4891418 | PA      | $212306.63    | 0.00%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5063, Class LC                                                | CUSIP: 3137F8W74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457465 | PA      | $362437.98    | 0.01%             | 2051-01-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5073, Class GA                                                | CUSIP: 3137F9JE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    930520 | PA      | $801893.75    | 0.01%             | 2044-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4710, Class JE                                                | CUSIP: 3137FA6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532673 | PA      | $488063.12    | 0.01%             | 2047-06-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5088, Class MP                                                | CUSIP: 3137FFEV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437376 | PA      | $351405.72    | 0.01%             | 2050-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4862, Class NO                                                | CUSIP: 3137FKUH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1730704 | PA      | $1116956.81   | 0.02%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4863, Class H                                                 | CUSIP: 3137FL2Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450016 | PA      | $490536.30    | 0.01%             | 2049-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4896, Class CG                                                | CUSIP: 3137FMLM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279168 | PA      | $272312.57    | 0.00%             | 2049-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4913, Class UA                                                | CUSIP: 3137FNNK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    741544 | PA      | $682351.54    | 0.01%             | 2049-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4994, Class LI                                                | CUSIP: 3137FUEK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139134 | PA      | $26566.71     | 0.00%             | 2048-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5000, Class EA                                                | CUSIP: 3137FVFC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    699984 | PA      | $550293.22    | 0.01%             | 2050-07-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5027, Class JA                                                | CUSIP: 3137FWPZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125565 | PA      | $117836.18    | 0.00%             | 2044-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5023, Class TE                                                | CUSIP: 3137FWVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2629665 | PA      | $2057595.62   | 0.03%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5132, Class EB                                                | CUSIP: 3137H1YJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    888654 | PA      | $704773.52    | 0.01%             | 2051-08-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5141, Class PA                                                | CUSIP: 3137H1ZD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278281 | PA      | $236898.11    | 0.00%             | 2050-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5149, Class HB                                                | CUSIP: 3137H2SL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534066 | PA      | $441250.94    | 0.01%             | 2048-08-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K135, Class AM    | CUSIP: 3137H4R44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $942737.88    | 0.01%             | 2031-10-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5195, Class CA                                                | CUSIP: 3137H5PG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2525917 | PA      | $2328183.07   | 0.04%             | 2047-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5202, Class BH                                                | CUSIP: 3137H5ZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    604505 | PA      | $567286.72    | 0.01%             | 2047-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5224, Class HL                                                | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1627833.64   | 0.02%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ40, Class A2    | CUSIP: 3137H8B59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335000 | PA      | $332393.97    | 0.01%             | 2030-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ44, Class A2    | CUSIP: 3137H9QU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $512307.00    | 0.01%             | 2033-02-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5438                                                          | CUSIP: 3137HF7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3140444 | PA      | $2655654.18   | 0.04%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249652 | PA      | $240439.12    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328281 | PA      | $304340.65    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138L0Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799029 | PA      | $771271.41    | 0.01%             | 2032-09-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138L7SZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105845 | PA      | $1096944.54   | 0.02%             | 2029-10-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LG4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370853 | PA      | $363633.23    | 0.01%             | 2037-01-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LJMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1098340 | PA      | $1057782.38   | 0.02%             | 2032-07-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                  | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684702 | PA      | $720265.82    | 0.01%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140A9LA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3558152 | PA      | $3654816.76   | 0.06%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140ABE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2041432 | PA      | $2052394.82   | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140AELG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3929948 | PA      | $3995079.02   | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140AEMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1089262 | PA      | $1118104.58   | 0.02%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140AUU27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790718 | PA      | $838431.80    | 0.01%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140AUUZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    860633 | PA      | $905095.77    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140FVUQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121501 | PA      | $115834.27    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4317545 | PA      | $4270797.07   | 0.06%             | 2063-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3648638 | PA      | $3109555.93   | 0.05%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3678650 | PA      | $3292420.47   | 0.05%             | 2064-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4462340 | PA      | $4323837.13   | 0.07%             | 2064-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2454049 | PA      | $2427475.51   | 0.04%             | 2064-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXCQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2923106 | PA      | $2847882.37   | 0.04%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606803 | PA      | $543128.49    | 0.01%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5748637 | PA      | $5600684.48   | 0.08%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2171544 | PA      | $2042372.77   | 0.03%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3425478 | PA      | $3066019.38   | 0.05%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5326697 | PA      | $4592721.15   | 0.07%             | 2059-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359583 | PA      | $322956.98    | 0.00%             | 2060-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543805 | PA      | $505303.26    | 0.01%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXRZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2795346 | PA      | $2481135.68   | 0.04%             | 2060-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923178 | PA      | $779934.17    | 0.01%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8099841 | PA      | $6843010.19   | 0.10%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2674256 | PA      | $2363697.83   | 0.04%             | 2061-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850354 | PA      | $858667.52    | 0.01%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    856808 | PA      | $736597.58    | 0.01%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8234483 | PA      | $7694677.31   | 0.12%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3185679 | PA      | $3038733.11   | 0.05%             | 2063-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140HFK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222993 | PA      | $195109.72    | 0.00%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HTN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971400 | PA      | $925776.93    | 0.01%             | 2034-05-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HV4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286240 | PA      | $273094.65    | 0.00%             | 2029-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HVFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105575 | PA      | $97740.66     | 0.00%             | 2034-10-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360781 | PA      | $346210.64    | 0.01%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HWC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6671872.41   | 0.10%             | 2029-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HX5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1161926 | PA      | $1114979.31   | 0.02%             | 2028-11-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HXB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943589 | PA      | $903663.20    | 0.01%             | 2029-06-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HY2D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383000 | PA      | $317331.61    | 0.00%             | 2035-06-01      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140J0LU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6735954 | PA      | $5902837.94   | 0.09%             | 2032-07-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140J3BW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1727386.00   | 0.03%             | 2033-01-01      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140J9PE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578245 | PA      | $576165.16    | 0.01%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2142046 | PA      | $1843100.46   | 0.03%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6998993 | PA      | $5974859.79   | 0.09%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7563940 | PA      | $6534393.49   | 0.10%             | 2033-01-01      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1481534 | PA      | $1328608.44   | 0.02%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1969862 | PA      | $1792021.69   | 0.03%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KFQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362462 | PA      | $319772.09    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KGR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151150 | PA      | $132610.83    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KK3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3836246 | PA      | $3381369.82   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KLQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854450 | PA      | $752887.49    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KNPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346237 | PA      | $306277.61    | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $675808.19    | 0.01%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LCDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605000 | PA      | $538688.36    | 0.01%             | 2033-05-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3447735.44   | 0.05%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LD4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6841428 | PA      | $6199845.31   | 0.09%             | 2031-11-01      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LDFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335674 | PA      | $316798.15    | 0.00%             | 2028-08-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LF4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414660 | PA      | $395844.12    | 0.01%             | 2032-04-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LFPN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2646000 | PA      | $2515268.13   | 0.04%             | 2029-03-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LFWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1114491 | PA      | $1075843.52   | 0.02%             | 2029-09-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LG6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680000 | PA      | $676606.99    | 0.01%             | 2032-08-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517311 | PA      | $510587.24    | 0.01%             | 2028-11-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826000 | PA      | $795993.06    | 0.01%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $870036.89    | 0.01%             | 2032-09-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95915.11     | 0.00%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1956315.08   | 0.03%             | 2032-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415000 | PA      | $413317.88    | 0.01%             | 2032-07-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483008 | PA      | $492692.99    | 0.01%             | 2030-08-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481990 | PA      | $476674.01    | 0.01%             | 2032-10-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583547 | PA      | $574502.65    | 0.01%             | 2032-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390000 | PA      | $387172.75    | 0.01%             | 2032-09-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129924 | PA      | $128335.60    | 0.00%             | 2032-11-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHWM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $495727.66    | 0.01%             | 2032-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $236797.76    | 0.00%             | 2029-09-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LKSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3058563.33   | 0.05%             | 2035-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1682364.30   | 0.03%             | 2032-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $311418.69    | 0.00%             | 2033-09-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LQVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1387607 | PA      | $1212410.65   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LV6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4897974 | PA      | $4469114.35   | 0.07%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LVSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3950439 | PA      | $3449423.35   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LY5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1355292 | PA      | $1195302.81   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LY6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5285707 | PA      | $4661735.09   | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140M4UV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10424505 | PA      | $9143707.36   | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140M5AJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120779 | PA      | $110203.22    | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140M6T60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1484476 | PA      | $1534011.92   | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MB6X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496858 | PA      | $433204.73    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MDHU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1764878 | PA      | $1673426.83   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141725 | PA      | $992144.74    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MHU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4540171 | PA      | $4118923.27   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MKHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942030 | PA      | $855281.81    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MMBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1874468 | PA      | $1828202.37   | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MRNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542075 | PA      | $547527.78    | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140NS5K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535886 | PA      | $557230.52    | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUE96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490000 | PA      | $514898.17    | 0.01%             | 2033-01-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUNJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786244 | PA      | $816816.16    | 0.01%             | 2031-03-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $409659.37    | 0.01%             | 2034-03-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605000 | PA      | $609024.49    | 0.01%             | 2034-01-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325000 | PA      | $329732.58    | 0.00%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1051792.48   | 0.02%             | 2034-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4187995.16   | 0.06%             | 2034-05-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NV2M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1235500 | PA      | $1262643.15   | 0.02%             | 2029-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NV5K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1210709 | PA      | $1229217.65   | 0.02%             | 2031-12-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NV5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1483960 | PA      | $1532282.16   | 0.02%             | 2029-11-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NV7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1030222.06   | 0.02%             | 2031-08-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NVUY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1040691.50   | 0.02%             | 2032-12-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NVVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668288 | PA      | $702449.40    | 0.01%             | 2031-09-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NW4F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2763087 | PA      | $2889814.97   | 0.04%             | 2031-06-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1708846 | PA      | $1770324.43   | 0.03%             | 2032-01-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1820529 | PA      | $1882379.63   | 0.03%             | 2033-03-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWCF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1130730 | PA      | $1172137.76   | 0.02%             | 2032-04-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5016692.60   | 0.08%             | 2034-09-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWHG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5052765.45   | 0.08%             | 2034-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWLS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988956 | PA      | $1019568.96   | 0.02%             | 2030-09-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1968455 | PA      | $2033700.90   | 0.03%             | 2034-11-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NX4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3542922 | PA      | $3681920.89   | 0.06%             | 2033-05-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXE25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2021000 | PA      | $2129640.84   | 0.03%             | 2034-02-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976000 | PA      | $2030566.51   | 0.03%             | 2032-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2464518 | PA      | $2517008.84   | 0.04%             | 2032-01-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2831000 | PA      | $2982950.84   | 0.05%             | 2034-06-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXFD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3093330.81   | 0.05%             | 2032-07-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2384827 | PA      | $2536881.72   | 0.04%             | 2031-10-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NY6D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3535000 | PA      | $3745294.11   | 0.06%             | 2035-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NY7D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4141263.16   | 0.06%             | 2034-01-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NY7H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2161000 | PA      | $2256026.95   | 0.03%             | 2032-07-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYLG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1838000 | PA      | $1884663.18   | 0.03%             | 2032-05-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2554667.98   | 0.04%             | 2032-06-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3590000 | PA      | $3666194.81   | 0.06%             | 2035-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1888769 | PA      | $1977768.31   | 0.03%             | 2035-12-01      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1045180.93   | 0.02%             | 2034-01-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1668924.65   | 0.03%             | 2035-11-01      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3050000 | PA      | $3223137.52   | 0.05%             | 2033-05-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYS93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1649000 | PA      | $1751065.99   | 0.03%             | 2035-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYXL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2618000 | PA      | $2725887.13   | 0.04%             | 2035-07-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q02F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3350000 | PA      | $3432258.92   | 0.05%             | 2033-01-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q06M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6600000 | PA      | $6762092.70   | 0.10%             | 2032-10-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q07H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2071282.58   | 0.03%             | 2030-11-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0AB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3585000 | PA      | $3634011.22   | 0.05%             | 2033-09-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0L67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1179000 | PA      | $1229163.46   | 0.02%             | 2033-11-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0L75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1257000 | PA      | $1310482.16   | 0.02%             | 2033-11-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0LG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5253304.05   | 0.08%             | 2031-08-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0MV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4080000 | PA      | $4131288.66   | 0.06%             | 2032-10-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0SC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1170994 | PA      | $1221290.33   | 0.02%             | 2033-10-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0TV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2531882 | PA      | $2585055.12   | 0.04%             | 2032-10-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0UB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2080583.56   | 0.03%             | 2035-10-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0VJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4187500.00   | 0.06%             | 2035-10-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0WY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5790000 | PA      | $5814635.23   | 0.09%             | 2032-10-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q12Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9623665 | PA      | $9820258.38   | 0.15%             | 2031-11-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q16C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3977096 | PA      | $4059583.12   | 0.06%             | 2030-09-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q17L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3631000 | PA      | $3664873.96   | 0.06%             | 2033-11-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q17M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5369300 | PA      | $5522305.61   | 0.08%             | 2032-05-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1BZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3800000 | PA      | $3878172.99   | 0.06%             | 2033-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2829611 | PA      | $2893643.50   | 0.04%             | 2033-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1FN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2194924 | PA      | $2246204.88   | 0.03%             | 2033-01-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1HY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3073582.20   | 0.05%             | 2032-11-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1JR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3931000 | PA      | $4042496.88   | 0.06%             | 2031-10-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1KM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4992907 | PA      | $5089381.70   | 0.08%             | 2033-01-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1NM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4993786 | PA      | $5165869.45   | 0.08%             | 2031-03-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1NP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3276059 | PA      | $3405060.64   | 0.05%             | 2031-03-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1PM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5040000 | PA      | $5112801.84   | 0.08%             | 2032-12-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1S92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4485000 | PA      | $4642581.33   | 0.07%             | 2032-06-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1TT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2402000 | PA      | $2445068.41   | 0.04%             | 2032-08-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1WZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3166000 | PA      | $3185805.61   | 0.05%             | 2032-11-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q1ZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3724000 | PA      | $3788822.81   | 0.06%             | 2032-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q2AB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2348000 | PA      | $2369172.83   | 0.04%             | 2033-11-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140QCEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514227 | PA      | $506122.17    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QF4F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413951 | PA      | $364607.28    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QF5E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339898 | PA      | $298565.99    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QGT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362157 | PA      | $1192763.23   | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QKNP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232347 | PA      | $212003.78    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405431 | PA      | $354812.92    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QKSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5654671 | PA      | $5180345.30   | 0.08%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QLR40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673682 | PA      | $614694.23    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QLWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3485203 | PA      | $3063491.77   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7910015 | PA      | $6938155.08   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QMKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861063 | PA      | $785671.85    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QMWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4453445 | PA      | $4230137.69   | 0.06%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1762618 | PA      | $1540660.93   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642975 | PA      | $570377.50    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2372805 | PA      | $2161481.60   | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1090038 | PA      | $950717.84    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1986055 | PA      | $1810353.94   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5580442 | PA      | $5054987.62   | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    902387 | PA      | $817748.20    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307500 | PA      | $300104.06    | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QPFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300582 | PA      | $293569.41    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QPKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13446633 | PA      | $12285730.51  | 0.19%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QPPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7338812 | PA      | $7439643.29   | 0.11%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QPTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2450945 | PA      | $2434518.27   | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QQPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1117636 | PA      | $1165406.05   | 0.02%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QQVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8009842 | PA      | $8086196.00   | 0.12%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QUPL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3422336 | PA      | $3467393.83   | 0.05%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140W13T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9305917 | PA      | $8511165.44   | 0.13%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140W4F28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4087456 | PA      | $3585291.55   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140W4FP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9530185 | PA      | $8371196.65   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140X8P92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1312577 | PA      | $1103870.60   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195419 | PA      | $172306.60    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393583 | PA      | $359124.05    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1033588 | PA      | $943426.03    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540586 | PA      | $480718.43    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668767 | PA      | $589952.43    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XCM54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531272 | PA      | $485215.04    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XCPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10137759 | PA      | $9646537.97   | 0.15%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XCYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2866424 | PA      | $2725836.93   | 0.04%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XD2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1220301 | PA      | $1116478.77   | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XDHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2715433 | PA      | $2394764.08   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XF5F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8872731 | PA      | $8046339.72   | 0.12%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XFQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10251931 | PA      | $9350056.24   | 0.14%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XFRJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197298 | PA      | $1096403.14   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XHEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2710256 | PA      | $2646046.89   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XJKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1127537 | PA      | $1152422.18   | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XJL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3617300 | PA      | $3682411.09   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XJXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949129 | PA      | $827887.11    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XKHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8104710 | PA      | $7338489.10   | 0.11%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357752 | PA      | $356684.59    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XL7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408362 | PA      | $358702.57    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XP5B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3462377 | PA      | $3043111.89   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XPCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1192144 | PA      | $1208738.20   | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XQAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988772 | PA      | $937163.64    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XQDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6034282 | PA      | $5292926.97   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XQYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2148280 | PA      | $1965467.62   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42294 | PA      | $40721.97     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4186474 | PA      | $3950292.90   | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427M6J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2320673 | PA      | $2047308.12   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427NQ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10729120 | PA      | $10465230.38  | 0.16%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427NUB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14328779 | PA      | $14587295.75  | 0.22%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427PGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4712781 | PA      | $4602487.94   | 0.07%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427QTY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2565279 | PA      | $2430314.84   | 0.04%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3142GR5S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1778578 | PA      | $1764274.66   | 0.03%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3142GR6T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3047186 | PA      | $3177449.58   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3142GTGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1779503 | PA      | $1819005.20   | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3142GTTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2783369 | PA      | $2827105.42   | 0.04%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                    | Fifth Third Bancorp                                                                | CUSIP: 316773DP2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   2820000 | PA      | $2828689.46   | 0.04%             | 2037-01-29      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                            | FIGRE Trust, Series 2025-HE5, Class B                                              | CUSIP: 31684MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    884785 | PA      | $899233.93    | 0.01%             | 2055-08-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                            | FIGRE Trust, Series 2025-HE7, Class A                                              | CUSIP: 31684RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2920111 | PA      | $2947920.12   | 0.04%             | 2055-11-25      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                       | First Investors Auto Owner Trust, Series 2025-1A, Class C                          | CUSIP: 32059WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2410000 | PA      | $2442350.88   | 0.04%             | 2031-12-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                       | First Investors Auto Owner Trust, Series 2025-1A, Class D                          | CUSIP: 32059WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1755000 | PA      | $1783356.59   | 0.03%             | 2033-12-15      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                       | First Investors Auto Owner Trust, Series 2023-1A, Class C                          | CUSIP: 320986AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $350022.55    | 0.01%             | 2029-12-17      | Fixed         | 6.81%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR2, Class C                                    | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $983569.40    | 0.01%             | 2038-09-17      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class C                                    | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $444159.90    | 0.01%             | 2038-08-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                   | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6355000 | PA      | $6270667.24   | 0.09%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                   | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3947698.00   | 0.06%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2022-SFRA, Class A                                    | CUSIP: 33768DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291706 | PA      | $287870.62    | 0.00%             | 2039-03-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2022-SFRA, Class E1                                   | CUSIP: 33768DAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1492319.25   | 0.02%             | 2039-03-17      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2022-SFR3, Class E2                                   | CUSIP: 33768EAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9913955.00   | 0.15%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                       | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1321129.48   | 0.02%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                              | Florida Power & Light Co.                                                          | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    490000 | PA      | $503434.95    | 0.01%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust       | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class A         | CUSIP: 34962ABD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6050000 | PA      | $6065125.00   | 0.09%             | 2031-05-15      | Fixed         | 5.92%                 | Yes           |                  3 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust       | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class B         | CUSIP: 34962ABE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4010000.00   | 0.06%             | 2031-05-15      | Fixed         | 6.90%                 | Yes           |                  3 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2024-1A, Class C                                  | CUSIP: 349941AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378291 | PA      | $390457.86    | 0.01%             | 2049-12-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2024-1A, Class D                                  | CUSIP: 349941AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1891456 | PA      | $2001487.56   | 0.03%             | 2049-12-15      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2024-2A, Class B                                  | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478461 | PA      | $482007.03    | 0.01%             | 2050-03-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2021-1A, Class A                                  | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |    456264 | PA      | $436527.51    | 0.01%             | 2041-05-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2023-2A, Class D                                  | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409284 | PA      | $439723.00    | 0.01%             | 2049-06-15      | Fixed         | 9.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-2, Class MTU                | CUSIP: 35563P2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    658771 | PA      | $561042.35    | 0.01%             | 2060-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2997883 | PA      | $2668587.24   | 0.04%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HT                 | CUSIP: 35563PBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    626104 | PA      | $568837.39    | 0.01%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                 | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3689 | PA      | $3445.83      | 0.00%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C               | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1033616 | PA      | $976191.86    | 0.01%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                 | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2693254 | PA      | $2511201.27   | 0.04%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-2, Class MA                 | CUSIP: 35563PE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2592192 | PA      | $2392269.21   | 0.04%             | 2062-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C               | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    235277 | PA      | $222467.75    | 0.00%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MZ                 | CUSIP: 35563PFK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5244341 | PA      | $4418992.23   | 0.07%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-2, Class M5TU               | CUSIP: 35563PG37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1223199 | PA      | $1164976.45   | 0.02%             | 2062-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA                 | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10182516 | PA      | $10051241.97  | 0.15%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                 | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    453871 | PA      | $419106.06    | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA                 | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    689085 | PA      | $678753.85    | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class HT                 | CUSIP: 35563PKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    519739 | PA      | $464641.59    | 0.01%             | 2058-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MT                 | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    658300 | PA      | $610548.37    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D               | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5040642 | PA      | $4824974.90   | 0.07%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class HT                 | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    588964 | PA      | $522852.27    | 0.01%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA                 | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5343534 | PA      | $5052126.44   | 0.08%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV                 | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2373111 | PA      | $2130852.19   | 0.03%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MTU                | CUSIP: 35563PSE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5117966 | PA      | $4399644.70   | 0.07%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-1, Class MTU                | CUSIP: 35563PUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    605323 | PA      | $516011.92    | 0.01%             | 2060-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                    | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                      | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3101416 | PA      | $2740851.34   | 0.04%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC MSCR Trust, Series 2025-MN10, Class M1                                       | CUSIP: 35563UAA6<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |   1583572 | PA      | $1569375.56   | 0.02%             | 2045-02-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                    | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                      | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4298201 | PA      | $3745008.96   | 0.06%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                    | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class TTW                      | CUSIP: 35563VCB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5563853 | PA      | $5510468.22   | 0.08%             | 2065-06-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 2025-MN11, Class M1                                                  | CUSIP: 35563YAA8<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |   1976312 | PA      | $1975849.66   | 0.03%             | 2045-07-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust            | Seasoned Loans Structured Transaction Trust, Series 2025-2, Class A1               | CUSIP: 35564C2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13398931 | PA      | $12765899.62  | 0.19%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust            | Seasoned Loans Structured Transaction Trust, Series 2025-1, Class A1               | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6159607 | PA      | $5847475.53   | 0.09%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC MSCR Trust, Series 2025-MN12, Class M1                                       | CUSIP: 355913AA2<br>LEI: 529900KABSM46L5D1T20 | Long             | ABS-MBS          | CORP              | US        |   7490579 | PA      | $7491195.14   | 0.11%             | 2045-11-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC MSCR Trust, Series 2024-MN9, Class M1                                        | CUSIP: 355917AA3<br>LEI: 529900KWKEUIIIV9P337 | Long             | ABS-MBS          | USGSE             | US        |    890602 | PA      | $898121.77    | 0.01%             | 2044-10-25      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2016-K58, Class C                                     | CUSIP: 35690AAU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1250000 | PA      | $1240356.25   | 0.02%             | 2049-09-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K66, Class B                                     | CUSIP: 35708QAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1160000 | PA      | $1154420.52   | 0.02%             | 2027-07-25      | Variable      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K71, Class B                                     | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98732.46     | 0.00%             | 2050-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K71, Class C                                     | CUSIP: 35708WAU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3606000 | PA      | $3553808.92   | 0.05%             | 2050-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K87, Class B                                     | CUSIP: 35709CAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9050000 | PA      | $9043870.44   | 0.14%             | 2051-01-25      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2287954 | PA      | $2020315.21   | 0.03%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13803123 | PA      | $12188523.47  | 0.18%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179X2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5429165 | PA      | $4799485.50   | 0.07%             | 2053-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179X5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3207624 | PA      | $3052990.52   | 0.05%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7717874 | PA      | $6844459.96   | 0.10%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XHT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3705017 | PA      | $3143164.07   | 0.05%             | 2052-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2492537 | PA      | $2203014.92   | 0.03%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16353340 | PA      | $15904795.73  | 0.24%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1584158 | PA      | $1344268.17   | 0.02%             | 2052-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3578635 | PA      | $3163348.78   | 0.05%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1570707 | PA      | $1340158.89   | 0.02%             | 2053-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9170041 | PA      | $8117303.25   | 0.12%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487040 | PA      | $462552.55    | 0.01%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1836507 | PA      | $1627943.88   | 0.02%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7559123 | PA      | $7233838.48   | 0.11%             | 2053-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XXY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3010056 | PA      | $2663410.85   | 0.04%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179Y5F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6968916 | PA      | $6422381.23   | 0.10%             | 2054-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5410550 | PA      | $4784685.93   | 0.07%             | 2053-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YDD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3809538 | PA      | $3371825.89   | 0.05%             | 2053-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YDE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2962941 | PA      | $2734377.87   | 0.04%             | 2053-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YFE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5971658 | PA      | $5278708.90   | 0.08%             | 2053-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3873340 | PA      | $3426333.61   | 0.05%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YPC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2229853 | PA      | $2144948.25   | 0.03%             | 2054-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YRC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3874606 | PA      | $3580115.68   | 0.05%             | 2054-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2294152 | PA      | $2174675.41   | 0.03%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6573061 | PA      | $6061649.00   | 0.09%             | 2054-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5270802 | PA      | $4663814.52   | 0.07%             | 2054-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3617FL5S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690053 | PA      | $687931.62    | 0.01%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                                            | CUSIP: 3617Y3BB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434636 | PA      | $451808.22    | 0.01%             | 2072-02-20      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36180AB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6053499 | PA      | $5577418.66   | 0.08%             | 2054-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 36180BAU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    603930 | PA      | $593257.85    | 0.01%             | 2033-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36183SX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281038 | PA      | $269512.28    | 0.00%             | 2046-03-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36189XM43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114579 | PA      | $108109.90    | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 3618BHKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071118 | PA      | $1123540.73   | 0.02%             | 2053-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618FN6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222593 | PA      | $229971.16    | 0.00%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618HSC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1020966 | PA      | $1082646.84   | 0.02%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618HSDM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1376523 | PA      | $1474879.01   | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618HSDN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    710673 | PA      | $753607.32    | 0.01%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618HUVA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370372 | PA      | $383178.58    | 0.01%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618J8H76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508084 | PA      | $533962.82    | 0.01%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618J8HM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    936861 | PA      | $963792.13    | 0.01%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618JLHG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1978321 | PA      | $2097842.79   | 0.03%             | 2054-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618JLHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1974797 | PA      | $2115904.25   | 0.03%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618K83P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5158978 | PA      | $5470663.54   | 0.08%             | 2055-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618K83R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2997008 | PA      | $3202306.55   | 0.05%             | 2055-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618K83Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2831662 | PA      | $3033999.68   | 0.05%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618K84F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1477138 | PA      | $1578325.05   | 0.02%             | 2055-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618KSX64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2085563 | PA      | $2211566.66   | 0.03%             | 2055-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618KSX80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1721363 | PA      | $1844365.33   | 0.03%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618KSYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1488455 | PA      | $1578383.90   | 0.02%             | 2055-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618KSYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3217174 | PA      | $3447063.47   | 0.05%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618L7XC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2804451 | PA      | $2981141.15   | 0.05%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LEJ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1807916 | PA      | $1937106.71   | 0.03%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LEJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4971727 | PA      | $5326981.79   | 0.08%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LEJ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4971011 | PA      | $5165971.77   | 0.08%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LLXN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4973668 | PA      | $5224022.34   | 0.08%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LRH30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1443136 | PA      | $1516646.11   | 0.02%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LRJL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2397727 | PA      | $2448151.48   | 0.04%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LRJP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3333476 | PA      | $3429307.79   | 0.05%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618M0FA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5090135 | PA      | $5453849.08   | 0.08%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618M0FH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4977625 | PA      | $5333302.78   | 0.08%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618M3CA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2475508 | PA      | $2537133.25   | 0.04%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618M3CB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2937827 | PA      | $3044134.19   | 0.05%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618M8U28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3486794 | PA      | $3735952.23   | 0.06%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618N5EQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3664647 | PA      | $3364308.69   | 0.05%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618N5VK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6048949 | PA      | $5352028.40   | 0.08%             | 2055-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618N5VL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8993440 | PA      | $8261501.31   | 0.12%             | 2055-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618N5ZE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7601034 | PA      | $6714629.64   | 0.10%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618NJD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1002623 | PA      | $1037075.08   | 0.02%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618NNGJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4020472 | PA      | $4271364.16   | 0.06%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618NNGK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5461263 | PA      | $5623491.46   | 0.08%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618NNPD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2976005 | PA      | $3046310.23   | 0.05%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622AA5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4998558 | PA      | $4352098.48   | 0.07%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1391253 | PA      | $1324789.30   | 0.02%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622ACVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4607181 | PA      | $4360321.71   | 0.07%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 3622AD2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14038489 | PA      | $13299774.63  | 0.20%             | 2065-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622ADE61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1357384 | PA      | $1332576.38   | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388182 | PA      | $397520.01    | 0.01%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 3622ADSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1591083 | PA      | $1539580.84   | 0.02%             | 2065-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 3622ADZ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17688683 | PA      | $17181731.42  | 0.26%             | 2065-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622ADZQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4393210 | PA      | $4067205.02   | 0.06%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622AEBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6799251 | PA      | $6719348.36   | 0.10%             | 2052-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D                         | CUSIP: 36263DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357104 | PA      | $355427.24    | 0.01%             | 2027-10-15      | Fixed         | 2.48%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class E                         | CUSIP: 36265NAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7470000 | PA      | $7507464.29   | 0.11%             | 2029-06-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-2A, Class A3                        | CUSIP: 36269EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506581.90    | 0.01%             | 2029-02-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-1A, Class D                         | CUSIP: 36271KAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2978645.68   | 0.04%             | 2030-11-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2025-3A, Class C                         | CUSIP: 36272GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1372819.19   | 0.02%             | 2031-09-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-4A, Class D                         | CUSIP: 36273HAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6081153.60   | 0.09%             | 2031-08-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A1                    | CUSIP: 36277LAA1<br>LEI: 2549005U12N6A8G3H936 | Long             | ABS-O            | CORP              | US        |   6513262 | PA      | $6546361.72   | 0.10%             | 2056-05-25      | Variable      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                    | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    751527 | PA      | $743363.35    | 0.01%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                     | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5193612 | PA      | $5261225.35   | 0.08%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                    | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2276796 | PA      | $2243413.42   | 0.03%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK61                                   | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $8610822.90   | 0.13%             | 2049-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK71                                   | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8815000 | PA      | $8256037.32   | 0.12%             | 2050-11-27      | Variable      | 1.94%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK89                                   | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7028000 | PA      | $5946369.72   | 0.09%             | 2052-01-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GAM Re-REMIC TRUST                                     | GAM Re-REMIC TRUST, Series 2021-FRR2, Class BK74                                   | CUSIP: 36459TBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4414031.00   | 0.07%             | 2051-09-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2021-FRR1, Class 1C                                     | CUSIP: 364614AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2753000 | PA      | $2558667.11   | 0.04%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2021-FRR1, Class 2A                                     | CUSIP: 364614AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $530747.21    | 0.01%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2021-FRR1, Class 2B                                     | CUSIP: 364614AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5477734.20   | 0.08%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Gilead Sciences, Inc.                                  | Gilead Sciences, Inc.                                                              | CUSIP: 375558CE1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1001242.78   | 0.02%             | 2064-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                   | Glencore Funding LLC                                                               | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2115221.58   | 0.03%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                              | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   4675000 | PA      | $4702544.12   | 0.07%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                              | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6570000 | PA      | $6535245.23   | 0.10%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class C                         | CUSIP: 37988XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $308930.37    | 0.00%             | 2030-03-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class D                         | CUSIP: 37988XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $308234.97    | 0.00%             | 2031-01-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2024-3A, Class D                         | CUSIP: 37989AAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1021920.50   | 0.02%             | 2031-02-18      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                         | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3395879.19   | 0.05%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-3A, Class B                         | CUSIP: 37989EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1025832.50   | 0.02%             | 2030-08-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class D                         | CUSIP: 37989YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2310000 | PA      | $2350867.60   | 0.04%             | 2031-06-16      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Golden Bear LLC                                        | Golden Bear LLC, Series 2016-1A, Class A                                           | CUSIP: 38081EAA9<br>LEI: 549300T04S4BVE82F105 | Long             | ABS-O            | CORP              | US        |   1913237 | PA      | $1785967.77   | 0.03%             | 2047-09-20      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    350000 | PA      | $373180.03    | 0.01%             | 2035-04-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1104492.95   | 0.02%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2020732.02   | 0.03%             | 2035-10-23      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  18305000 | PA      | $19144696.84  | 0.29%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1898224.68   | 0.03%             | 2036-10-21      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10061748.70  | 0.15%             | 2032-01-21      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   6320000 | PA      | $6364452.10   | 0.10%             | 2037-01-21      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust            | Goldman Home Improvement Trust Issuer Trust, Series 2022-GRN2, Class D             | CUSIP: 38151JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3243412 | PA      | $3406777.93   | 0.05%             | 2052-10-25      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Goodleap LLC                                           | Goodleap LLC, Class A                                                              | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | DBT              | CORP              | US        |   9958242 | PA      | $10207198.19  | 0.15%             | 2038-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Goodgreen                                              | Goodgreen, Series 2023-1A, Class A                                                 | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   1146982 | PA      | $1165765.13   | 0.02%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2016-1A, Class A                                           | CUSIP: 38217KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3264259 | PA      | $3062979.67   | 0.05%             | 2052-10-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2020-1A, Class A                                           | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7501268 | PA      | $6492186.55   | 0.10%             | 2055-04-15      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2021-1A, Class B                                           | CUSIP: 38217UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394576 | PA      | $301576.63    | 0.00%             | 2056-10-15      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2017-1A, Class A                                           | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1692285 | PA      | $1597070.44   | 0.02%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Ltd.                                         | Goodgreen Ltd., Series 2024-1A, Class A                                            | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404755 | PA      | $411094.62    | 0.01%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Ltd.                                         | Goodgreen Ltd., Series 2024-1A, Class B                                            | CUSIP: 38217YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404792 | PA      | $407592.51    | 0.01%             | 2056-07-15      | Fixed         | 8.12%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                              | Goodgreen, Series 2019-1A, Class A                                                 | CUSIP: 38218DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   8053044 | PA      | $7613993.73   | 0.11%             | 2054-10-15      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen                                              | Goodgreen, Series 2019-2A, Class A                                                 | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   7660185 | PA      | $6829670.09   | 0.10%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen                                              | Goodgreen, Series 2018-1A, Class A                                                 | CUSIP: 38218GAA0<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |   8758125 | PA      | $8339422.12   | 0.13%             | 2053-10-15      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2017-2A, Class A                                           | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1448616 | PA      | $1339373.52   | 0.02%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust              | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                 | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1297950 | PA      | $1323473.54   | 0.02%             | 2049-02-20      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust              | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A                 | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6152146 | PA      | $6201508.78   | 0.09%             | 2049-10-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class EI                                                    | CUSIP: 38376R2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8523606 | PA      | $353001.73    | 0.01%             | 2067-02-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-1, Class Z                                                       | CUSIP: 38378B5G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    795058 | PA      | $528664.26    | 0.01%             | 2055-01-16      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-132, Class Z                                                     | CUSIP: 38378BX87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    547210 | PA      | $412151.93    | 0.01%             | 2054-06-16      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-13, Class FQ                                                     | CUSIP: 38378CMS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279140 | PA      | $279020.65    | 0.00%             | 2038-01-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-61, Class Z                                                      | CUSIP: 38378KGD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762959 | PA      | $589742.43    | 0.01%             | 2054-10-16      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-91, Class WA                                                     | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207603 | PA      | $203245.49    | 0.00%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-76, Class B                                                      | CUSIP: 38379RWA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622016 | PA      | $469984.84    | 0.01%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-191, Class B                                                     | CUSIP: 38380JJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688303 | PA      | $432350.92    | 0.01%             | 2059-07-16      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-105, Class SM                                                    | CUSIP: 38381NJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4254059 | PA      | $4187145.22   | 0.06%             | 2055-06-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-83, Class YA                                                     | CUSIP: 38381XAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150843 | PA      | $155639.96    | 0.00%             | 2040-06-20      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-15, Class CB                                                     | CUSIP: 38382CRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250614 | PA      | $1121898.98   | 0.02%             | 2050-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-65, Class KC                                                     | CUSIP: 38382E8G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407439 | PA      | $325058.32    | 0.00%             | 2050-05-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class CE                                                     | CUSIP: 38382EEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3267309 | PA      | $2930701.59   | 0.04%             | 2049-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-191, Class CT                                                    | CUSIP: 38382MNY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2945928 | PA      | $2338952.05   | 0.04%             | 2050-12-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-16, Class JB                                                     | CUSIP: 38382NBS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    620631 | PA      | $532778.33    | 0.01%             | 2051-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-44, Class QM                                                     | CUSIP: 38382PMS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4319258 | PA      | $3537861.19   | 0.05%             | 2051-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-50, Class LD                                                     | CUSIP: 38382PS60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    837615 | PA      | $740657.20    | 0.01%             | 2048-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-66, Class QA                                                     | CUSIP: 38382RYB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429104 | PA      | $338799.22    | 0.01%             | 2050-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class FA                                                     | CUSIP: 38382VER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310841 | PA      | $274911.64    | 0.00%             | 2051-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188, Class PA                                                    | CUSIP: 38383CRU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5271370 | PA      | $4436738.31   | 0.07%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-9, Class P                                                       | CUSIP: 38383FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    759009 | PA      | $686268.04    | 0.01%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-190, Class LS                                                    | CUSIP: 38383LBR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5155050 | PA      | $5002179.54   | 0.08%             | 2052-11-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-189, Class S                                                     | CUSIP: 38383LDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1826150 | PA      | $1820324.44   | 0.03%             | 2052-09-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-215, Class TN                                                    | CUSIP: 38383LSR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4451460 | PA      | $4267077.52   | 0.06%             | 2062-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-34, Class PN                                                     | CUSIP: 38383MEK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    813704 | PA      | $780415.18    | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-87, Class JT                                                     | CUSIP: 38383RYV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5800915 | PA      | $5932537.92   | 0.09%             | 2052-05-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-19, Class WB                                                     | CUSIP: 38383V4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548145 | PA      | $571820.30    | 0.01%             | 2051-11-20      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-53, Class SL                                                     | CUSIP: 38383XJ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2916949 | PA      | $2849013.18   | 0.04%             | 2053-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-179, Class WE                                                    | CUSIP: 38383Y5K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2149128 | PA      | $2164614.72   | 0.03%             | 2052-10-20      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-172, Class GS                                                    | CUSIP: 38383YT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2588304 | PA      | $2581452.61   | 0.04%             | 2052-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-172, Class DS                                                    | CUSIP: 38383YW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3594251 | PA      | $3789913.09   | 0.06%             | 2052-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-63, Class SY                                                     | CUSIP: 38384ADQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6483591 | PA      | $7292807.84   | 0.11%             | 2053-05-20      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-70, Class WS                                                     | CUSIP: 38384AFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4427318 | PA      | $4282631.53   | 0.06%             | 2053-05-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-89, Class QS                                                     | CUSIP: 38384BMT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5888741 | PA      | $6284979.35   | 0.09%             | 2053-06-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class S                                                     | CUSIP: 38384CAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1570188 | PA      | $1458563.58   | 0.02%             | 2053-07-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-115, Class TS                                                    | CUSIP: 38384CP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1972057 | PA      | $2070429.30   | 0.03%             | 2053-06-20      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-128, Class SL                                                    | CUSIP: 38384CPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6641815 | PA      | $7049299.37   | 0.11%             | 2053-08-20      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-146, Class GO                                                    | CUSIP: 38384DAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3773116 | PA      | $3019802.98   | 0.05%             | 2053-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class EO                                                     | CUSIP: 38384MLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11468435 | PA      | $10137357.61  | 0.15%             | 2064-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-164, Class LO                                                    | CUSIP: 38384XSP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2807879 | PA      | $2284576.56   | 0.03%             | 2054-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-164, Class AO                                                    | CUSIP: 38384XSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2336147 | PA      | $1884094.53   | 0.03%             | 2054-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-6, Class A                                                       | CUSIP: 38385B5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4435561 | PA      | $4299000.07   | 0.06%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-197, Class BN                                                    | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8616588 | PA      | $8161687.74   | 0.12%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                     | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                       | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45279 | PA      | $45320.96     | 0.00%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                     | Granite Park Equipment Leasing LLC, Series 2023-1A, Class D                        | CUSIP: 387422AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $354430.93    | 0.01%             | 2033-08-22      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1188532.25   | 0.02%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    825000 | PA      | $825926.96    | 0.01%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3195000 | PA      | $3382139.14   | 0.05%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2054421.98   | 0.03%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1523626.62   | 0.02%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5100000 | PA      | $5076057.08   | 0.08%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1480000 | PA      | $1534214.71   | 0.02%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    980000 | PA      | $1011189.96   | 0.02%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4855000 | PA      | $4903914.76   | 0.07%             | 2036-11-06      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                              | HINNT LLC, Series 2024-A, Class C                                                  | CUSIP: 40472QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    304213 | PA      | $311251.41    | 0.00%             | 2043-03-15      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                              | HINNT LLC, Series 2022-A, Class B                                                  | CUSIP: 40486JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1968294 | PA      | $1974856.65   | 0.03%             | 2041-05-15      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak OP LLC                                      | Healthpeak OP LLC                                                                  | CUSIP: 42250GAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1170872.09   | 0.02%             | 2035-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                           | HERO Funding, Series 2017-3A, Class A1                                             | CUSIP: 42771AAA4<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |   1839815 | PA      | $1705563.43   | 0.03%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                     | HERO Funding Trust, Series 2015-3A, Class A                                        | CUSIP: 42771TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    667016 | PA      | $661972.11    | 0.01%             | 2041-09-20      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                     | HERO Funding Trust, Series 2020-1A, Class A                                        | CUSIP: 42772BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    420403 | PA      | $371143.97    | 0.01%             | 2057-09-20      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                           | HERO Funding, Series 2018-1A, Class A2                                             | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4488867 | PA      | $4434406.37   | 0.07%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Hess Corp.                                             | Hess Corp.                                                                         | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1577980.59   | 0.02%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-1A, Class C                              | CUSIP: 43283CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2065849 | PA      | $2104941.99   | 0.03%             | 2042-05-27      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-3EXT, Class B                            | CUSIP: 43283DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7070931 | PA      | $7141329.65   | 0.11%             | 2044-10-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-3EXT, Class C                            | CUSIP: 43283DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5993017 | PA      | $6069620.23   | 0.09%             | 2044-10-25      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2022-2A, Class B                              | CUSIP: 43283GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188286 | PA      | $188722.44    | 0.00%             | 2037-01-25      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2024-3A, Class C                              | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3019386 | PA      | $3071470.25   | 0.05%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2024-1B, Class B                              | CUSIP: 43283YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180028 | PA      | $184362.94    | 0.00%             | 2039-09-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-2A, Class B                              | CUSIP: 43285JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1786788 | PA      | $1801614.12   | 0.03%             | 2044-05-25      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-2A, Class C                              | CUSIP: 43285JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1831739 | PA      | $1856138.75   | 0.03%             | 2044-05-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                              | HINNT LLC, Series 2025-B, Class C                                                  | CUSIP: 433401AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2468813 | PA      | $2495575.98   | 0.04%             | 2045-05-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                              | HINNT LLC, Series 2025-A, Class B                                                  | CUSIP: 433403AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2485937 | PA      | $2547540.72   | 0.04%             | 2044-03-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                 | Home Depot, Inc. (The)                                                             | CUSIP: 437076BA9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $881712.16    | 0.01%             | 2043-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2020-2, Class B                             | CUSIP: 437301AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1418758 | PA      | $1322632.47   | 0.02%             | 2041-01-17      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2020-2, Class E                             | CUSIP: 437301AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471737 | PA      | $446273.29    | 0.01%             | 2041-01-17      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2022-1, Class D                             | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333848 | PA      | $331373.70    | 0.01%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-3, Class D                             | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2424696 | PA      | $2295474.10   | 0.03%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-3, Class E1                            | CUSIP: 43730XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6286249 | PA      | $5929341.68   | 0.09%             | 2041-01-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class D                             | CUSIP: 43732VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3118361 | PA      | $3062483.53   | 0.05%             | 2026-12-17      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class E1                            | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7335344 | PA      | $7206367.50   | 0.11%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                      | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                     | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6430000 | PA      | $6457655.43   | 0.10%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes               | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B1                  | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5183308 | PA      | $5224119.34   | 0.08%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Capital LLC                           | Identity Digital Capital LLC                                                       | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3556350.00   | 0.05%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| ING Groep NV                                           | ING Groep NV                                                                       | CUSIP: 456837BS1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $1047580.06   | 0.02%             | 2036-03-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                            | Intel Corp.                                                                        | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    915000 | PA      | $869012.66    | 0.01%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.               | International Flavors & Fragrances, Inc.                                           | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   7800000 | PA      | $7112998.07   | 0.11%             | 2030-11-01      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Trust                                 | Invitation Homes Trust, Series 2024-SFR1, Class D                                  | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1615000 | PA      | $1579114.38   | 0.02%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Trust                                 | Invitation Homes Trust, Series 2024-SFR1, Class E                                  | CUSIP: 46188DAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720000 | PA      | $1676633.81   | 0.03%             | 2041-09-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                     | ITC Holdings Corp.                                                                 | CUSIP: 465685AH8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   2435000 | PA      | $2351440.27   | 0.04%             | 2043-07-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                 | JBS NV                                                                             | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   6155000 | PA      | $6503680.75   | 0.10%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                 | JBS NV                                                                             | CUSIP: 472140AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    585000 | PA      | $604409.72    | 0.01%             | 2055-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                 | JBS NV                                                                             | CUSIP: 472140AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2020000 | PA      | $2056077.20   | 0.03%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                 | Jonah Energy ABS LLC, Series 2022-1, Class A1                                      | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   2300551 | PA      | $2346111.02   | 0.04%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy Abs I LLC                                 | Jonah Energy ABS LLC, Series 2022-1, Class B                                       | CUSIP: 47987EAD9<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   2850133 | PA      | $2890890.38   | 0.04%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                | Jonah Energy ABS LLC, Series 2025-1A, Class A2                                     | CUSIP: 479913AE5<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   1773964 | PA      | $1817603.94   | 0.03%             | 2040-12-10      | Fixed         | 7.36%                 | Yes           |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                | Jonah Energy ABS LLC, Series 2025-2A, Class A1                                     | CUSIP: 479915AA8<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   1642556 | PA      | $1646170.11   | 0.02%             | 2041-01-10      | Fixed         | 5.91%                 | Yes           |                  3 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund             | JPMorgan U.S. Government Money Market Fund, Class IM                               | CUSIP: 4812C2270<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        | 209849300 | NS      | $209849300.32 | 3.17%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                           | KBC Group NV                                                                       | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   6526000 | PA      | $6576120.59   | 0.10%             | 2031-09-23      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                | KeyCorp                                                                            | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    810000 | PA      | $830947.56    | 0.01%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                | KeyCorp                                                                            | CUSIP: 49326EER0<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1664603.56   | 0.03%             | 2037-01-28      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                       | Kinder Morgan Energy Partners LP                                                   | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   3980000 | PA      | $3902853.91   | 0.06%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                    | Kinder Morgan, Inc.                                                                | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    615000 | PA      | $414347.55    | 0.01%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                  | Kraft Heinz Foods Co.                                                              | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3283196.76   | 0.05%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                  | Kraft Heinz Foods Co.                                                              | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1896460.85   | 0.03%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1915388.10   | 0.03%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                   | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1102116.51   | 0.02%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                   | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |   9550000 | PA      | $9610789.57   | 0.15%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2026-RTL1, Class A1                                   | CUSIP: 50206JAA3<br>LEI: 52990026MRD22HI0T740 | Long             | ABS-MBS          | CORP              | US        |   6415000 | PA      | $6441876.93   | 0.10%             | 2041-01-25      | Variable      | 4.91%                 | Yes           |                  3 | On Loan: No      |
| Lhome Mortgage Trust                                   | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                   | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   6540000 | PA      | $6601534.86   | 0.10%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Lending Funding Trust                                  | Lending Funding Trust, Series 2020-2A, Class C                                     | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1470000 | PA      | $1456059.70   | 0.02%             | 2031-04-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Leidos, Inc.                                           | Leidos, Inc.                                                                       | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1135563.48   | 0.02%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                           | Leidos, Inc.                                                                       | CUSIP: 52532XAN5<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   2195000 | PA      | $2189855.07   | 0.03%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2024-2A, Class D                                    | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2016532.80   | 0.03%             | 2034-02-21      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2025-2A, Class D                                    | CUSIP: 52603GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3050898.30   | 0.05%             | 2034-10-20      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2021-2A, Class B                                    | CUSIP: 52604DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1540000 | PA      | $1461917.69   | 0.02%             | 2032-04-20      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2025-1A, Class C                                    | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2294198.10   | 0.03%             | 2034-09-20      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2025-1A, Class D                                    | CUSIP: 52604QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1910000 | PA      | $1962151.79   | 0.03%             | 2034-09-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2021-1A, Class B                                    | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $384901.52    | 0.01%             | 2031-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2021-1A, Class C                                    | CUSIP: 52607MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1833847.70   | 0.03%             | 2031-11-20      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                           | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   4205000 | PA      | $4181024.18   | 0.06%             | 2036-11-04      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| M&T Bank RV Trust                                      | M&T Bank RV Trust, Series 2026-1A, Class A                                         | CUSIP: 551923AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5672000 | PA      | $5722047.46   | 0.09%             | 2046-01-15      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| M&T Bank Corp.                                         | M&T Bank Corp.                                                                     | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   3570000 | PA      | $3686854.92   | 0.06%             | 2031-07-08      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-RPL1, Class A1                                              | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1528736 | PA      | $1495173.81   | 0.02%             | 2066-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                   | MNR ABS Issuer I LLC                                                               | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |    198912 | PA      | $205513.58    | 0.00%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                            | CUSIP: 55336VBZ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   4365000 | PA      | $4285350.45   | 0.06%             | 2055-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                               | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1958000.00   | 0.03%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2024-2A, Class C                                                   | CUSIP: 55389QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1619437 | PA      | $1626614.34   | 0.02%             | 2042-03-20      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2025-2A, Class B                                                   | CUSIP: 55389RAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7478112 | PA      | $7529369.94   | 0.11%             | 2044-10-20      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2025-2A, Class C                                                   | CUSIP: 55389RAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3782571 | PA      | $3810467.38   | 0.06%             | 2044-10-20      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2021-1WA, Class C                                                  | CUSIP: 55389TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63337 | PA      | $61607.75     | 0.00%             | 2041-01-22      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                     | Macquarie Airfinance Holdings Ltd.                                                 | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   3984000 | PA      | $4070710.01   | 0.06%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2025-AA, Class C                            | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2962000 | PA      | $3021430.16   | 0.05%             | 2038-05-20      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2025-AA, Class D                            | CUSIP: 567920AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6650000 | PA      | $6846914.48   | 0.10%             | 2038-05-20      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2024-AA, Class D                            | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    714000 | PA      | $730941.51    | 0.01%             | 2036-09-22      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-BA, Class C                            | CUSIP: 56847JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $191444.54    | 0.00%             | 2036-11-20      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2025-BA, Class D                            | CUSIP: 56847TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6985000 | PA      | $7112970.09   | 0.11%             | 2038-11-22      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-AA, Class B                            | CUSIP: 56848DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $301130.00    | 0.00%             | 2036-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-AA, Class C                            | CUSIP: 56848DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $193976.90    | 0.00%             | 2036-03-20      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-AA, Class D                            | CUSIP: 56848DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $219469.34    | 0.00%             | 2036-03-20      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                             | Mars, Inc.                                                                         | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1340633.09   | 0.02%             | 2045-05-01      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                               | Marvell Technology, Inc.                                                           | CUSIP: 573874AR5<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1865665.05   | 0.03%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                               | Marvell Technology, Inc.                                                           | CUSIP: 573874AS3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   4487000 | PA      | $4671123.46   | 0.07%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                            | Merchants Fleet Funding LLC, Series 2023-1A, Class A                               | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    126549 | PA      | $126960.47    | 0.00%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3580000 | PA      | $3590245.60   | 0.05%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class B                | CUSIP: 58940BBB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2010752.40   | 0.03%             | 2029-07-20      | Fixed         | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2025-1A, Class B                | CUSIP: 58940BBG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7029036.00   | 0.11%             | 2031-12-22      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class A                | CUSIP: 58940BBK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12070000 | PA      | $12119977.04  | 0.18%             | 2032-02-20      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class B                | CUSIP: 58940BBL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2830000 | PA      | $2841013.79   | 0.04%             | 2032-02-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-RTL3, Class A1                                              | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2514817.25   | 0.04%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Micron Technology, Inc.                                | Micron Technology, Inc.                                                            | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1632000 | PA      | $1714076.10   | 0.03%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                              | Mid-America Apartments LP                                                          | CUSIP: 59523UAY3<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1162044.23   | 0.02%             | 2033-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Midcon Energy Asset Issuer LLC                         | Midcon Energy Asset Issuer LLC                                                     | CUSIP: 595641AD3<br>LEI: 254900A8Q2V7V8S0V807 | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10000000.00  | 0.15%             | 2051-02-27      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| Midcon Energy Asset Issuer LLC                         | Midcon Energy Asset Issuer LLC                                                     | CUSIP: 595641AE1<br>LEI: 254900A8Q2V7V8S0V807 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.08%             | 2051-02-27      | Fixed         | 6.53%                 | No            |                  3 | On Loan: No      |
| Mission Lane Credit Card Master Trust                  | Mission Lane Credit Card Master Trust, Series 2025-B, Class A                      | CUSIP: 60510MBU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1762166.00   | 0.03%             | 2031-09-15      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                   | Mitsubishi UFJ Financial Group, Inc.                                               | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2180000 | PA      | $2232934.76   | 0.03%             | 2036-09-12      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                   | Mitsubishi UFJ Financial Group, Inc.                                               | CUSIP: 606822DT8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3160000 | PA      | $3196959.68   | 0.05%             | 2037-01-14      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                       | CUSIP: 60687YDH9<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2000000 | PA      | $2072068.08   | 0.03%             | 2031-05-13      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                       | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4565000 | PA      | $4654865.13   | 0.07%             | 2031-07-08      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                       | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   5550000 | PA      | $5751806.27   | 0.09%             | 2036-07-08      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| MOO Securitization Trust                               | MOO Securitization Trust, Series 2025-RM1, Class A1A                               | CUSIP: 614872AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $12776567.70  | 0.19%             | 2065-12-25      | Variable      | 4.50%                 | Yes           |                  3 | On Loan: No      |
| MOO Securitization Trust                               | MOO Securitization Trust, Series 2025-RM1, Class A1B                               | CUSIP: 614872AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1927956.40   | 0.03%             | 2065-12-25      | Variable      | 4.50%                 | Yes           |                  3 | On Loan: No      |
| MOO Securitization Trust                               | MOO Securitization Trust, Series 2025-RM1, Class A1                                | CUSIP: 614872AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2941158.60   | 0.04%             | 2065-12-25      | Variable      | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    561000 | PA      | $587263.69    | 0.01%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $14717659.60  | 0.22%             | 2036-01-18      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley, Series I                                                           | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  11820000 | PA      | $11759336.33  | 0.18%             | 2036-10-22      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2945000 | PA      | $2970103.80   | 0.04%             | 2037-01-30      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $949172.09    | 0.01%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust       | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7         | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |     77232 | PA      | $78127.94     | 0.00%             | 2054-07-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust        | Multi-Family Connecticut Avenue Securities Trust, Series 2025-01, Class M1         | CUSIP: 62549CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4996718 | PA      | $5076994.68   | 0.08%             | 2055-05-25      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2025-1A, Class C                                                   | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2743522 | PA      | $2782663.30   | 0.04%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| NMABS Issuer I LLC                                     | NMABS Issuer LLC, Series 2025-1A, Class A                                          | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10878197 | PA      | $10899254.91  | 0.16%             | 2055-11-22      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                       | NRG Energy, Inc.                                                                   | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   6325000 | PA      | $6392456.13   | 0.10%             | 2035-10-15      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                 | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                  | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    577690 | PA      | $572507.12    | 0.01%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| NALP Business Loan Trust                               | NALP Business Loan Trust, Series 2026-1, Class A                                   | CUSIP: 62986BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4244979 | PA      | $4297004.85   | 0.06%             | 2051-06-26      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| NALP Business Loan Trust                               | NALP Business Loan Trust, Series 2026-1, Class B                                   | CUSIP: 62986BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1278210 | PA      | $1302957.72   | 0.02%             | 2051-06-26      | Fixed         | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                            | Nationwide Building Society                                                        | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  10200000 | PA      | $10590984.67  | 0.16%             | 2036-07-14      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                  | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   7480000 | PA      | $7956332.53   | 0.12%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                  | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    792000 | PA      | $811963.92    | 0.01%             | 2030-08-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class B                     | CUSIP: 64831KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455000 | PA      | $446657.58    | 0.01%             | 2039-02-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class E1                    | CUSIP: 64831KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2936450.70   | 0.04%             | 2039-02-17      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                    | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   4480000 | PA      | $4491144.00   | 0.07%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                    | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8095182.40   | 0.12%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                 | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                  | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204140 | PA      | $201287.41    | 0.00%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                  | NextEra Energy Capital Holdings, Inc.                                              | CUSIP: 65339KDM9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1438746.05   | 0.02%             | 2055-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Nexgen, Inc.                                           | Nexgen, Inc.                                                                       | CUSIP: 65346DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2026026 | PA      | $2023493.47   | 0.03%             | 2033-11-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Nexgen, Inc.                                           | Nexgen, Inc.                                                                       | CUSIP: 65346DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1041929 | PA      | $1040626.59   | 0.02%             | 2033-11-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Niagara Mohawk Power Corp.                             | Niagara Mohawk Power Corp.                                                         | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    720000 | PA      | $735173.88    | 0.01%             | 2055-07-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust       | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class A           | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3160000 | PA      | $3188315.18   | 0.05%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust       | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class B           | CUSIP: 66981PAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $817274.61    | 0.01%             | 2032-12-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust       | Continental Finance Credit Card ABS Master Trust, Series 2025-A, Class A           | CUSIP: 66981PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8555000 | PA      | $8610190.87   | 0.13%             | 2035-12-17      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2023-SFR1, Class E1                                             | CUSIP: 66981XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    520000 | PA      | $508191.89    | 0.01%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2023-SFR1, Class E2                                             | CUSIP: 66981XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2923281.30   | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2022-SFR3, Class E2                                             | CUSIP: 66981YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $979854.90    | 0.01%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR4, Class E2                                             | CUSIP: 66982FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3427338.25   | 0.05%             | 2038-12-17      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                        | NYMT Loan Trust, Series 2024-BPL3, Class A1                                        | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |    490913 | PA      | $491014.70    | 0.01%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Oklahoma Gas and Electric Co.                          | Oklahoma Gas and Electric Co.                                                      | CUSIP: 678858BY6<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |    450000 | PA      | $447129.65    | 0.01%             | 2053-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                        | Oncor Electric Delivery Co. LLC                                                    | CUSIP: 68233JAS3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    650000 | PA      | $646915.59    | 0.01%             | 2042-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                        | Oncor Electric Delivery Co. LLC                                                    | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1027515.87   | 0.02%             | 2055-04-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| One Bryant Park Trust                                  | One Bryant Park Trust, Series 2019-OBP, Class A                                    | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $939315.00    | 0.01%             | 2054-09-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| ONEOK, Inc.                                            | ONEOK, Inc.                                                                        | CUSIP: 682680AT0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $443697.68    | 0.01%             | 2047-07-13      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                            | ONEOK, Inc.                                                                        | CUSIP: 682680DA8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1397568.06   | 0.02%             | 2047-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                            | ONEOK, Inc.                                                                        | CUSIP: 682680DD2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4053595.04   | 0.06%             | 2055-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                  | OneMain Direct Auto Receivables Trust, Series 2025-1A, Class C                     | CUSIP: 682684AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1048115.30   | 0.02%             | 2035-10-15      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                  | OneMain Direct Auto Receivables Trust, Series 2025-1A, Class D                     | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5237647.00   | 0.08%             | 2037-07-14      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                       | OneMain Financial Issuance Trust, Series 2020-2A, Class C                          | CUSIP: 682696AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3506671.80   | 0.05%             | 2035-09-14      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                       | OneMain Financial Issuance Trust, Series 2021-1A, Class B                          | CUSIP: 68269MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4492512.86   | 0.07%             | 2036-06-16      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                       | OneMain Financial Issuance Trust, Series 2021-1A, Class D                          | CUSIP: 68269MAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3910000 | PA      | $3704525.98   | 0.06%             | 2036-06-16      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| OLIT                                                   | OLIT, Series 2025-HB2, Class M1                                                    | CUSIP: 68278FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4535000 | PA      | $4318616.10   | 0.07%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust   | Ontario Teachers' Cadillac Fairview Properties Trust                               | CUSIP: 68327LAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    800000 | PA      | $726266.66    | 0.01%             | 2031-10-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-B, Class A                                     | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158718 | PA      | $156009.78    | 0.00%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-B, Class B                                     | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    974871 | PA      | $959620.46    | 0.01%             | 2031-05-08      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-B, Class C                                     | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295651 | PA      | $293228.97    | 0.00%             | 2031-05-08      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2024-2, Class B                                     | CUSIP: 68377KAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    704567 | PA      | $705524.35    | 0.01%             | 2032-02-09      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2024-2, Class C                                     | CUSIP: 68377KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2083000 | PA      | $2092410.16   | 0.03%             | 2032-02-09      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Trust                                  | Oportun Funding Trust, Series 2024-3, Class B                                      | CUSIP: 68377NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931000 | PA      | $932250.71    | 0.01%             | 2029-08-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Trust                                  | Oportun Funding Trust, Series 2024-3, Class C                                      | CUSIP: 68377NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1305100.29   | 0.02%             | 2029-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-C, Class A                                     | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1101302 | PA      | $1084236.85   | 0.02%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-C, Class B                                     | CUSIP: 68377WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439903 | PA      | $433604.87    | 0.01%             | 2031-10-08      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-C, Class C                                     | CUSIP: 68377WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    562176 | PA      | $556300.80    | 0.01%             | 2031-10-08      | Fixed         | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-B, Class B                                     | CUSIP: 68378QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14250000 | PA      | $14333393.85  | 0.22%             | 2033-05-09      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-B, Class C                                     | CUSIP: 68378QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002748.90   | 0.02%             | 2033-05-09      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-B, Class D                                     | CUSIP: 68378QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3020904.00   | 0.05%             | 2033-05-09      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-C, Class B                                     | CUSIP: 68378RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1704239.80   | 0.03%             | 2033-07-08      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-D, Class B                                     | CUSIP: 68379HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8105000 | PA      | $8156901.18   | 0.12%             | 2033-02-08      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3456034.40   | 0.05%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    800000 | PA      | $558082.28    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $1907857.96   | 0.03%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    995000 | PA      | $658645.25    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $977125.24    | 0.01%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    465000 | PA      | $421320.32    | 0.01%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3825000 | PA      | $3827142.34   | 0.06%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2611530.10   | 0.04%             | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   5855000 | PA      | $5677945.91   | 0.09%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   5885000 | PA      | $5637908.45   | 0.09%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2026-A, Class B                                     | CUSIP: 68390VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12308000 | PA      | $12379838.10  | 0.19%             | 2034-01-09      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2026-A, Class C                                     | CUSIP: 68390VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15176000 | PA      | $15277491.02  | 0.23%             | 2034-01-09      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Orange SA                                              | Orange SA                                                                          | CUSIP: 685218AE9<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |   5610000 | PA      | $5675419.50   | 0.09%             | 2033-01-13      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                           | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2104939.72   | 0.03%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                           | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1425571.95   | 0.02%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                               | PRPM LLC, Series 2024-RCF1, Class A1                                               | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130357 | PA      | $129513.10    | 0.00%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                               | PRPM LLC, Series 2023-RCF2, Class A1                                               | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128539 | PA      | $127741.09    | 0.00%             | 2053-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                               | PRPM LLC, Series 2024-RPL1, Class A1                                               | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5011763 | PA      | $4965106.32   | 0.07%             | 2064-12-25      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                             | PRET Trust, Series 2024-RPL2, Class A1                                             | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1504636 | PA      | $1456830.40   | 0.02%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                             | PRM5 Trust, Series 2025-PRM5, Class B                                              | CUSIP: 693980AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2253337.88   | 0.03%             | 2033-03-10      | Variable      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                             | PRM5 Trust, Series 2025-PRM5, Class C                                              | CUSIP: 693980AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003229.90   | 0.02%             | 2033-03-10      | Variable      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                             | PRM5 Trust, Series 2025-PRM5, Class D                                              | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1758441.13   | 0.03%             | 2033-03-10      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2331547.56   | 0.04%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    745000 | PA      | $603124.23    | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   8680000 | PA      | $7514732.74   | 0.11%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    955000 | PA      | $847816.41    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1620848.13   | 0.02%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1767315.55   | 0.03%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    640000 | PA      | $681925.89    | 0.01%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308KZ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2605365.41   | 0.04%             | 2055-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308LB1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3535000 | PA      | $3491441.38   | 0.05%             | 2056-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2024-1A, Class A3                           | CUSIP: 69433BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1024036.40   | 0.02%             | 2030-11-20      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Packaging Corp. of America                             | Packaging Corp. of America                                                         | CUSIP: 695156AY5<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $1030433.21   | 0.02%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                  | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                      | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $538158.83    | 0.01%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                  | Pagaya AI Technology in Housing Trust, Series 2023-1, Class E2                     | CUSIP: 69547YAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1020883.16   | 0.02%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Republic of Panama                                     | Republic of Panama                                                                 | CUSIP: 698299CB8<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   2754000 | PA      | $2752324.74   | 0.04%             | 2034-02-23      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust                   | Perimeter Master Note Business Trust, Series 2025-1A, Class A                      | CUSIP: 71384PBC4<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4024767.60   | 0.06%             | 2030-12-16      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust                   | Perimeter Master Note Business Trust, Series 2025-1A, Class B                      | CUSIP: 71384PBD2<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   2997000 | PA      | $3017775.50   | 0.05%             | 2030-12-16      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                              | PG&E Recovery Funding LLC, Series A-2                                              | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $298786.72    | 0.00%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                              | PG&E Recovery Funding LLC, Series A-3                                              | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    345000 | PA      | $356721.79    | 0.01%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                  | CUSIP: 718172AU3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    590000 | PA      | $495242.12    | 0.01%             | 2042-08-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                          | Pioneer Natural Resources Co.                                                      | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   6001000 | PA      | $5523183.70   | 0.08%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Piper ABS Issuer I LLC                                 | Piper ABS Issuer LLC, Series 2025-1A, Class A1                                     | CUSIP: 72408KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9000000.00   | 0.14%             | 2046-01-15      | Fixed         | 5.29%                 | No            |                  3 | On Loan: No      |
| Plains All American Pipeline LP                        | Plains All American Pipeline LP                                                    | CUSIP: 72650RBH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $401725.84    | 0.01%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                                | PowerPay Issuance Trust, Series 2025-1A, Class A                                   | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10123114 | PA      | $10223416.89  | 0.15%             | 2041-11-18      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                             | PRM7 Trust, Series 2025-PRM7, Class C                                              | CUSIP: 74290HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795000 | PA      | $1801756.38   | 0.03%             | 2042-11-10      | Variable      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                             | PRM7 Trust, Series 2025-PRM7, Class D                                              | CUSIP: 74290HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4060000 | PA      | $4098484.33   | 0.06%             | 2042-11-10      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR2, Class E1                             | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2080000 | PA      | $1983572.03   | 0.03%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2023-SFR2, Class D                              | CUSIP: 74331GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $444790.58    | 0.01%             | 2040-10-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR1, Class E1                             | CUSIP: 74331QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6900000 | PA      | $6703042.95   | 0.10%             | 2041-02-17      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR3, Class E1                             | CUSIP: 74331VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5690000 | PA      | $5505991.09   | 0.08%             | 2041-06-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2022-SFR2, Class E1                             | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $693826.70    | 0.01%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2022-SFR4, Class A                              | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196484 | PA      | $197633.71    | 0.00%             | 2041-05-17      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR6, Class A                              | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98995 | PA      | $98083.87     | 0.00%             | 2038-07-17      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR7, Class A                              | CUSIP: 74333PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    414933 | PA      | $392450.11    | 0.01%             | 2040-08-17      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR9, Class B                              | CUSIP: 74333QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4749727.00   | 0.07%             | 2040-11-17      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR9, Class D                              | CUSIP: 74333QAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2872440.90   | 0.04%             | 2040-11-17      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR9, Class E1                             | CUSIP: 74333QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5050000 | PA      | $4826230.97   | 0.07%             | 2040-11-17      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                   | Progress Residential, Series 2021-SFR3, Class A                                    | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96360 | PA      | $95808.34     | 0.00%             | 2026-05-17      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR10, Class B                             | CUSIP: 74333WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4147638 | PA      | $3978463.59   | 0.06%             | 2040-12-17      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR10, Class C                             | CUSIP: 74333WAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1916209 | PA      | $1838164.39   | 0.03%             | 2040-12-17      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR10, Class E1                            | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6428839 | PA      | $6261611.73   | 0.09%             | 2040-12-17      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR11, Class D                             | CUSIP: 74333XAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2871566.70   | 0.04%             | 2039-01-17      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR11, Class E1                            | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1440726.30   | 0.02%             | 2039-01-17      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2022-SFR1, Class E1                             | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8650000 | PA      | $8452446.98   | 0.13%             | 2041-02-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR3, Class B                              | CUSIP: 74334BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2810000 | PA      | $2666261.76   | 0.04%             | 2042-07-17      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR6, Class D                              | CUSIP: 74334EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4970000 | PA      | $4714482.86   | 0.07%             | 2042-12-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR2, Class D                              | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2488662 | PA      | $2349731.27   | 0.04%             | 2042-04-17      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR4, Class C                              | CUSIP: 74334JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246000 | PA      | $235748.05    | 0.00%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR1, Class D                              | CUSIP: 74334NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5734000 | PA      | $5466386.19   | 0.08%             | 2042-02-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR1, Class E1                             | CUSIP: 74334NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3562555.13   | 0.05%             | 2042-02-17      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR5, Class C                              | CUSIP: 74334RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1748985 | PA      | $1687402.69   | 0.03%             | 2042-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR5, Class D                              | CUSIP: 74334RAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4442423 | PA      | $4261244.32   | 0.06%             | 2042-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                         | Public Service Co. of Oklahoma                                                     | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2559224.60   | 0.04%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                     | Puget Energy, Inc.                                                                 | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   5985000 | PA      | $6192502.64   | 0.09%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding LLC                           | Purchasing Power Funding LLC, Series 2026-A, Class B                               | CUSIP: 74614AAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9308000 | PA      | $9323190.66   | 0.14%             | 2030-08-15      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Purchasing Power Funding LLC                           | Purchasing Power Funding LLC, Series 2026-A, Class C                               | CUSIP: 74614AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5175000 | PA      | $5183802.68   | 0.08%             | 2030-08-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                  | Quanta Services, Inc.                                                              | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1501995.94   | 0.02%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                    | RCKT Mortgage Trust, Series 2026-CES2, Class A1A                                   | CUSIP: 74940EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7900000 | PA      | $7907096.57   | 0.12%             | 2056-02-01      | Variable      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                    | RCKT Mortgage Trust, Series 2024-CES6, Class A2                                    | CUSIP: 749410AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2771234.95   | 0.04%             | 2044-09-25      | Variable      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                             | ROCK Trust, Series 2024-CNTR, Class A                                              | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $724469.62    | 0.01%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                             | ROCK Trust, Series 2024-CNTR, Class B                                              | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2081227.40   | 0.03%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                             | ROCK Trust, Series 2024-CNTR, Class C                                              | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5150000 | PA      | $5400055.68   | 0.08%             | 2041-11-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| RFM Reremic Trust                                      | RFM Re-REMIC Trust, Series 2022-FRR1, Class AK55                                   | CUSIP: 74971BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1992142.00   | 0.03%             | 2049-03-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| RFM Re-REMIC Trust                                     | RFM Re-REMIC Trust, Series 2022-FRR1, Class AB60                                   | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9930000 | PA      | $9703327.89   | 0.15%             | 2049-11-08      | Variable      | 2.32%                 | Yes           |                  3 | On Loan: No      |
| Cooperatieve Rabobank UA                               | Cooperatieve Rabobank UA                                                           | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   1800000 | PA      | $1914488.69   | 0.03%             | 2033-01-21      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                               | Cooperatieve Rabobank UA                                                           | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2440000 | PA      | $2514124.74   | 0.04%             | 2031-05-27      | Variable      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| RFM Reremic Trust                                      | RFM Re-REMIC Trust, Series 2024-FRR2, Class A100                                   | CUSIP: 74983PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1679320.40   | 0.03%             | 2052-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| RKTL                                                   | RKTL, Series 2026-1A, Class C                                                      | CUSIP: 74990JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3310000 | PA      | $3309562.75   | 0.05%             | 2035-02-26      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                               | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                               | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772000 | PA      | $781526.63    | 0.01%             | 2029-09-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2025-1A, Class C                                           | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220000 | PA      | $1251844.32   | 0.02%             | 2032-08-16      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2025-2A, Class C                                           | CUSIP: 75525QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5089668.00   | 0.08%             | 2032-08-18      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2026-1A, Class C                                           | CUSIP: 75526XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9010000 | PA      | $9058194.49   | 0.14%             | 2033-02-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2022-1, Class B                         | CUSIP: 75907DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $299256.18    | 0.00%             | 2032-03-15      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2022-1, Class C                         | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3666000 | PA      | $3651476.41   | 0.06%             | 2032-03-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2021-2, Class C                         | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1332233.84   | 0.02%             | 2033-08-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2025-1, Class D                         | CUSIP: 75908AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4307341.85   | 0.07%             | 2034-04-17      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2025-2, Class D                         | CUSIP: 75908BAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $4932216.52   | 0.07%             | 2037-11-16      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2018-1, Class A                                                      | CUSIP: 75973FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2364859 | PA      | $2227849.16   | 0.03%             | 2053-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2023-1A, Class A                                                     | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   2298444 | PA      | $2408961.20   | 0.04%             | 2058-11-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2017-2A, Class A                                                     | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    786006 | PA      | $728794.74    | 0.01%             | 2053-09-22      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2017-1A, Class A                                                     | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    154296 | PA      | $146676.04    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2024-1A, Class A                                                     | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5558825 | PA      | $5691754.61   | 0.09%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2024-2A, Class M                                                     | CUSIP: 75975DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1191406 | PA      | $1170103.49   | 0.02%             | 2060-11-20      | Fixed         | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2024-2A, Class B                                                     | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1334107 | PA      | $1341739.09   | 0.02%             | 2060-11-20      | Fixed         | 8.22%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                        | Republic Finance Issuance Trust, Series 2024-A, Class A                            | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $605824.80    | 0.01%             | 2032-08-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                        | Republic Finance Issuance Trust, Series 2024-B, Class A                            | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $827311.16    | 0.01%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Trust                     | Research-Driven Pagaya Motor Trust, Series 2025-5A, Class A3                       | CUSIP: 76089KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9041660.10   | 0.14%             | 2034-06-26      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Trust                     | Research-Driven Pagaya Motor Trust, Series 2025-6A, Class A3                       | CUSIP: 76100JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2006953.80   | 0.03%             | 2034-08-25      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| RFT TRUST                                              | RFT TRUST, Series 2024-2, Class A1                                                 | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3409634 | PA      | $3410609.40   | 0.05%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                          | RWC Commercial Mortgage Trust, Series 2025-1, Class A                              | CUSIP: 78348LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6518453 | PA      | $6562022.14   | 0.10%             | 2040-06-25      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                          | RWC Commercial Mortgage Trust, Series 2025-1, Class AS                             | CUSIP: 78348LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3295000 | PA      | $3335155.51   | 0.05%             | 2040-06-25      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                          | RWC Commercial Mortgage Trust, Series 2025-1, Class C                              | CUSIP: 78348LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1536000 | PA      | $1550498.61   | 0.02%             | 2040-06-25      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2024-1A, Class C                                 | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $302900.33    | 0.00%             | 2032-09-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                                | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103809 | PA      | $104574.85    | 0.00%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2023-1A, Class D                                 | CUSIP: 784024AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1799000 | PA      | $1886462.70   | 0.03%             | 2033-08-22      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                               | SCE Recovery Funding LLC                                                           | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1576397.74   | 0.02%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-1A, Class A3                                | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1746476.81   | 0.03%             | 2033-11-21      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-1A, Class D                                 | CUSIP: 78437DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8157000 | PA      | $8543879.98   | 0.13%             | 2035-11-20      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-1A, Class E                                 | CUSIP: 78437DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1290000 | PA      | $1360227.47   | 0.02%             | 2035-11-20      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-2A, Class C                                 | CUSIP: 78439XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4266000 | PA      | $4357503.57   | 0.07%             | 2036-06-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-2A, Class D                                 | CUSIP: 78439XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4845000 | PA      | $4939832.15   | 0.07%             | 2036-06-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-2A, Class E                                 | CUSIP: 78439XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7265000 | PA      | $7553394.35   | 0.11%             | 2036-06-20      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                      | SMBC Aviation Capital Finance DAC                                                  | CUSIP: 78448TAP7<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    700000 | PA      | $712102.35    | 0.01%             | 2035-11-26      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| SRT Issuer II LLC                                      | SRT Issuer LLC                                                                     | CUSIP: 78475DAE3<br>LEI: 2549005TCDBHPK8XA750 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7003063.76   | 0.11%             | 2031-12-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| SRT Issuer I LLC                                       | SRT Issuer I LLC                                                                   | CUSIP: 78475KAC1<br>LEI: 2549007PUYUQCDX9UC96 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6991250.00   | 0.11%             | 2031-07-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class D                    | CUSIP: 80280BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2452799 | PA      | $2476824.66   | 0.04%             | 2033-01-18      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                        | Santander UK Group Holdings plc                                                    | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $693187.46    | 0.01%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                        | Santander UK Group Holdings plc                                                    | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2050000 | PA      | $2152410.13   | 0.03%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                        | Santander UK Group Holdings plc                                                    | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1535000 | PA      | $1540332.80   | 0.02%             | 2029-09-22      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                        | Santander UK Group Holdings plc                                                    | CUSIP: 80281LAY1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1510000 | PA      | $1512706.22   | 0.02%             | 2036-09-22      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                           | Santander Holdings USA, Inc.                                                       | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   5550000 | PA      | $5977647.65   | 0.09%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                     | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409394 | PA      | $411403.80    | 0.01%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                     | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3633717.50   | 0.05%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                     | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $403464.64    | 0.01%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-3, Class D                     | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2462198.40   | 0.04%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-1, Class D                     | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1023686.50   | 0.02%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                     | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $404549.44    | 0.01%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-5, Class D                     | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1392000 | PA      | $1412982.03   | 0.02%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-4, Class D                     | CUSIP: 802923AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3930000 | PA      | $3977289.69   | 0.06%             | 2032-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                         | Shell International Finance BV                                                     | CUSIP: 822582CK6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    937000 | PA      | $706039.93    | 0.01%             | 2041-11-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Shell Finance US, Inc.                                 | Shell Finance US, Inc.                                                             | CUSIP: 822905AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    563000 | PA      | $561044.95    | 0.01%             | 2041-10-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class C                  | CUSIP: 82650DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    319202 | PA      | $325430.94    | 0.00%             | 2041-06-20      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class C                  | CUSIP: 82650FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1501284 | PA      | $1508823.89   | 0.02%             | 2044-08-22      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                  | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138496 | PA      | $139829.51    | 0.00%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class C                  | CUSIP: 82653BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    734352 | PA      | $741337.11    | 0.01%             | 2041-08-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class C                  | CUSIP: 82653HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1030230 | PA      | $1039550.85   | 0.02%             | 2044-04-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C                  | CUSIP: 826943AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156480 | PA      | $160995.27    | 0.00%             | 2040-01-20      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                       | Skandinaviska Enskilda Banken AB                                                   | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1445000 | PA      | $1463610.23   | 0.02%             | 2030-09-03      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                         | Smurfit Westrock Financing DAC                                                     | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    755000 | PA      | $783590.86    | 0.01%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $459272.02    | 0.01%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $1857371.04   | 0.03%             | 2033-01-21      | Variable      | 3.34%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   9214000 | PA      | $9829284.57   | 0.15%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    435000 | PA      | $439834.71    | 0.01%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2455000 | PA      | $2619740.88   | 0.04%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    425000 | PA      | $442372.98    | 0.01%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RCK6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6000000 | PA      | $6080718.48   | 0.09%             | 2036-10-03      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RCN0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  11045000 | PA      | $11111662.43  | 0.17%             | 2037-04-10      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Solventum Corp.                                        | Solventum Corp.                                                                    | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   4903000 | PA      | $5126309.29   | 0.08%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                        | Solventum Corp.                                                                    | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4990394.00   | 0.08%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                         | Southern California Edison Co.                                                     | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4912422.30   | 0.07%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                         | Southern California Edison Co.                                                     | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   4550000 | PA      | $4379156.24   | 0.07%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                         | Southern California Edison Co.                                                     | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    695000 | PA      | $684937.08    | 0.01%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                         | Southern Co. Gas Capital Corp., Series B                                           | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1227251.82   | 0.02%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                             | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    580000 | PA      | $593705.55    | 0.01%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                             | CUSIP: 85325C2L5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1085000 | PA      | $1091151.95   | 0.02%             | 2037-01-13      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| State Street Corp.                                     | State Street Corp.                                                                 | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1069273.07   | 0.02%             | 2036-10-23      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Street Capital Group, Inc.                             | Street Capital Group, Inc.                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   3670487 | PA      | $3670487.40   | 0.06%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2024-1A, Class A                           | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    486254 | PA      | $508703.44    | 0.01%             | 2044-07-15      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2024-1A, Class B                           | CUSIP: 86324CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3136231 | PA      | $3368778.05   | 0.05%             | 2044-07-15      | Fixed         | 7.89%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2024-2A, Class B                           | CUSIP: 86324EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1183453 | PA      | $1223463.16   | 0.02%             | 2045-02-15      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2025-1A, Class A                           | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1517395 | PA      | $1543229.85   | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2025-1A, Class B                           | CUSIP: 86324XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3227988 | PA      | $3286992.60   | 0.05%             | 2045-09-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2025-1A, Class C                           | CUSIP: 86324XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2601662 | PA      | $2667675.93   | 0.04%             | 2045-09-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                  | Sumitomo Mitsui Financial Group, Inc.                                              | CUSIP: 86562MDN7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $421883.84    | 0.01%             | 2031-07-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                  | Sumitomo Mitsui Financial Group, Inc.                                              | CUSIP: 86562MDZ0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2500000 | PA      | $2569914.18   | 0.04%             | 2033-07-08      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                  | Sumitomo Mitsui Financial Group, Inc.                                              | CUSIP: 86562MEG1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   3755000 | PA      | $3824425.52   | 0.06%             | 2047-01-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                         | Synopsys, Inc.                                                                     | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   2385000 | PA      | $2383621.37   | 0.04%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                    | Synchrony Financial                                                                | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1844000 | PA      | $1913652.45   | 0.03%             | 2030-08-02      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                                 | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    595000 | PA      | $452687.23    | 0.01%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                                 | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   6385000 | PA      | $4354463.24   | 0.07%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                                 | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    964000 | PA      | $919409.23    | 0.01%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust                                     | TVC Mortgage Trust, Series 2026-RRTL1, Class A1                                    | CUSIP: 87306XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8042000 | PA      | $8063389.31   | 0.12%             | 2040-04-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                              | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    415000 | PA      | $429429.78    | 0.01%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                              | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   3247000 | PA      | $3334456.87   | 0.05%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Textron, Inc.                                          | Textron, Inc.                                                                      | CUSIP: 883203CE9<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1262557.90   | 0.02%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                         | Thermo Fisher Scientific, Inc.                                                     | CUSIP: 883556DJ8<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   3655000 | PA      | $3718372.36   | 0.06%             | 2036-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                  | Time Warner Cable LLC                                                              | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2814026.88   | 0.04%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                  | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                 | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1509707.10   | 0.02%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital SA                               | TotalEnergies Capital SA                                                           | CUSIP: 89157XAE1<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $960502.21    | 0.01%             | 2054-09-10      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5402158 | PA      | $4976980.70   | 0.08%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2026-FIX1, Class A1                              | CUSIP: 89183TAA6<br>LEI: 254900HMDJT9KG22DU68 | Long             | ABS-O            | CORP              | US        |   9872087 | PA      | $9935921.69   | 0.15%             | 2065-12-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2026-CES1, Class A1                              | CUSIP: 89190LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8347508 | PA      | $8391680.90   | 0.13%             | 2066-01-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2026-CES2, Class A1A                             | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7035000 | PA      | $7033536.72   | 0.11%             | 2066-02-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Triad Holdings III LLC                                 | Triad Holdings III LLC                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   6135035 | PA      | $6196385.22   | 0.09%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2023-SFR2, Class C                                | CUSIP: 895978AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $300600.96    | 0.00%             | 2040-12-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes Trust                            | Tricon American Homes Trust, Series 2020-SFR2, Class C                             | CUSIP: 89613JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2392820.75   | 0.04%             | 2039-11-17      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes Trust                            | Tricon American Homes Trust, Series 2020-SFR2, Class E1                            | CUSIP: 89613JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $478243.30    | 0.01%             | 2039-11-17      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2022-SFR1, Class E1                               | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272000 | PA      | $270569.85    | 0.00%             | 2039-04-17      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2022-SFR2, Class E                                | CUSIP: 89616TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1012417.00   | 0.02%             | 2040-07-17      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                                 | Truist Financial Corp.                                                             | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1713585.41   | 0.03%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                 | Truist Financial Corp.                                                             | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1104356.91   | 0.02%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                 | Truist Financial Corp.                                                             | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |  10925000 | PA      | $10909392.65  | 0.16%             | 2036-10-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked Notes                   | Truist Bank Auto Credit-Linked Notes, Series 2025-1, Class B                       | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2612613 | PA      | $2627264.11   | 0.04%             | 2033-09-26      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 902613BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $990754.58    | 0.01%             | 2045-09-06      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2000000 | PA      | $2081966.18   | 0.03%             | 2036-05-09      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4800000 | PA      | $4840244.74   | 0.07%             | 2033-11-06      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| UPG HI Issuer Trust                                    | UPG HI Issuer Trust, Series 2025-2, Class A                                        | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5776332 | PA      | $5818634.09   | 0.09%             | 2047-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                     | United Airlines Pass-Through Trust, Series 2024-1, Class AA                        | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    907794 | PA      | $949290.01    | 0.01%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1000000 | PA      | $626000.00    | 0.01%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    730000 | PA      | $708063.50    | 0.01%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    474000 | PA      | $498648.00    | 0.01%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    703000 | PA      | $761349.00    | 0.01%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1657000 | PA      | $1723280.00   | 0.03%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2140000 | PA      | $2261980.00   | 0.03%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   7174000 | PA      | $7199826.40   | 0.11%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  10000000 | PA      | $9977500.00   | 0.15%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBQ2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   4059000 | PA      | $4101213.60   | 0.06%             | 2034-02-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                             | US Bancorp                                                                         | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1788764.31   | 0.03%             | 2035-01-23      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                             | US Bancorp                                                                         | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1034499.85   | 0.02%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12315000 | PA      | $4064278.81   | 0.06%             | 2049-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $570914.06    | 0.01%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4000 | PA      | $4176.88      | 0.00%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3900000 | PA      | $3127464.83   | 0.05%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6250000 | PA      | $5540771.50   | 0.08%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10360000 | PA      | $8485892.16   | 0.13%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $2562124.99   | 0.04%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3230000 | PA      | $2572392.19   | 0.04%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5080000 | PA      | $3475235.92   | 0.05%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10238000 | PA      | $7864063.75   | 0.12%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8210000 | PA      | $6114846.50   | 0.09%             | 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        |  31585000 | PA      | $20610446.21  | 0.31%             | 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        |  32324000 | PA      | $21610361.80  | 0.33%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50531000 | PA      | $26011621.54  | 0.39%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24490000 | PA      | $16075389.06  | 0.24%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1194000 | PA      | $1095355.08   | 0.02%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8650000 | PA      | $8508423.81   | 0.13%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $936757.81    | 0.01%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5280500 | PA      | $5263585.92   | 0.08%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4275000 | PA      | $4005474.59   | 0.06%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1375000 | PA      | $1302167.97   | 0.02%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1775000 | PA      | $1734091.79   | 0.03%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4885000 | PA      | $4930987.68   | 0.07%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47800000 | PA      | $46769312.50  | 0.71%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4190000 | PA      | $3708641.03   | 0.06%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18827000 | PA      | $16667778.44  | 0.25%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23790000 | PA      | $22507570.31  | 0.34%             | 2028-12-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $543703.13    | 0.01%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $485058.60    | 0.01%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26012000 | PA      | $25655351.03  | 0.39%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16000000 | PA      | $16316249.92  | 0.25%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36176000 | PA      | $37101596.97  | 0.56%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14066000 | PA      | $14395671.88  | 0.22%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6585000 | PA      | $6785379.51   | 0.10%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26623000 | PA      | $28174621.72  | 0.43%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 142811000 | PA      | $149600100.70 | 2.26%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6534281.25   | 0.10%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3076523.43   | 0.05%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2550000 | PA      | $2574603.52   | 0.04%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24085000 | PA      | $24487671.09  | 0.37%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90957400 | PA      | $92154768.67  | 1.39%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3895000 | PA      | $3976855.84   | 0.06%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5180664.05   | 0.08%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8675000 | PA      | $8962359.38   | 0.14%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70197000 | PA      | $70301199.02  | 1.06%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17907000 | PA      | $18053893.27  | 0.27%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 138138000 | PA      | $139001362.50 | 2.10%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16740000 | PA      | $16856395.23  | 0.25%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9050000 | PA      | $9260695.31   | 0.14%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22025000 | PA      | $22628106.39  | 0.34%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16445000 | PA      | $16635145.31  | 0.25%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5951000 | PA      | $6109305.88   | 0.09%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2770000 | PA      | $2835246.49   | 0.04%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35855000 | PA      | $37509091.90  | 0.57%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23590000 | PA      | $23947535.94  | 0.36%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38225000 | PA      | $39737575.10  | 0.60%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9995000 | PA      | $10543944.19  | 0.16%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10180000 | PA      | $10343039.01  | 0.16%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  77535000 | PA      | $79567265.23  | 1.20%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2120000 | PA      | $2162400.00   | 0.03%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1970000 | PA      | $1984313.27   | 0.03%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27870000 | PA      | $28404537.96  | 0.43%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11995000 | PA      | $12302840.40  | 0.19%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8775000 | PA      | $8841155.25   | 0.13%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2343304.68   | 0.04%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37000000 | PA      | $37406132.72  | 0.56%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9925000 | PA      | $10080853.47  | 0.15%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  93778000 | PA      | $95518021.72  | 1.44%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15705000 | PA      | $16095171.09  | 0.24%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55862000 | PA      | $56152220.41  | 0.85%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18647000 | PA      | $18742420.24  | 0.28%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54991000 | PA      | $55261659.10  | 0.83%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19902000 | PA      | $19961084.06  | 0.30%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42247000 | PA      | $42662868.91  | 0.64%             | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36694000 | PA      | $36863136.59  | 0.56%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55940000 | PA      | $45923411.01  | 0.69%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128334T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11285000 | PA      | $9071326.50   | 0.14%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7772000 | PA      | $5575335.21   | 0.08%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2752000 | PA      | $1927119.21   | 0.03%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  84484000 | PA      | $57740955.62  | 0.87%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 149954000 | PA      | $99906303.67  | 1.51%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33190000 | PA      | $21537730.81  | 0.33%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74109000 | PA      | $62717160.17  | 0.95%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3040000 | PA      | $2521767.25   | 0.04%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28440000 | PA      | $23108243.71  | 0.35%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26345000 | PA      | $19608226.53  | 0.30%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3886000 | PA      | $2754931.47   | 0.04%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833X96<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $6074370.45   | 0.09%             | 2035-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833XU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $30176294.05  | 0.46%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54875000 | PA      | $46856971.20  | 0.71%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41185000 | PA      | $34499336.81  | 0.52%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23384000 | PA      | $15375944.82  | 0.23%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833Y46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4243000 | PA      | $2644655.24   | 0.04%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833Z52<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $30736364.00  | 0.46%             | 2037-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834AD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43560000 | PA      | $26420230.74  | 0.40%             | 2037-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45471000 | PA      | $24253255.14  | 0.37%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50787000 | PA      | $26732955.32  | 0.40%             | 2040-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15766000 | PA      | $8172768.36   | 0.12%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7210000 | PA      | $3686402.20   | 0.06%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2249000 | PA      | $1133224.50   | 0.02%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1211000 | PA      | $577260.97    | 0.01%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5310000 | PA      | $2418242.45   | 0.04%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834MM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28680000 | PA      | $12697879.28  | 0.19%             | 2043-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834MT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 104542000 | PA      | $45604690.15  | 0.69%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834NF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65000000 | PA      | $27561173.90  | 0.42%             | 2044-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834PH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14300000 | PA      | $5739038.45   | 0.09%             | 2045-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9435000 | PA      | $3095926.74   | 0.05%             | 2049-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834VE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70445000 | PA      | $22309289.75  | 0.34%             | 2049-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                               | UnitedHealth Group, Inc.                                                           | CUSIP: 91324PBN1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $418640.14    | 0.01%             | 2040-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                               | UnitedHealth Group, Inc.                                                           | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    670000 | PA      | $661021.30    | 0.01%             | 2054-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                           | Upstart Securitization Trust, Series 2025-1, Class A                               | CUSIP: 91684PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1179530 | PA      | $1189509.34   | 0.02%             | 2035-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| UPX HIL Issuer Trust                                   | UPX HIL Issuer Trust, Series 2025-1, Class A                                       | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9796928 | PA      | $9876469.65   | 0.15%             | 2047-01-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| VFI ABS LLC                                            | VFI ABS LLC, Series 2025-1A, Class B                                               | CUSIP: 91824UAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1195000 | PA      | $1206960.76   | 0.02%             | 2030-12-24      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| VOLT C LLC                                             | VOLT C LLC, Series 2021-NPL9, Class A1                                             | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25165 | PA      | $25170.25     | 0.00%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                  | Vendee Mortgage Trust, Series 2011-1, Class DZ                                     | CUSIP: 92261WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1172272 | PA      | $1122451.29   | 0.02%             | 2046-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                  | Vendee Mortgage Trust, Series 2010-1, Class DZ                                     | CUSIP: 92261XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1461124 | PA      | $1436280.78   | 0.02%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                       | Ventas Realty LP                                                                   | CUSIP: 92277GBA4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1009607.33   | 0.02%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                                | Verdant Receivables LLC, Series 2025-1A, Class B                                   | CUSIP: 92340GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2474903.04   | 0.04%             | 2033-05-12      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                       | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $877715.83    | 0.01%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust, Series 2026-1, Class B                               | CUSIP: 92511CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3055000 | PA      | $3063432.41   | 0.05%             | 2029-05-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust, Series 2026-1, Class C                               | CUSIP: 92511CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4757000 | PA      | $4796188.17   | 0.07%             | 2031-07-15      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                        | Virginia Electric and Power Co.                                                    | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1476871.97   | 0.02%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                          | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   2421000 | PA      | $2566545.68   | 0.04%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                          | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $2222923.56   | 0.03%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                          | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1994000 | PA      | $2006618.03   | 0.03%             | 2030-10-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                          | CUSIP: 92840VAW2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   3920000 | PA      | $3928294.72   | 0.06%             | 2035-10-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                          | CUSIP: 92840VAZ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1726872.95   | 0.03%             | 2036-01-31      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                                     | Vodafone Group plc                                                                 | CUSIP: 92857WCA6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $394570.48    | 0.01%             | 2054-06-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VOLT CII LLC                                           | VOLT CII LLC, Series 2021-NP11, Class A1                                           | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65366 | PA      | $65381.01     | 0.00%             | 2051-08-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                        | WHARF Commercial Mortgage Trust, Series 2025-DC, Class C                           | CUSIP: 92987LAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2085095.60   | 0.03%             | 2040-07-15      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    535000 | PA      | $560415.85    | 0.01%             | 2035-01-23      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4910000 | PA      | $5041611.67   | 0.08%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  17971000 | PA      | $18900635.34  | 0.29%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U4B6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    790000 | PA      | $792296.98    | 0.01%             | 2036-09-15      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U4E0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8460000 | PA      | $8492169.23   | 0.13%             | 2037-01-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                        | Western Funding Auto Loan Trust, Series 2025-1, Class D                            | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8858000 | PA      | $9067823.88   | 0.14%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                   | Westgate Resorts LLC, Series 2024-1A, Class B                                      | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    384933 | PA      | $391214.83    | 0.01%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2023-4A, Class D                     | CUSIP: 96041AAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $363317.33    | 0.01%             | 2029-07-16      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2024-2A, Class D                     | CUSIP: 96042YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6683441.05   | 0.10%             | 2030-04-15      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2025-3A, Class C                     | CUSIP: 96043QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2502000 | PA      | $2529824.49   | 0.04%             | 2031-07-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                        | Wingspire Equipment Finance LLC, Series 2024-1A, Class C                           | CUSIP: 97415AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1242000 | PA      | $1257734.40   | 0.02%             | 2032-09-20      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                        | Wingspire Equipment Finance LLC, Series 2025-1A, Class A2                          | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570000 | PA      | $2579383.33   | 0.04%             | 2033-09-20      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                        | Wingspire Equipment Finance LLC, Series 2025-1A, Class C                           | CUSIP: 97415CAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2014061.20   | 0.03%             | 2033-09-20      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Wolf Energy Asset Issuer LLC                           | Wolf Energy Asset Issuer LLC                                                       | CUSIP: 977701AE1<br>LEI: 254900JUY1UOGKD5MA90 | Long             | ABS-O            | CORP              | US        |   2732676 | PA      | $2732675.88   | 0.04%             | 2050-07-25      | Fixed         | 5.70%                 | No            |                  3 | On Loan: No      |
| Zimmer Biomet Holdings, Inc.                           | Zimmer Biomet Holdings, Inc.                                                       | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $2161108.61   | 0.03%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Upstart Frn                                            | Upstart Frn                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2996250.00   | 0.05%             | 2027-09-15      | Floating      | 6.80%                 | No            |                  3 | On Loan: No      |
| Mpire                                                  | Mpire                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4497005 | PA      | $4509731.52   | 0.07%             | 2030-09-13      | Floating      | 8.29%                 | No            |                  3 | On Loan: No      |
| BAML Funding Ltd.                                      | BAML Funding Ltd.                                                                  | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2996250.00   | 0.05%             | 2029-10-26      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| Hornbeck Offshore Services LLC                         | Hornbeck Offshore Services LLC                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   2970910 | PA      | $3037755.95   | 0.05%             | 2044-01-01      | Fixed         | 8.90%                 | No            |                  3 | On Loan: No      |
| Tucielo 2025-assiciation Condu                         | Tucielo 2025-assiciation Condu                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    337500 | PA      | $337500.00    | 0.01%             | 2033-08-09      | Fixed         | 8.01%                 | No            |                  3 | On Loan: No      |
| Evolution 2026-pdp1  feb30                             | Evolution 2026-pdp1  feb30                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   9540000 | PA      | $9540000.00   | 0.14%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                          | BAML RCAP Frn                                                                      | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   4000000 | PA      | $4000000.00   | 0.06%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                          | BAML RCAP Frn                                                                      | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   5000000 | PA      | $5000000.00   | 0.08%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Resurgent                                              | Resurgent                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.05%             | 2030-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Ygrene Frn                                             | Ygrene Frn                                                                         | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |   4216610 | PA      | $4237693.05   | 0.06%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Note                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -433 | NC      | $-146097.23   | -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        |      1154 | NC      | $242265.76    | 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        |      1306 | NC      | $640680.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury Long Bond                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       231 | NC      | $190906.48    | 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        |      -841 | NC      | $-566581.17   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bond                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1039 | NC      | $1133504.72   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

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

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer