# EDGAR Filing Document

**Accession Number:** 0000897111
**File Stem:** 0001145549-25-054311
**Filing Date:** 2025-8
**Character Count:** 107231
**Document Hash:** 596061360c037b38d818d0fc241299a7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-054311.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001145549-25-054311

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07470
- **FILM NUMBER:** 251261204

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** St. Petersburg

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33716

  - **Telephone number:** 7275671000

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $2653706027.73

**Total Liabilities:** $827859298.32

**Net Assets:** $1825846729.41

**Delayed Delivery Securities:** $790211044.53

**Cash Not Reported:** $112868790.54

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -27450.600000000000 | **1-Year:** 48840.190000000000 | **5-Year:** 191540.840000000000 | **10-Year:** 199947.570000000000 | **30-Year:** 278933.260000000000

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

- **3-Month:** 1700.180000000000 | **1-Year:** 2177.230000000000 | **5-Year:** 24741.250000000000 | **10-Year:** 2528.600000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000193399 | 1.92%                | -0.45%               | 1.68%                |
| Class ID C000193400 | 1.80%                | -0.43%               | 1.56%                |
| Class ID C000193401 | 1.94%                | -0.34%               | 1.70%                |
| Class ID C000193404 | 1.95%                | -0.33%               | 1.71%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $11523888.78             | $12873621.67                               |
| Month 2  | $3610044.82              | $-19184139.48                              |
| Month 3  | $391147.35               | $21952808.86                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| STAR 2025-SFR5 Trust           | STAR 2025-SFR5 Trust                                      | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1905000 | PA      | $1907388.87   | 0.10%             | 2042-02-17      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP              | State Street Corp                                         | CUSIP: 857477CX9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   2425000 | PA      | $2453322.67   | 0.13%             | 2036-02-28      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2015-5                          | CUSIP: 89171VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1978413 | PA      | $1963267.85   | 0.11%             | 2055-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-C Owner Trust                | CUSIP: 89237QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2590690 | PA      | $2595481.92   | 0.14%             | 2027-05-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-C Owner Trust                | CUSIP: 89237QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2590690 | PA      | $2591379.30   | 0.14%             | 2027-05-17      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-A Owner Trust                | CUSIP: 89238DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1109116 | PA      | $1109204.34   | 0.06%             | 2026-12-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-D Owner Trust                | CUSIP: 89239TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12871894 | PA      | $12874794.82  | 0.71%             | 2027-08-16      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES          | TransCanada PipeLines Ltd                                 | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   4851000 | PA      | $4750937.31   | 0.26%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR1 Trust                        | CUSIP: 895974AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14889394 | PA      | $14891721.06  | 0.82%             | 2042-03-17      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2022-SFR1 Trust                        | CUSIP: 89616QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7978378 | PA      | $7866060.30   | 0.43%             | 2039-04-17      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP             | Union Pacific Corp                                        | CUSIP: 907818GG7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2451094.31   | 0.13%             | 2035-02-20      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT       | United Airlines 2018-1 Class AA Pass Through Trust        | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    987780 | PA      | $930606.28    | 0.05%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT       | United Airlines 2019-1 Class AA Pass Through Trust        | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4639912 | PA      | $4443710.89   | 0.24%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 AA PTT       | United Airlines 2016-1 Class AA Pass Through Trust        | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    848979 | PA      | $811219.43    | 0.04%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT       | United Airlines 2016-2 Class AA Pass Through Trust        | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3323910 | PA      | $3138166.59   | 0.17%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT       | United Airlines 2015-1 Class AA Pass Through Trust        | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    852883 | PA      | $827113.27    | 0.05%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT        | United Airlines 2014-1 Class A Pass Through Trust         | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2408554 | PA      | $2387344.55   | 0.13%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                               | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 105400000 | PA      | $104939539.02 | 5.75%             | 2025-08-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F040685<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        | 230895000 | PA      | $214642215.52 | 11.76%            | 2055-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 104435000 | PA      | $102335873.21 | 5.60%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BTXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8477454 | PA      | $8541604.63   | 0.47%             | 2054-12-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BTYR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8402347 | PA      | $8376014.80   | 0.46%             | 2051-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BUE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4280294 | PA      | $4297446.59   | 0.24%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BUPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19263553 | PA      | $19265080.85  | 1.06%             | 2055-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BVEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10511745 | PA      | $10482318.24  | 0.57%             | 2055-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BVGS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11422179 | PA      | $11445997.45  | 0.63%             | 2055-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22370000 | PA      | $22369953.02  | 1.23%             | 2055-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HHVQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15643568 | PA      | $15636974.22  | 0.86%             | 2055-01-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM2                 | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6795984 | PA      | $6820400.87   | 0.37%             | 2065-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9380000 | PA      | $9551300.09   | 0.52%             | 2030-07-22      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2482295.88   | 0.14%             | 2036-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3990000 | PA      | $4135009.81   | 0.23%             | 2036-04-22      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-3                    | CUSIP: 46657QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7631740 | PA      | $6479526.67   | 0.35%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-6                    | CUSIP: 46657YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4119354 | PA      | $4134692.54   | 0.23%             | 2054-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2024-CCM1                        | CUSIP: 46658NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987201 | PA      | $989804.79    | 0.05%             | 2055-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-5                    | CUSIP: 46658RAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5898579 | PA      | $5912035.40   | 0.32%             | 2054-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2025-NQM2 Trust                                       | CUSIP: 55287MAA7<br>LEI: 254900SDE8K3K1E63161 | Long             | ABS-MBS          | CORP              | US        |  11076235 | PA      | $11133769.50  | 0.61%             | 2070-05-27      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                | McDonald's Corp                                           | CUSIP: 58013MGA6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   2408000 | PA      | $2406583.25   | 0.13%             | 2035-03-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust | Mercedes-Benz Auto Lease Trust 2024-B                     | CUSIP: 58769GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1022292 | PA      | $1022121.25   | 0.06%             | 2026-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES | Mercedes-Benz Auto Receivables Trust 2025-1               | CUSIP: 58773DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12306677 | PA      | $12298998.48  | 0.67%             | 2028-02-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES | Mercedes-Benz Auto Receivables Trust 2024-1               | CUSIP: 587918AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1384476 | PA      | $1384471.13   | 0.08%             | 2027-05-17      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I        | Metropolitan Life Global Funding I                        | CUSIP: 59217GFD6<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   2720000 | PA      | $2708767.24   | 0.15%             | 2029-08-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP         | Mitsubishi UFJ Financial Group Inc                        | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5470000 | PA      | $5307257.38   | 0.29%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                            | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2473901.10   | 0.14%             | 2036-01-18      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2023-1     | CUSIP: 61774YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1323883 | PA      | $1212683.44   | 0.07%             | 2053-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL         | Brazil Letras do Tesouro Nacional                         | CUSIP: BX5046434<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        | 319435000 | PA      | $54743678.20  | 3.00%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2023-SFR2 Trust                                      | CUSIP: 00178YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $843924.53    | 0.05%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2024-SFR2 Trust                                      | CUSIP: 00179UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1430000 | PA      | $1402315.37   | 0.08%             | 2041-11-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE         | American Honda Finance Corp                               | CUSIP: 02665WFZ9<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   4370000 | PA      | $4346198.66   | 0.24%             | 2035-03-05      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| AMGEN INC                      | Amgen Inc                                                 | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   3465000 | PA      | $3540404.43   | 0.19%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2024-8                  | CUSIP: 16159XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3539290 | PA      | $3545413.30   | 0.19%             | 2055-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                | Chevron USA Inc                                           | CUSIP: 166756BF2<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   2505000 | PA      | $2533516.44   | 0.14%             | 2035-04-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291LZE8<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   2766000 | PA      | $3542914.08   | 0.19%             | 2025-07-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC            | Dominion Energy Inc                                       | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   6090000 | PA      | $5787485.40   | 0.32%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP               | Duke Energy Corp                                          | CUSIP: 26441CBW4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3537390.39   | 0.19%             | 2027-12-08      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC        | Duke Energy Indiana LLC                                   | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   7605000 | PA      | $7774940.42   | 0.43%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC        | Duke Energy Florida LLC                                   | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $4209734.70   | 0.23%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC           | ERAC USA Finance LLC                                      | CUSIP: 26884TAV4<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   6410000 | PA      | $6484471.57   | 0.36%             | 2028-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC          | Entergy Louisiana LLC                                     | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   5485000 | PA      | $4729559.07   | 0.26%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC          | Entergy Louisiana LLC                                     | CUSIP: 29364WBM9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |  11650000 | PA      | $11949793.06  | 0.65%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                      | CUSIP: 29366MAE8<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   5810000 | PA      | $5963473.76   | 0.33%             | 2033-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BRWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10898461 | PA      | $10881089.85  | 0.60%             | 2054-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BS6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20662804 | PA      | $20580650.99  | 1.13%             | 2054-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4161309 | PA      | $4177443.99   | 0.23%             | 2054-12-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BTB51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4494489 | PA      | $4512452.13   | 0.25%             | 2054-12-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BTLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3651629 | PA      | $3644339.55   | 0.20%             | 2054-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BTQJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15824011 | PA      | $15857510.15  | 0.87%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HHXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10296123 | PA      | $10216584.68  | 0.56%             | 2055-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HJD53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4017698 | PA      | $4024789.45   | 0.22%             | 2055-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HJD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9446646 | PA      | $9504206.76   | 0.52%             | 2055-02-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HJWF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3452020 | PA      | $3431873.09   | 0.19%             | 2055-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HJX51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9005677 | PA      | $8998321.62   | 0.49%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HMBZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15685000 | PA      | $15680087.46  | 0.86%             | 2055-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC         | GE HealthCare Technologies Inc                            | CUSIP: 36267VAH6<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   6725000 | PA      | $7102481.65   | 0.39%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                           | CUSIP: 37045XEB8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   7155000 | PA      | $7369065.94   | 0.40%             | 2028-01-09      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                           | CUSIP: 37045XEX0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   8930000 | PA      | $9063804.71   | 0.50%             | 2027-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2024-7                           | CUSIP: 465971AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4368460 | PA      | $3707451.08   | 0.20%             | 2053-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2022-INV1                        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3428025 | PA      | $2924399.93   | 0.16%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-INV4                        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5417516 | PA      | $4608063.27   | 0.25%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-INV6                        | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5683539 | PA      | $4841158.86   | 0.27%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2024-12                          | CUSIP: 46658TAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4848535 | PA      | $4860649.36   | 0.27%             | 2055-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner  | Nissan Auto Receivables 2024-B Owner Trust                | CUSIP: 65479WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5938613 | PA      | $5940490.21   | 0.33%             | 2027-06-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| NOMURA AMERICA FINANCE         | Nomura America Finance LLC                                | CUSIP: 65542GBN1<br>LEI: 549300U646RSSKIVOJ29 | Long             | SN               | CORP              | US        |   1646000 | PA      | $969954.88    | 0.05%             | 2025-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL       | Brazil Notas do Tesouro Nacional Serie F                  | CUSIP: ZP2084801<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        | 330435000 | PA      | $55716068.94  | 3.05%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20250728                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-73016.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Sep25                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -1816 | NC      | $1087871.56   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Sep25                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      1954 | NC      | $-2167576.69  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | IRS PAY FIXED 2.341% 12/24/2034                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $6333573.31   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS REC FIXED 4.079% 1/29/2035                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $1362858.02   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS PAY FIXED 2.9475% 1/28/2035                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-39508.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS REC FIXED 4.097% 1/30/2035                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $1429711.40   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS PAY FIXED 2.9675% 1/29/2035                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-115621.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS REC FIXED 2.715% 6/30/2053                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $2820497.33   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS PAY FIXED 0% 6/30/2053                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-16331.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MARKIT ITRX AUD 06/20/2030 (BUY PROTECTION)               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-1178044.79  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US BOND FUTR OPTN Aug25P 114                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -583 | NC      | $-428140.63   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Sep25                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -650 | NC      | $-1192954.34  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Sep25                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       576 | NC      | $1112440.32   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| A&D Mortgage Trust             | A&D Mortgage Trust 2025-NQM1                              | CUSIP: 00250DAC2<br>LEI: 984500CE0D9FE0NM4277 | Long             | ABS-MBS          | CORP              | US        |   2103702 | PA      | $2102966.14   | 0.12%             | 2070-03-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2A PTT         | Air Canada 2020-2 Class A Pass Through Trust              | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1309889 | PA      | $1321662.73   | 0.07%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR        | Alaska Airlines 2020-1 Class A Pass Through Trust         | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3589016 | PA      | $3591407.81   | 0.20%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO            | American Express Co                                       | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   6910000 | PA      | $6988254.71   | 0.38%             | 2028-02-16      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT       | United Airlines 2019-2 Class AA Pass Through Trust        | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    206631 | PA      | $184630.46    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   8300000 | PA      | $8449014.80   | 0.46%             | 2031-02-12      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25050000 | PA      | $23108625.00  | 1.27%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45150000 | PA      | $45358113.51  | 2.48%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO           | Appalachian Power Co                                      | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   6185000 | PA      | $5555399.84   | 0.30%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1831075.56   | 0.10%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2022-C18                             | CUSIP: 054975AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7380000 | PA      | $7489750.19   | 0.41%             | 2055-12-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Lease Trust        | BMW Vehicle Lease Trust                                   | CUSIP: 05613MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10544105 | PA      | $10549367.00  | 0.58%             | 2027-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                      | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2958702.87   | 0.16%             | 2028-07-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                      | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8425000 | PA      | $8545173.27   | 0.47%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                      | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2477996.99   | 0.14%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK35                                           | CUSIP: 06540CAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6280000 | PA      | $5890169.00   | 0.32%             | 2064-06-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B28 Mortgage Trust                         | CUSIP: 08163GAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4235000 | PA      | $3949154.02   | 0.22%             | 2054-08-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2024-A                            | CUSIP: 096919AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2967511 | PA      | $2974077.60   | 0.16%             | 2027-02-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2024-A                            | CUSIP: 096919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1575895 | PA      | $1576166.70   | 0.09%             | 2027-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2025-NQM4                 | CUSIP: 10570QAE1<br>LEI: 25490082TY9NA9XBGW19 | Long             | ABS-MBS          | CORP              | US        |   1951109 | PA      | $1964576.65   | 0.11%             | 2065-02-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 21-1 A PPT         | British Airways 2021-1 Class A Pass Through Trust         | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4352244 | PA      | $3919957.22   | 0.21%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 20-1 A PTT         | British Airways 2020-1 Class A Pass Through Trust         | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2056899 | PA      | $1972105.27   | 0.11%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY       | Canadian Pacific Railway Co                               | CUSIP: 13645RBK9<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   5215000 | PA      | $5287652.67   | 0.29%             | 2035-03-30      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2024-1           | CUSIP: 14043NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2139106 | PA      | $2139662.00   | 0.12%             | 2027-10-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2024-1           | CUSIP: 14043NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1988855 | PA      | $1988847.84   | 0.11%             | 2027-10-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  11245000 | PA      | $11294196.88  | 0.62%             | 2029-12-26      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS ISSUANCE BV        | BNP Paribas Issuance BV                                   | CUSIP: YN1762643<br>LEI: 7245009UXRIGIRYOBR48 | Long             | SN               | CORP              | NL        |   2933000 | PA      | $3109859.90   | 0.17%             | 2025-09-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                          | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8340000 | PA      | $8608710.05   | 0.47%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2021-RR1 Trust     | CUSIP: 95003JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8699500 | PA      | $7098522.40   | 0.39%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                              | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   6350000 | PA      | $6495964.40   | 0.36%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Se | World Omni Automobile Lease Securitization Trust 2025-A   | CUSIP: 98164PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5470000 | PA      | $5469998.36   | 0.30%             | 2027-12-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250702                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1151344.64  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250702                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2193745.88   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20250702                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4225384.80  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20250702                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $581140.15    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-INV1             | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3513782 | PA      | $2987675.30   | 0.16%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-PJ7              | CUSIP: 36262CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3692803 | PA      | $3008873.82   | 0.16%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-GR2              | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1965077 | PA      | $1600616.90   | 0.09%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-PJ10             | CUSIP: 36262PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4160190 | PA      | $3387305.47   | 0.19%             | 2052-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-MM1              | CUSIP: 36264JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6498992 | PA      | $5291602.84   | 0.29%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2022-PJ2         | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2876027 | PA      | $2341715.45   | 0.13%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-LTV2             | CUSIP: 36268SCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3469843 | PA      | $3280035.88   | 0.18%             | 2052-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-PJ5              | CUSIP: 362925AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6467702 | PA      | $5266125.96   | 0.29%             | 2052-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2025-1 | CUSIP: 362955AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11190736 | PA      | $11188939.04  | 0.61%             | 2028-01-18      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-3 | CUSIP: 38013KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1527464 | PA      | $1527549.62   | 0.08%             | 2027-06-16      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-4 | CUSIP: 38014AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13820716 | PA      | $13826909.23  | 0.76%             | 2027-10-18      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                               | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   7010000 | PA      | $7174088.19   | 0.39%             | 2031-01-28      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                               | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2471427.29   | 0.14%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing LLC                               | CUSIP: 42806MAN9<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |  17248000 | PA      | $16562392.00  | 0.91%             | 2028-06-26      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MCE7<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   9549000 | PA      | $9956862.62   | 0.55%             | 2030-03-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MCT4<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  10530000 | PA      | $10565353.42  | 0.58%             | 2029-09-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC 2025-2                    | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7445000 | PA      | $7466614.32   | 0.41%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MDF3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   8250000 | PA      | $8332500.00   | 0.46%             | 2031-12-26      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2021-1 Trust                     | CUSIP: 437300AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5136313 | PA      | $4557770.26   | 0.25%             | 2041-09-17      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2021-2 Trust                     | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14735821 | PA      | $14188888.19  | 0.78%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F060683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   8570000 | PA      | $8700473.11   | 0.48%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HBVU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2160248 | PA      | $2159782.05   | 0.12%             | 2054-03-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HDZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18534982 | PA      | $18542644.40  | 1.02%             | 2054-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   2459835 | NS      | $2459835.00   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2020-SFR2 Trust                            | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14288170 | PA      | $14107193.36  | 0.77%             | 2037-10-19      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust | FirstKey Homes 2020-SFR1 Trust                            | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5748872 | PA      | $5707630.45   | 0.31%             | 2037-08-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-4                            | CUSIP: 33852FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5162285 | PA      | $4212910.17   | 0.23%             | 2051-06-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-8INV                         | CUSIP: 33852HAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1409672 | PA      | $1145667.49   | 0.06%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-C                       | CUSIP: 34532UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2407571 | PA      | $2408654.26   | 0.13%             | 2027-08-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-A                       | CUSIP: 34535EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4473581 | PA      | $4473988.62   | 0.25%             | 2027-01-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                       | CUSIP: 34535VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3090000 | PA      | $3091654.70   | 0.17%             | 2027-10-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                       | CUSIP: 34535VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2930000 | PA      | $2927965.70   | 0.16%             | 2027-10-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                  | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2215000 | PA      | $2183164.54   | 0.12%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                  | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   6950000 | PA      | $7017025.73   | 0.38%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | STRU JP-7985 FA                                           | CUSIP: BCCJ36TY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16485000 | PA      | $16479889.65  | 0.90%             | 2025-12-31      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | STRU JP-7992 FA                                           | CUSIP: BCCJ37QY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10900000 | PA      | $10891498.00  | 0.60%             | 2025-12-31      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2018-J1 Trust                                        | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1957662 | PA      | $1753522.66   | 0.10%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W3Q2<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   3429000 | PA      | $3889480.41   | 0.21%             | 2025-08-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W4N8<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1682000 | PA      | $1291809.64   | 0.07%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W6H9<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1682000 | PA      | $1863555.08   | 0.10%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W6W6<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   3074000 | PA      | $2682649.06   | 0.15%             | 2025-09-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2456540.59   | 0.13%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  10255000 | PA      | $10335468.52  | 0.57%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                     | CUSIP: 17329EAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2673548 | PA      | $2176853.72   | 0.12%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-J2                     | CUSIP: 17329MCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1683453 | PA      | $1499763.30   | 0.08%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trus | Citizens Auto Receivables Trust 2024-2                    | CUSIP: 17331XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1811230 | PA      | $1811635.12   | 0.10%             | 2026-11-16      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17332B546<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |       552 | NS      | $135411.12    | 0.01%             | 2025-08-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17332B579<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |       562 | NS      | $113136.22    | 0.01%             | 2025-08-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC        | Consolidated Edison Co of New York Inc                    | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    510000 | PA      | $490142.26    | 0.03%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd  | Corevest American Finance 2020-4 Trust                    | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820450 | PA      | $811244.26    | 0.04%             | 2052-12-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg | DBJPM 20-C9 Mortgage Trust                                | CUSIP: 233063AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2631674 | PA      | $2606296.54   | 0.14%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA        | Delta Air Lines 2020-1 Class AA Pass Through Trust        | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10701228 | PA      | $10072404.01  | 0.55%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-1 | CUSIP: 36268GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459946 | PA      | $460343.72    | 0.03%             | 2027-02-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-1 | CUSIP: 36268GAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465421 | PA      | $465522.49    | 0.03%             | 2027-02-16      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-3 | CUSIP: 38013KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1527464 | PA      | $1530665.70   | 0.08%             | 2027-06-16      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                           | CUSIP: 46592KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3288901 | PA      | $2681832.38   | 0.15%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-8                           | CUSIP: 46592TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400242 | PA      | $1955042.62   | 0.11%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-4                           | CUSIP: 46652VAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2561296 | PA      | $2085455.79   | 0.11%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-6                           | CUSIP: 46653PAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2797107 | PA      | $2277457.70   | 0.12%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-J2 Trust                                         | CUSIP: 670861AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6149680 | PA      | $5007185.94   | 0.27%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-INV2 Trust                                       | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2465177 | PA      | $2007194.08   | 0.11%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-INV1                                             | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4638355 | PA      | $3933723.95   | 0.22%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust      | PRMI Securitization Trust 2021-1                          | CUSIP: 69359DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3586204 | PA      | $3173698.41   | 0.17%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PSMC Trust                     | PSMC 2021-2 Trust                                         | CUSIP: 69376CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3252255 | PA      | $2917632.49   | 0.16%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1        | CUSIP: 73328EAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2321288 | PA      | $2320432.73   | 0.13%             | 2028-01-24      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1        | CUSIP: 73328EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1951992 | PA      | $1951449.25   | 0.11%             | 2028-01-24      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR7 Trust                      | CUSIP: 74333PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4765477 | PA      | $4420665.31   | 0.24%             | 2040-08-17      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR9 Trust                      | CUSIP: 74333QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8554537 | PA      | $7971835.18   | 0.44%             | 2040-11-17      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR8 Trust                      | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4699291 | PA      | $4556574.87   | 0.25%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR3                            | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4669714 | PA      | $4601706.16   | 0.25%             | 2026-05-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR3 Trust                      | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6465000 | PA      | $6076930.62   | 0.33%             | 2030-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC        | Public Service Electric and Gas Co                        | CUSIP: 74456QCL8<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   5200000 | PA      | $5168017.50   | 0.28%             | 2033-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                     | ROCK Trust 2024-CNTR                                      | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5365000 | PA      | $5488315.60   | 0.30%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust            | Rate Mortgage Trust 2021-J3                               | CUSIP: 75409TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3665935 | PA      | $2984874.22   | 0.16%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust            | Rate Mortgage Trust 2021-J4                               | CUSIP: 75410JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4195076 | PA      | $3415710.98   | 0.19%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                 | RIDE 2025-SHRE                                            | CUSIP: 765692AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4510000 | PA      | $4615207.03   | 0.25%             | 2047-02-14      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust           | STAR 2022-SFR3 Trust                                      | CUSIP: 78474PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8181345 | PA      | $8213473.62   | 0.45%             | 2039-05-17      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-9                             | CUSIP: 81748CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120515 | PA      | $912988.93    | 0.05%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-3                             | CUSIP: 81748VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5401782 | PA      | $4401474.74   | 0.24%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-4                             | CUSIP: 81748WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5134936 | PA      | $4184043.55   | 0.23%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-6                             | CUSIP: 81748YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2452527 | PA      | $1998304.34   | 0.11%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON            | Southern California Edison Co                             | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   4890000 | PA      | $4766564.81   | 0.26%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust           | STAR 2024-SFR4 Trust                                      | CUSIP: 85520AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16405062 | PA      | $16507109.72  | 0.90%             | 2041-10-17      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47470000 | PA      | $46676360.94  | 2.56%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 190415000 | PA      | $192103445.98 | 10.52%            | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YQ9004264<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   2570000 | PA      | $3794498.60   | 0.21%             | 2025-07-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YN2243387<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1552000 | PA      | $1921603.90   | 0.11%             | 2025-09-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YO9538845<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   3058000 | PA      | $3994459.14   | 0.22%             | 2025-08-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YN5614816<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1561000 | PA      | $1880470.56   | 0.10%             | 2025-09-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HFDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12695119 | PA      | $12683064.49  | 0.69%             | 2054-08-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HH4Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7414427 | PA      | $7384077.25   | 0.40%             | 2054-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HHG88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8518313 | PA      | $8545867.51   | 0.47%             | 2054-11-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HHKD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6936871 | PA      | $6976778.12   | 0.38%             | 2054-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HHLU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11169380 | PA      | $11232686.50  | 0.62%             | 2054-12-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HHQ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10288991 | PA      | $10329393.07  | 0.57%             | 2054-12-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HHQ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6489916 | PA      | $6538842.39   | 0.36%             | 2054-12-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3235000 | PA      | $2901433.17   | 0.16%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5675000 | PA      | $5722282.11   | 0.31%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO       | Virginia Electric and Power Co                            | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3631084.22   | 0.20%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                   | CUSIP: 928668CF7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   6545000 | PA      | $6603887.33   | 0.36%             | 2027-03-22      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                          | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4230000 | PA      | $4210038.63   | 0.23%             | 2031-04-04      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                          | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2414251.36   | 0.13%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-747853.31   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20250903                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-337129.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20251002                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-544800.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20250903                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $194621.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250827                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1999289.67  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Sep25                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |      -789 | NC      | $-438849.71   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CNY/USD FWD 20250731                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-850825.87   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250703                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-237308.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250829                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-139209.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250910                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-53659.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250922                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-42431.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CDX44IG CDS (SELL PROTECTION)                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $2155199.71   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CDX44HY CDS (SELL PROTECTION)                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $16218363.10  | 0.89%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2021-3 Trust                     | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13248688 | PA      | $12221005.59  | 0.67%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2024-1 Owner Trust                 | CUSIP: 437918AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2444351 | PA      | $2447219.31   | 0.13%             | 2026-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Huntington Auto Trust          | Huntington Auto Trust 2024-1                              | CUSIP: 446144AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3740334 | PA      | $3744766.14   | 0.21%             | 2027-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2024-A                     | CUSIP: 448973AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5385986 | PA      | $5388312.29   | 0.30%             | 2027-04-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2024-C                     | CUSIP: 448976AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15865146 | PA      | $15872585.64  | 0.87%             | 2027-09-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2023-C                     | CUSIP: 44918CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    651953 | PA      | $652141.23    | 0.04%             | 2027-01-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-A                     | CUSIP: 44935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6640000 | PA      | $6636068.46   | 0.36%             | 2027-12-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-A                     | CUSIP: 44935CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8065000 | PA      | $8063831.38   | 0.44%             | 2027-12-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust         | Invitation Homes 2024-SFR1 Trust                          | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098119 | PA      | $1069107.58   | 0.06%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-1                           | CUSIP: 46592EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148139 | PA      | $935597.06    | 0.05%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-12                          | CUSIP: 46592WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740303 | PA      | $603000.30    | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-13                          | CUSIP: 46592XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750178 | PA      | $2915999.28   | 0.16%             | 2052-04-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust                                  | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10313609 | PA      | $10459033.26  | 0.57%             | 2055-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2023-6                         | CUSIP: 465989AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5766187 | PA      | $5824513.27   | 0.32%             | 2053-12-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-14                        | CUSIP: 46653QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2875479 | PA      | $2278210.63   | 0.12%             | 2052-05-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-INV8                      | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5220635 | PA      | $4453663.37   | 0.24%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-4                         | CUSIP: 46655GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1908517 | PA      | $1618586.81   | 0.09%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                         | CUSIP: 46655KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2896700 | PA      | $2554043.85   | 0.14%             | 2052-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                         | CUSIP: 46655KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2263430 | PA      | $1922299.54   | 0.11%             | 2052-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-8                         | CUSIP: 46655VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1792829 | PA      | $1633275.86   | 0.09%             | 2053-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA        | JetBlue 2019-1 Class AA Pass Through Trust                | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    773708 | PA      | $677078.14    | 0.04%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP           | JetBlue 2020-1 Class A Pass Through Trust                 | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3538251 | PA      | $3312586.01   | 0.18%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK NA        | JPMorgan Chase Bank NA                                    | CUSIP: 48124KLQ6<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | SN               | CORP              | US        |    814000 | PA      | $366218.60    | 0.02%             | 2025-07-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-27

**Name of Applicant:** Carillon Series Trust

**Signature:** /s/ Carolyn Gill

**Name of Signer:** Carolyn Gill

**Title:** Principal Financial Officer