# EDGAR Filing Document

**Accession Number:** 0000710826
**File Stem:** 0001410368-26-020700
**Filing Date:** 2026-2
**Character Count:** 1419332
**Document Hash:** 466c9b4a136c894f341cea7e1eb6608e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-020700.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001410368-26-020700

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust II
- **CENTRAL INDEX KEY:** 0000710826

**ORGANIZATION NAME:**
- **EIN:** 833164113
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03618
- **FILM NUMBER:** 26698876

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 980-949-5121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND
- **DATE OF NAME CHANGE:** 20120430

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### BlackRock Bond Income Portfolio (Series ID: S000006511)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017802 | Class A      |  |
| C000017803 | Class B      |  |
| C000017804 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust II

- **b. Investment Company Act file number:** 811-03618

- **c. CIK number of Registrant:** 0000710826

- **d. LEI of Registrant:** 549300NPPA08K2CWOV06

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** BlackRock Bond Income Portfolio

- **b. EDGAR series identifier (if any):** S000006511

- **c. LEI of Series:** RQ2HPSR0HMOOPNZQJY98

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3313223383.30

**Total Liabilities:** $757187958.22

**Net Assets:** $2556035425.08

**Delayed Delivery Securities:** $209451942.33

**Cash Not Reported:** $1570139.42

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2791.96000000 | **1-Year:** -49490.91000000 | **5-Year:** -164486.14000000 | **10-Year:** -133301.94000000 | **30-Year:** -93979.11000000

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

- **3-Month:** -1783.16000000 | **1-Year:** -30095.39000000 | **5-Year:** -74952.93000000 | **10-Year:** -28024.93000000 | **30-Year:** -5385.11000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017802 | 0.63%                | 0.59%                | -0.15%               |
| Class ID C000017803 | 0.61%                | 0.57%                | -0.18%               |
| Class ID C000017804 | 0.62%                | 0.58%                | -0.17%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $339745.95               | $4812885.83                                |
| Month 2  | $1499297.94              | $3393130.73                                |
| Month 3  | $-4632495.42             | $-6769073.82                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A10 Securitization                                               | A10 2025-FL6 Issuer LLC                                                           | CUSIP: 00028AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1027000 | PA      | $1025388.64   | 0.04%             | 2042-05-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| AB Bsl CLO 1 Ltd                                                 | AB BSL CLO 3 Ltd                                                                  | CUSIP: 00037QAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250030.50    | 0.01%             | 2038-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                             | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                            | CUSIP: 00083BAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81921 | PA      | $69963.07     | 0.00%             | 2038-02-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| ABRA GLOBAL FINANCE                                              | ABRA Global Finance                                                               | CUSIP: 000852AC7<br>LEI: 2549007QS3P0D4KT9G26 | Long             | DBT              | CORP              | KY        |      104066 | PA      | $104003.56    | 0.00%             | 2029-10-22      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                    | AEP Texas Inc                                                                     | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      172000 | PA      | $132224.39    | 0.01%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                    | AEP Texas Inc                                                                     | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      837000 | PA      | $565464.24    | 0.02%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                    | AEP Texas Inc                                                                     | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      122000 | PA      | $125951.60    | 0.00%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                    | AEP Texas Inc                                                                     | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      408000 | PA      | $425278.44    | 0.02%             | 2034-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                                        | Acrec 2025 Fl 3 LLC                                                               | CUSIP: 00112HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1870000 | PA      | $1869990.65   | 0.07%             | 2042-08-18      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                          | AEP Transmission Co LLC                                                           | CUSIP: 00115AAH2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      176000 | PA      | $134713.04    | 0.01%             | 2047-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                          | AEP Transmission Co LLC                                                           | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      168000 | PA      | $126540.14    | 0.00%             | 2049-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                          | AEP Transmission Co LLC                                                           | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     1093000 | PA      | $738873.18    | 0.03%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                          | AEP Transmission Co LLC                                                           | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       68000 | PA      | $70133.68     | 0.00%             | 2035-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                                               | AGL Core CLO 4 LTD                                                                | CUSIP: 001199AQ1<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $861672.70    | 0.03%             | 2037-10-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                                                   | AGL CLO 20 Ltd                                                                    | CUSIP: 00119CAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      430000 | PA      | $431597.45    | 0.02%             | 2037-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                                                   | AGL CLO 23 Ltd                                                                    | CUSIP: 00119EAN7<br>LEI: 54930001FYWQPYWEPQ30 | Long             | ABS-CBDO         | CORP              | KY        |      480000 | PA      | $479496.48    | 0.02%             | 2038-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                                                   | AGL CLO 21 Ltd                                                                    | CUSIP: 00119FAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250437.50    | 0.01%             | 2037-10-21      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                                                    | AGL CLO 6 LTD                                                                     | CUSIP: 00119VAY5<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $752250.00    | 0.03%             | 2038-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO                                                     | AGL Core CLO 2 Ltd                                                                | CUSIP: 001200AJ3<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |      950000 | PA      | $952611.55    | 0.04%             | 2037-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                                                   | AGL CLO 13 Ltd                                                                    | CUSIP: 00120JAN3<br>LEI: 254900DIJ0G5TXNJMM06 | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $340094.86    | 0.01%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 15 Ltd                                              | AGL Core CLO 15 Ltd                                                               | CUSIP: 00121GAA6<br>LEI: 5493001O95I190NV0196 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250311.00    | 0.01%             | 2035-01-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                     | AES Corp/The                                                                      | CUSIP: 00130HCL7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      200000 | PA      | $197463.80    | 0.01%             | 2055-07-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Aimco                                                            | Aimco CLO 11 Ltd                                                                  | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |      320000 | PA      | $320485.44    | 0.01%             | 2037-07-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Aimco                                                            | Aimco CLO 11 Ltd                                                                  | CUSIP: 00140NAY6<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330647.46    | 0.01%             | 2037-07-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Aimco                                                            | Aimco CLO 14 Ltd                                                                  | CUSIP: 00144GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      450000 | PA      | $449633.70    | 0.02%             | 2038-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| AMC Networks Inc                                                 | AMC Networks Inc                                                                  | CUSIP: 00164V103<br>LEI: 549300VGG9K75226LR46 | Long             | EC               | CORP              | US        |       20917 | NS      | $199129.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AMC NETWORKS INC                                                 | AMC Networks Inc                                                                  | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      405000 | PA      | $359914.79    | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                 | AMC Networks Inc                                                                  | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      361000 | PA      | $378548.93    | 0.01%             | 2029-01-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                 | AMC Networks Inc                                                                  | CUSIP: 00164VAK9<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $110474.06    | 0.00%             | 2032-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: —       |
| American Money Management Corporation                            | AMMC CLO 27 Ltd                                                                   | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1340000 | PA      | $1337870.15   | 0.05%             | 2037-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                  | AREIT 2024-CRE9 Ltd                                                               | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1472715 | PA      | $1472927.28   | 0.06%             | 2041-05-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| APLD COMPUTECO LLC                                               | APLD ComputeCo LLC                                                                | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $98090.04     | 0.00%             | 2030-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T Inc                                                                          | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1029000 | PA      | $705963.71    | 0.03%             | 2060-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T Inc                                                                          | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2133000 | PA      | $1427455.24   | 0.06%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T Inc                                                                          | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1589000 | PA      | $1047880.97   | 0.04%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T Inc                                                                          | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     4373000 | PA      | $3007932.24   | 0.12%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T Inc                                                                          | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2718000 | PA      | $2733972.06   | 0.11%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: —       |
| AMERICAN AIRLINES/AADVAN                                         | American Airlines Inc/AAdvantage Loyalty IP Ltd                                   | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      100000 | PA      | $101833.90    | 0.00%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| ACADIA HEALTHCARE CO INC                                         | Acadia Healthcare Co Inc                                                          | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101000.40    | 0.00%             | 2033-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| Ace Securities Corp.                                             | ACE Securities Corp Home Equity Loan Trust Series 2005-AG1                        | CUSIP: 004427CD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      213425 | PA      | $189894.29    | 0.01%             | 2035-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                             | ACE Securities Corp Home Equity Loan Trust Series 2007-HE4                        | CUSIP: 00442LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      956732 | PA      | $141549.49    | 0.01%             | 2037-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                           | Acrisure LLC / Acrisure Finance Inc                                               | CUSIP: 00489LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $97519.46     | 0.00%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS                                           | Adient Global Holdings Ltd                                                        | CUSIP: 00687YAB1<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |      100000 | PA      | $102767.73    | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| ADVANCE AUTO PARTS                                               | Advance Auto Parts Inc                                                            | CUSIP: 00751YAE6<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |      100000 | PA      | $91797.53     | 0.00%             | 2030-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC                                               | Osaic Holdings Inc                                                                | CUSIP: 00791GAB3<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104461.98    | 0.00%             | 2032-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                                                   | AGL CLO 42 Ltd                                                                    | CUSIP: 00791YAA6<br>LEI: 254900AMSJHVKQ5QFA09 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250809.50    | 0.01%             | 2038-07-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                       | Affirm Asset Securitization Trust 2025-X2                                         | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1041123 | PA      | $1042114.28   | 0.04%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                       | Affirm Asset Securitization Trust 2025-X2                                         | CUSIP: 00835DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      154000 | PA      | $154255.18    | 0.01%             | 2030-10-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                       | Affirm Asset Securitization Trust 2025-X2                                         | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100181.82    | 0.00%             | 2030-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                                    | Agate Bay Mortgage Trust 2015-1                                                   | CUSIP: 00841WBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130000 | PA      | $84107.28     | 0.00%             | 2045-01-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                                    | Agate Bay Mortgage Trust 2015-3                                                   | CUSIP: 00841YCG1<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $95968.07     | 0.00%             | 2045-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                                    | Agate Bay Mortgage Trust 2015-4                                                   | CUSIP: 00842ACG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104000 | PA      | $63986.92     | 0.00%             | 2045-06-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                                                   | AGL CLO 43 Ltd                                                                    | CUSIP: 00852TAA3<br>LEI: 254900MOOKTGLK7JFO07 | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $289873.56    | 0.01%             | 2038-09-10      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Aimco                                                            | AIMCO CLO 18 Ltd                                                                  | CUSIP: 00889EBA2<br>LEI: 2549005IX0D6XDJNNS95 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250588.75    | 0.01%             | 2037-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Aimco                                                            | AIMCO CLO Series 2018-A                                                           | CUSIP: 00900GAN5<br>LEI: 549300MMTPNJGGRMPB33 | Long             | ABS-CBDO         | CORP              | KY        |      470000 | PA      | $471750.75    | 0.02%             | 2037-10-17      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Aimco                                                            | AIMCO CLO 21 Ltd                                                                  | CUSIP: 00901WAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250570.75    | 0.01%             | 2037-04-18      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1B PTT                                           | Air Canada 2017-1 Class B Pass Through Trust                                      | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |        3148 | PA      | $3145.52      | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2017-D                                                   | CUSIP: 00968BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1388 | PA      | $482.63       | 0.00%             | 2057-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-F                                                   | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4519129 | PA      | $4516768.17   | 0.18%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-F                                                   | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2813184 | PA      | $2811823.35   | 0.11%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-D                                                   | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200120 | PA      | $2199516.80   | 0.09%             | 2060-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-C                                                   | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      993294 | PA      | $993261.70    | 0.04%             | 2061-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-E                                                   | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3117758 | PA      | $2758109.39   | 0.11%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-E                                                   | CUSIP: 009740AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      744000 | PA      | $576363.04    | 0.02%             | 2060-12-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-E                                                   | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      293000 | PA      | $211708.79    | 0.01%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-E                                                   | CUSIP: 009740AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      449000 | PA      | $316447.57    | 0.01%             | 2060-12-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                                 | Alabama Power Co                                                                  | CUSIP: 010392FB9<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      167000 | PA      | $179167.57    | 0.01%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                           | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC             | CUSIP: 013092AC5<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199807.40    | 0.01%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Algoma Steel Group Inc                                           | Algoma Steel Group Inc                                                            | CUSIP: 015658107<br>LEI: 549300Q5EU337A1XCX27 | Long             | EC               | CORP              | CA        |       43096 | NS      | $176693.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLEGIANT TRAVEL CO                                              | Allegiant Travel Co                                                               | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |      135000 | PA      | $136885.41    | 0.01%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                                         | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                    | CUSIP: 01883LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $101817.55    | 0.00%             | 2028-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                                         | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                    | CUSIP: 01883LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $311060.70    | 0.01%             | 2032-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| ALLIED UNIVERSAL                                                 | Allied Universal Holdco LLC / Allied Universal Finance Corp                       | CUSIP: 019576AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $296895.75    | 0.01%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Allied Universal Holdco LLC                                      | Allied Universal Holdco LLC 2025 USD Term Loan B                                  | CUSIP: 01957TAX5<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |      594298 | PA      | $597937.96    | 0.02%             | 2032-08-20      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                         | Allison Transmission Inc                                                          | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94161.19     | 0.00%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F012411<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -2697000 | PA      | $-2439731.50  | -0.10%            | 2040-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -4601000 | PA      | $-4258800.63  | -0.17%            | 2040-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -5572000 | PA      | $-4502850.32  | -0.18%            | 2055-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2697000 | PA      | $2550877.38   | 0.10%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F022410<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -80000 | PA      | $-75665.62    | -0.00%            | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -4966600 | PA      | $-4197941.07  | -0.16%            | 2055-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21000 | PA      | $20200.20     | 0.00%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -854000 | PA      | $-821474.61   | -0.03%            | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -7164300 | PA      | $-6335647.97  | -0.25%            | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56000 | PA      | $54433.96     | 0.00%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032419<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1536000 | PA      | $-1493045.82  | -0.06%            | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5900000 | PA      | $5454042.95   | 0.21%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   199078000 | PA      | $183408383.49 | 7.18%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80000 | PA      | $78946.72     | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F040412<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -457000 | PA      | $-450983.13   | -0.02%            | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111000 | PA      | $105275.13    | 0.00%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -6091000 | PA      | $-5776853.99  | -0.23%            | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4824000 | PA      | $4825695.93   | 0.19%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      149000 | PA      | $145445.18    | 0.01%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -15036000 | PA      | $-14677273.67 | -0.57%            | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3519000 | PA      | $3432295.08   | 0.13%             | 2056-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36000 | PA      | $35898.75     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -11288000 | PA      | $-11256252.50 | -0.44%            | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   137360725 | PA      | $139281383.70 | 5.45%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    40097241 | PA      | $41168938.81  | 1.61%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      488000 | PA      | $507149.40    | 0.02%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                               | Ally Financial Inc                                                                | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100647.08    | 0.00%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                     | Alphabet Inc                                                                      | CUSIP: 02079KAW7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     2840000 | PA      | $2848715.90   | 0.11%             | 2030-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                     | Alphabet Inc                                                                      | CUSIP: 02079KBB2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $3064956.49   | 0.12%             | 2075-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OA14                                                  | CUSIP: 02146SAA7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     1332359 | PA      | $1124060.80   | 0.04%             | 2046-11-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OA9                                                   | CUSIP: 02146YAD8<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     1040487 | PA      | $911200.11    | 0.04%             | 2046-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-28CB                                                  | CUSIP: 02147TAP1<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      162542 | PA      | $77059.69     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2007-3T1                                                   | CUSIP: 02149VAA7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |       89389 | PA      | $38556.83     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2007-5CB                                                   | CUSIP: 02150EBG7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      502628 | PA      | $221950.58    | 0.01%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2007-9T1                                                   | CUSIP: 02150JAA0<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     1938277 | PA      | $880644.48    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2007-OA3                                                   | CUSIP: 02150TAA8<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      340656 | PA      | $311411.00    | 0.01%             | 2047-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                 | Altria Group Inc                                                                  | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      968000 | PA      | $807741.87    | 0.03%             | 2042-08-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                 | Altria Group Inc                                                                  | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      581000 | PA      | $436653.44    | 0.02%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                 | Altria Group Inc                                                                  | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      149000 | PA      | $148747.56    | 0.01%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                 | Altria Group Inc                                                                  | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      907000 | PA      | $727006.61    | 0.03%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: —       |
| ALTRIA GROUP INC                                                 | Altria Group Inc                                                                  | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     1863000 | PA      | $1440544.39   | 0.06%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                 | Altria Group Inc                                                                  | CUSIP: 02209SBV4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      710000 | PA      | $718824.95    | 0.03%             | 2035-08-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                   | Amazon.com Inc                                                                    | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     2194000 | PA      | $1712282.09   | 0.07%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| AMAZON.COM INC                                                   | Amazon.com Inc                                                                    | CUSIP: 023135CV6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     3120000 | PA      | $3107382.69   | 0.12%             | 2035-11-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                   | Amazon.com Inc                                                                    | CUSIP: 023135CY0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     1685000 | PA      | $1634443.43   | 0.06%             | 2065-11-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corp                                             | Ambac Assurance Corp                                                              | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      162922 | PA      | $211798.39    | 0.01%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                        | Hess Corp                                                                         | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      498000 | PA      | $572041.43    | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                            | American Airlines Inc                                                             | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102230.06    | 0.00%             | 2028-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| AMER AIRLINE 25-1B PTT                                           | American Airlines 2025-1 Class B Pass Through Trust                               | CUSIP: 02377PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      104000 | PA      | $104593.70    | 0.00%             | 2034-11-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MFG INC                                          | American Axle & Manufacturing Inc                                                 | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192655.40    | 0.01%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| American Home Mortgage Assets                                    | American Home Mortgage Assets Trust 2006-3                                        | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      288479 | PA      | $191553.24    | 0.01%             | 2046-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| American Municipal Power Inc                                     | AMERICAN MUNI PWR-OHIO INC OH REVENUE                                             | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |      510000 | PA      | $641207.14    | 0.03%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                                                               | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      261000 | PA      | $258799.47    | 0.01%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                                                               | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      753000 | PA      | $714802.45    | 0.03%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                                                               | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      255000 | PA      | $234142.31    | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                                                               | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     2565000 | PA      | $2664263.99   | 0.10%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                                                               | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      651000 | PA      | $666593.10    | 0.03%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                                                               | CUSIP: 03027XCP3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      157000 | PA      | $160958.73    | 0.01%             | 2035-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                                                               | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       85000 | PA      | $85018.43     | 0.00%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                      | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103675.16    | 0.00%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                      | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $106529.10    | 0.00%             | 2030-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | Amgen Inc                                                                         | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      390000 | PA      | $251667.44    | 0.01%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | Amgen Inc                                                                         | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      401000 | PA      | $313217.27    | 0.01%             | 2062-02-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | Amgen Inc                                                                         | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      264000 | PA      | $257580.06    | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                 | AmWINS Group Inc                                                                  | CUSIP: 031921AC3<br>LEI: 549300SJE7MUB8NMRG61 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102841.20    | 0.00%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                        | Anchorage Capital CLO 6 Ltd                                                       | CUSIP: 03328QBY6<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |      540000 | PA      | $543686.04    | 0.02%             | 2038-07-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                        | Anchorage Capital CLO 7 Ltd                                                       | CUSIP: 03328TBS3<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      830000 | PA      | $831433.41    | 0.03%             | 2037-04-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                        | Anchorage Capital CLO 7 Ltd                                                       | CUSIP: 03328TBU8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |     1480000 | PA      | $1482877.12   | 0.06%             | 2037-04-28      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                        | Anchorage Capital CLO 7 Ltd                                                       | CUSIP: 03328TBY0<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251197.00    | 0.01%             | 2037-04-28      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                        | Anchorage Capital CLO 15 Ltd                                                      | CUSIP: 03329FAW4<br>LEI: 549300H5Q0HJ2EHSSX26 | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $800551.20    | 0.03%             | 2038-07-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                        | Anchorage Capital Clo 18 Ltd                                                      | CUSIP: 03331AAA9<br>LEI: 549300JIJ617WYIUFX18 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250428.00    | 0.01%             | 2034-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                        | Anchorage Capital Clo 17 Ltd                                                      | CUSIP: 03332PAN7<br>LEI: 549300UNU854VTZYQ112 | Long             | ABS-CBDO         | CORP              | KY        |     1890000 | PA      | $1887127.20   | 0.07%             | 2038-02-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                        | Anchorage Capital Clo 34 Ltd                                                      | CUSIP: 03332UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      530000 | PA      | $530000.00    | 0.02%             | 2039-01-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                         | Angel Oak Mortgage Trust 2023-7                                                   | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |     1503694 | PA      | $1499600.50   | 0.06%             | 2067-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                         | Angel Oak Mortgage Trust 2025-2                                                   | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |      845767 | PA      | $853519.34    | 0.03%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                            | Antero Resources Corp                                                             | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |      545000 | PA      | $553123.77    | 0.02%             | 2029-02-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                            | Antero Resources Corp                                                             | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     6454000 | PA      | $6543349.18   | 0.26%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                              | Elevance Health Inc                                                               | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |        9000 | PA      | $6407.57      | 0.00%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                              | Elevance Health Inc                                                               | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      233000 | PA      | $192810.45    | 0.01%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                       | Apidos Clo Xxv                                                                    | CUSIP: 03762YBH9<br>LEI: 254900C9NN5XS59HZV73 | Long             | ABS-CBDO         | CORP              | KY        |      650000 | PA      | $650273.00    | 0.03%             | 2037-01-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                       | Apidos CLO XXXIX Ltd                                                              | CUSIP: 03766HAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      650000 | PA      | $649817.35    | 0.03%             | 2038-10-21      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                       | Apidos CLO XLVI Ltd                                                               | CUSIP: 03770RAN2<br>LEI: 254900XSALC4GJ58ZP29 | Long             | ABS-CBDO         | CORP              | JE        |      260000 | PA      | $260019.24    | 0.01%             | 2038-10-24      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                       | Apidos Clo LV                                                                     | CUSIP: 03771VAA0<br>LEI: 254900Z4DQDC7AU0J989 | Long             | ABS-CBDO         | CORP              | KY        |      420000 | PA      | $420338.94    | 0.02%             | 2039-01-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                        | Apple Inc                                                                         | CUSIP: 037833EF3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     1098000 | PA      | $678753.11    | 0.03%             | 2051-02-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                    | AppLovin Corp                                                                     | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     3477000 | PA      | $3566446.28   | 0.14%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                    | AppLovin Corp                                                                     | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     6030000 | PA      | $6252928.56   | 0.24%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                    | AppLovin Corp                                                                     | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     2623000 | PA      | $2597820.01   | 0.10%             | 2054-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                           | Egypt Government International Bond                                               | CUSIP: 03846JAC4<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      207000 | PA      | $180119.34    | 0.01%             | 2061-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                      | Arbor Multifamily Mortgage Securities Trust 2020-MF1                              | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126000 | PA      | $103856.92    | 0.00%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                 | Arches Buyer Inc                                                                  | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98141.29     | 0.00%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                                         | Archrock Partners LP / Archrock Partners Finance Corp                             | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103135.50    | 0.00%             | 2032-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                  | Ardagh Group SA                                                                   | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |      982000 | PA      | $897302.50    | 0.04%             | 2030-12-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                   | ARES Commercial Mortgage Trust 2024-IND                                           | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100123.56    | 0.00%             | 2041-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                   | ARES Commercial Mortgage Trust 2024-IND                                           | CUSIP: 03990DAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1500340.20   | 0.06%             | 2041-07-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO LLC                                      | Ares Direct Lending CLO 8 LLC                                                     | CUSIP: 039933AA4<br>LEI: 2549008VI9L2AN96MC59 | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $340136.00    | 0.01%             | 2039-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | Ares LXIII CLO Ltd                                                                | CUSIP: 039937AS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $411312.82    | 0.02%             | 2038-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                  | Ardagh Group SA                                                                   | CUSIP: 039959AA9<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |      508322 | PA      | $551335.11    | 0.02%             | 2030-12-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO LLC                                      | Ares Direct Lending CLO 6 LLC                                                     | CUSIP: 039960AA7<br>LEI: 254900F5EQV7KVCD4M68 | Long             | ABS-CBDO         | CORP              | US        |      560000 | PA      | $560678.72    | 0.02%             | 2037-10-16      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                  | AREIT 2025-CRE11                                                                  | CUSIP: 04002DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1307000 | PA      | $1309040.10   | 0.05%             | 2043-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | ARES LII CLO Ltd                                                                  | CUSIP: 04009ABA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250030.50    | 0.01%             | 2031-04-22      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | ARES Loan Funding III Ltd                                                         | CUSIP: 04009BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      615000 | PA      | $615154.11    | 0.02%             | 2036-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                           | Argent Mortgage Loan Trust 2005-W1                                                | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1517342 | PA      | $1269513.91   | 0.05%             | 2035-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds                | Argentina Republic Government International Bonds                                 | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      163000 | PA      | $121272.00    | 0.00%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds                | Argentina Republic Government International Bonds                                 | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      155000 | PA      | $107260.00    | 0.00%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds                | Argentina Republic Government International Bonds                                 | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       19200 | PA      | $17049.60     | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                           | Argent Securities Trust 2006-M1                                                   | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      520462 | PA      | $139501.06    | 0.01%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | Ares XLI Clo Ltd                                                                  | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250161.00    | 0.01%             | 2034-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | ARES XLIV CLO Ltd                                                                 | CUSIP: 04016NBR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      320000 | PA      | $320861.76    | 0.01%             | 2034-04-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | Ares LIX CLO Ltd                                                                  | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250030.75    | 0.01%             | 2034-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | ARES LX CLO LTD                                                                   | CUSIP: 04018FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1410000 | PA      | $1410769.86   | 0.06%             | 2034-07-18      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | Ares LVI CLO Ltd                                                                  | CUSIP: 04018NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $350225.75    | 0.01%             | 2038-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| ARETEC GROUP INC                                                 | Aretec Group Inc                                                                  | CUSIP: 04020JAA4<br>LEI: 549300NV2T8A33L0PQ58 | Long             | DBT              | CORP              | US        |      180000 | PA      | $194245.74    | 0.01%             | 2030-08-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                   | ARES1 2024-IND2                                                                   | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1120000 | PA      | $1120690.70   | 0.04%             | 2034-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Arini US CLO Limited                                             | Arini US CLO IV Ltd                                                               | CUSIP: 04039EAA4<br>LEI: 2549000YTF465KO4L531 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000000.00   | 0.04%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ARSENAL AIC PARENT LLC                                           | Arsenal AIC Parent LLC                                                            | CUSIP: 04288BAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $110055.30    | 0.00%             | 2031-10-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP                                          | Asbury Automotive Group Inc                                                       | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98315.18     | 0.00%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                        | Ashford Hospitality Trust 2018-ASHF                                               | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138000 | PA      | $136961.37    | 0.01%             | 2035-04-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                         | Ashton Woods USA LLC / Ashton Woods Finance Co                                    | CUSIP: 045086AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       77000 | PA      | $73411.20     | 0.00%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                         | Ashton Woods USA LLC / Ashton Woods Finance Co                                    | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      190000 | PA      | $181447.85    | 0.01%             | 2030-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                         | Ashton Woods USA LLC / Ashton Woods Finance Co                                    | CUSIP: 045086AR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       96000 | PA      | $96076.34     | 0.00%             | 2033-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOL                                         | Aston Martin Capital Holdings Ltd                                                 | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |      217000 | PA      | $201971.93    | 0.01%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| AT&T REIGN II LB PTT                                             | AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust                      | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2777438.68   | 0.11%             | 2044-12-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                                       | Atlas Senior Loan Fund XXII Ltd                                                   | CUSIP: 04940BAA8<br>LEI: 529900J6GF0KI17SQP67 | Long             | ABS-CBDO         | CORP              | JE        |     1220000 | PA      | $1222092.30   | 0.05%             | 2036-01-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                                       | Atlas Senior Loan Fund XX Ltd                                                     | CUSIP: 049410AN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      150000 | PA      | $150005.25    | 0.01%             | 2037-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                     | Atrium Hotel Portfolio Trust 2024-ATRM                                            | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101804.11    | 0.00%             | 2029-11-10      | Variable      | 9.21%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                     | Atrium Hotel Portfolio Trust 2017-ATRM                                            | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1041000 | PA      | $988950.00    | 0.04%             | 2036-12-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Aurora Innovation Inc                                            | Aurora Innovation Inc                                                             | CUSIP: 051774115<br>LEI: 984500AB2E0D9F7D9D76 | N/A              | DE               |  | US        |        2636 | NS      | $600.22       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AVANTOR FUNDING INC                                              | Avantor Funding Inc                                                               | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99456.65     | 0.00%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                              | Avianca Midco 2 PLC                                                               | CUSIP: 05369YAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      381191 | PA      | $383729.73    | 0.02%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                                          | Avis Budget Car Rental LLC / Avis Budget Finance Inc                              | CUSIP: 053773BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $97565.05     | 0.00%             | 2029-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                                          | Avis Budget Car Rental LLC / Avis Budget Finance Inc                              | CUSIP: 053773BH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $102771.25    | 0.00%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| BFLD Trust                                                       | BFLD Trust 2020-EYP                                                               | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      663000 | PA      | $8267.61      | 0.00%             | 2035-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                                   | BAHA Trust 2024-MAR                                                               | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1500791.47   | 0.06%             | 2041-12-10      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                     | BAMLL Trust 2025-ASHF                                                             | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1435000 | PA      | $1434997.99   | 0.06%             | 2042-02-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                     | BAMLL Trust 2025-ASHF                                                             | CUSIP: 05494CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      585000 | PA      | $585051.83    | 0.02%             | 2042-02-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                                 | BBAM US CLO I Ltd                                                                 | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $389409.97    | 0.02%             | 2038-03-30      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT Capital Corp                                                                  | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     3124000 | PA      | $3508931.97   | 0.14%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT Capital Corp                                                                  | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1355000 | PA      | $1536252.18   | 0.06%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: —       |
| BAT CAPITAL CORP                                                 | BAT Capital Corp                                                                  | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1143439.28   | 0.04%             | 2033-03-22      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| BAT CAPITAL CORP                                                 | BAT Capital Corp                                                                  | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      650000 | PA      | $539192.36    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT Capital Corp                                                                  | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     2749000 | PA      | $2322656.74   | 0.09%             | 2049-09-06      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT Capital Corp                                                                  | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      343000 | PA      | $277480.99    | 0.01%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT Capital Corp                                                                  | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1652000 | PA      | $1561583.03   | 0.06%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS 2018-TALL Mortgage Trust                                                    | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1770000 | PA      | $1675473.68   | 0.07%             | 2037-03-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                       | BFLD Commercial Mortgage Trust 2025-660F                                          | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1915000 | PA      | $1920384.21   | 0.08%             | 2042-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                       | BFLD Commercial Mortgage Trust 2025-660F                                          | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88000 | PA      | $88439.87     | 0.00%             | 2042-11-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                                 | BBAM US CLO VI Ltd                                                                | CUSIP: 05556TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      540000 | PA      | $540244.08    | 0.02%             | 2039-01-27      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                        | BPR Trust 2021-TY                                                                 | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      492000 | PA      | $487508.63    | 0.02%             | 2038-09-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                        | BPR 2023-STON Mortgage Trust                                                      | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1037026.00   | 0.04%             | 2039-12-05      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                                        | BMP 2024-MF23                                                                     | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      382000 | PA      | $382476.93    | 0.01%             | 2041-06-15      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2025-ROIC                                                                | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1403526 | PA      | $1396530.73   | 0.05%             | 2030-03-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2025-JDI                                             | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1301000 | PA      | $1302209.15   | 0.05%             | 2042-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2025-JDI                                             | CUSIP: 05594LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      343000 | PA      | $343851.12    | 0.01%             | 2042-11-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                              | BWAY 2013-1515 Mortgage Trust                                                     | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1139487 | PA      | $1079143.33   | 0.04%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                              | BWAY 2013-1515 Mortgage Trust                                                     | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1745000 | PA      | $1602839.91   | 0.06%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                              | BWAY 2013-1515 Mortgage Trust                                                     | CUSIP: 05604FAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $544221.90    | 0.02%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2021-VIV5                                            | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204000 | PA      | $189409.80    | 0.01%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                               | BX Trust 2019-OC11                                                                | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1743000 | PA      | $1660281.05   | 0.06%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                        | BXP Trust 2017-CC                                                                 | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260000 | PA      | $211434.03    | 0.01%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                        | BXP Trust 2017-CC                                                                 | CUSIP: 05607CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $394268.75    | 0.02%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                        | BXP Trust 2021-601L                                                               | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327000 | PA      | $270074.53    | 0.01%             | 2044-01-15      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2020-VIV4                                            | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1454472 | PA      | $1350968.28   | 0.05%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2021-LBA                                                                 | CUSIP: 05609BAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1070000 | PA      | $1069353.51   | 0.04%             | 2036-02-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2021-LBA                                                                 | CUSIP: 05609BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      209120 | PA      | $208863.22    | 0.01%             | 2036-02-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2021-LBA                                                                 | CUSIP: 05609BBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      672188 | PA      | $671782.16    | 0.03%             | 2036-02-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2021-LBA                                                                 | CUSIP: 05609BBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      684050 | PA      | $683210.50    | 0.03%             | 2036-02-15      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2021-LBA                                                                 | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162000 | PA      | $161801.13    | 0.01%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2022-CSMO                                            | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      392000 | PA      | $392726.42    | 0.02%             | 2027-06-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-XL4                                             | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1048680 | PA      | $1049325.22   | 0.04%             | 2039-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-XL4                                             | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3164600 | PA      | $3173396.30   | 0.12%             | 2039-02-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-XL4                                             | CUSIP: 05611VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1874631 | PA      | $1886166.12   | 0.07%             | 2039-02-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-MF                                              | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194800 | PA      | $194980.17    | 0.01%             | 2039-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2024-PAT                                                                 | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $530000.00    | 0.02%             | 2041-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2024-PAT                                                                 | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1141000 | PA      | $1140996.01   | 0.04%             | 2041-03-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2024-PAT                                                                 | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      547000 | PA      | $546996.39    | 0.02%             | 2041-03-15      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-KING                                            | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      611944 | PA      | $611943.88    | 0.02%             | 2034-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2024-VLT4                                                                | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2434000 | PA      | $2433238.16   | 0.10%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX TRUST 2024 VLT4                                                                | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $458857.45    | 0.02%             | 2041-06-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2024-VLT4                                                                | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1180000 | PA      | $1181368.80   | 0.05%             | 2041-06-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX 2024-PALM                                                                      | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1877885 | PA      | $1879056.80   | 0.07%             | 2037-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-BRBK                                            | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1240000 | PA      | $1246140.60   | 0.05%             | 2041-10-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-BRBK                                            | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      302000 | PA      | $303869.59    | 0.01%             | 2041-10-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                                   | Barings CLO Ltd 2015-I                                                            | CUSIP: 056162AQ3<br>LEI: 549300QR3VQZ1T0JUI29 | Long             | ABS-CBDO         | CORP              | KY        |      248174 | PA      | $248353.52    | 0.01%             | 2031-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                        | BPR Commercial Mortgage Trust 2025-STAR                                           | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      340000 | PA      | $341979.65    | 0.01%             | 2042-11-05      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| BRES Commercial Mortgage Trust                                   | BRES Commercial Mortgage Trust 2025-ATCAP                                         | CUSIP: 05619GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1017000 | PA      | $1021644.94   | 0.04%             | 2042-11-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2025-OMG                                                                 | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      431000 | PA      | $431088.62    | 0.02%             | 2042-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2025-VOLT                                                                | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      608000 | PA      | $608378.18    | 0.02%             | 2044-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                                   | BOCA Commercial Mortgage Trust 2025-BOCA                                          | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1390000 | PA      | $1391735.97   | 0.05%             | 2042-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2025-ARIA                                                                | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      615000 | PA      | $620574.98    | 0.02%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                 | Bain Capital Credit CLO 2019-2                                                    | CUSIP: 05682LBC0<br>LEI: 549300WZ8E2KQS66KT95 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250085.25    | 0.01%             | 2032-10-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                 | Bain Capital Credit CLO 2018-2                                                    | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500028.50    | 0.02%             | 2031-07-19      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                 | Bain Capital Credit CLO 2021-3 Ltd                                                | CUSIP: 05683NAG7<br>LEI: 254900XV68IP5ZAT0548 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $247081.00    | 0.01%             | 2034-07-24      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                 | Bain Capital Credit CLO 2024-2 Ltd                                                | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |     1170000 | PA      | $1172789.28   | 0.05%             | 2037-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Bally's Corporation                                              | Bally's Corporation 2021 Term Loan B                                              | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |     1016409 | PA      | $1003545.02   | 0.04%             | 2028-10-02      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                    | Ballyrock CLO 2020-2 Ltd                                                          | CUSIP: 05875DAL6<br>LEI: 254900Y6C4AXEAZ9T124 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250166.00    | 0.01%             | 2031-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                    | Ballyrock CLO 15 Ltd                                                              | CUSIP: 05875TAJ6<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |     1010000 | PA      | $1010993.84   | 0.04%             | 2038-01-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                    | Ballyrock CLO 2020-2 Ltd                                                          | CUSIP: 05876EAE9<br>LEI: 254900Y6C4AXEAZ9T124 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249075.00    | 0.01%             | 2031-10-20      | Floating      | 10.30%                | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                    | Ballyrock CLO 25 Ltd                                                              | CUSIP: 05876QAS1<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249514.25    | 0.01%             | 2038-01-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                    | Ballyrock Clo 32 Ltd                                                              | CUSIP: 058944AA7<br>LEI: 254900RL3S1UBVHQYH63 | Long             | ABS-MBS          | CORP              | KY        |      560000 | PA      | $560000.00    | 0.02%             | 2039-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                    | Ballyrock Clo 32 Ltd                                                              | CUSIP: 058944AG4<br>LEI: 254900RL3S1UBVHQYH63 | Long             | ABS-MBS          | CORP              | KY        |      400000 | PA      | $400000.00    | 0.02%             | 2039-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                         | Baltimore Gas and Electric Co                                                     | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      192000 | PA      | $129734.78    | 0.01%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                         | Baltimore Gas and Electric Co                                                     | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |       48000 | PA      | $30703.01     | 0.00%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                           | Banc of America Alternative Loan Trust 2006-7                                     | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234235 | PA      | $60242.81     | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                           | Banc of America Alternative Loan Trust 2003-8                                     | CUSIP: 05948XTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      472653 | PA      | $477771.11    | 0.02%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GFG9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      487000 | PA      | $461906.40    | 0.02%             | 2044-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3885000 | PA      | $3858223.06   | 0.15%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2702000 | PA      | $2668014.35   | 0.10%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1115000 | PA      | $1038935.54   | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      680000 | PA      | $608090.05    | 0.02%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      131000 | PA      | $129328.85    | 0.01%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      126000 | PA      | $120191.74    | 0.00%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      908000 | PA      | $811895.43    | 0.03%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2653000 | PA      | $2426180.15   | 0.09%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3787000 | PA      | $3777720.90   | 0.15%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      377000 | PA      | $386654.16    | 0.02%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                              | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      517000 | PA      | $539274.31    | 0.02%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust                        | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3                 | CUSIP: 06427DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4070000 | PA      | $20324.77     | 0.00%             | 2050-02-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Bank                                                             | BANK 2019-BNK20                                                                   | CUSIP: 06540AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8619000 | PA      | $107991.76    | 0.00%             | 2062-09-15      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust                  | BankAmerica Manufactured Housing Contract Trust                                   | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      470000 | PA      | $33897.67     | 0.00%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust                  | BankAmerica Manufactured Housing Contract Trust                                   | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4000000 | PA      | $295197.20    | 0.01%             | 2028-11-10      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust                    | Bankers Healthcare Group Securitization Trust 2020-A                              | CUSIP: 06616PAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       88398 | PA      | $88372.28     | 0.00%             | 2031-09-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| BARBADOS GOVT OF                                                 | Barbados Government International Bond                                            | CUSIP: 067070AK8<br>LEI: 529900UD1KUUS4SFD905 | Long             | DBT              | NUSS              | BB        |      108000 | PA      | $113508.00    | 0.00%             | 2035-06-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                     | Barclays Mortgage Trust 2021-NPL1                                                 | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1310647 | PA      | $1310521.74   | 0.05%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Barrow Hanley CLO LTD                                            | Barrow Hanley CLO II Ltd                                                          | CUSIP: 06875RAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270675.11    | 0.01%             | 2038-03-31      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                                | Battalion CLO VIII Ltd                                                            | CUSIP: 07132ACJ0<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      905538 | PA      | $905299.90    | 0.04%             | 2030-07-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                                | Battalion CLO VIII Ltd                                                            | CUSIP: 07132ACL5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      642000 | PA      | $641901.77    | 0.03%             | 2030-07-18      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                                | Battalion CLO X Ltd                                                               | CUSIP: 07132JBL7<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $260219.96    | 0.01%             | 2035-01-24      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                                | Battalion CLO 18 Ltd                                                              | CUSIP: 07134QBA3<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |      298000 | PA      | $298099.23    | 0.01%             | 2036-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                               | Bausch + Lomb Corp                                                                | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $208750.00    | 0.01%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                         | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     1215000 | PA      | $1387348.11   | 0.05%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                   | Bayview Commercial Asset Trust 2006-3                                             | CUSIP: 07324NAA1<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |       46557 | PA      | $44995.75     | 0.00%             | 2036-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                   | Bayview Commercial Asset Trust 2006-3                                             | CUSIP: 07324NAB9<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |       47373 | PA      | $45762.23     | 0.00%             | 2036-10-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                   | Bayview Commercial Asset Trust 2005-4                                             | CUSIP: 07324SCR1<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |       41072 | PA      | $39195.90     | 0.00%             | 2036-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                   | Bayview Commercial Asset Trust 2005-4                                             | CUSIP: 07324SCT7<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |       30576 | PA      | $29252.58     | 0.00%             | 2036-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                   | Bayview Commercial Asset Trust 2006-1                                             | CUSIP: 07324SDF6<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |       44731 | PA      | $42448.78     | 0.00%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition Trust                              | Bayview Financial Revolving Asset Trust 2004-B                                    | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2574347 | PA      | $2109963.70   | 0.08%             | 2039-05-28      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mortgage Loan Trust                  | Bayview Financial Revolving Asset Trust 2005-E                                    | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72576 | PA      | $78571.98     | 0.00%             | 2040-12-28      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                   | Bayview Commercial Asset Trust 2007-1                                             | CUSIP: 07325MAB0<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |       80511 | PA      | $77124.42     | 0.00%             | 2037-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                   | Bayview Commercial Asset Trust 2007-6                                             | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |      642123 | PA      | $576102.71    | 0.02%             | 2037-12-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2007-HE3                             | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2877346 | PA      | $2797259.98   | 0.11%             | 2037-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities Trust 2005-2                                 | CUSIP: 073877CH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2142000 | PA      | $2204910.33   | 0.09%             | 2035-06-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2005-AC9                             | CUSIP: 0738794J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1082022 | PA      | $1073113.37   | 0.04%             | 2035-12-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2004-HE7                             | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1726 | PA      | $1714.72      | 0.00%             | 2034-08-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2006-AC1                             | CUSIP: 07387UCF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1344667 | PA      | $1395571.74   | 0.05%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2006-IM1                             | CUSIP: 07387UFW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2048379 | PA      | $2039921.69   | 0.08%             | 2036-04-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2006-HE5                             | CUSIP: 07388CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      390033 | PA      | $386648.82    | 0.02%             | 2036-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                            | Bear Stearns Structured Products Trust 2007-EMX1                                  | CUSIP: 07402LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      306764 | PA      | $305942.05    | 0.01%             | 2037-03-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BEAZER HOMES USA                                                 | Beazer Homes USA Inc                                                              | CUSIP: 07556QBT1<br>LEI: 549300DUPYT2T0F60I45 | Long             | DBT              | CORP              | US        |      772000 | PA      | $788998.67    | 0.03%             | 2029-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| BECTON DICKINSON & CO                                            | Becton Dickinson & Co                                                             | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      662000 | PA      | $679524.12    | 0.03%             | 2029-06-07      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                             | Beignet Investor LLC                                                              | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7553000 | PA      | $7979707.64   | 0.31%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                                      | Bell Telephone Co of Canada or Bell Canada                                        | CUSIP: 0778FPAP4<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $103173.30    | 0.00%             | 2055-09-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2019-B9 Mortgage Trust                                                  | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3258105 | PA      | $80810.13     | 0.00%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2021-B23 Mortgage Trust                                                 | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5025641 | PA      | $228005.81    | 0.01%             | 2054-02-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                  | Benefit Street Partners CLO V-B Ltd                                               | CUSIP: 08181JAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2103194.10   | 0.08%             | 2037-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                  | Benefit Street Partners CLO XVI Ltd                                               | CUSIP: 08181VAY1<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250439.75    | 0.01%             | 2038-01-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                  | Benefit Street Partners CLO XX Ltd                                                | CUSIP: 08182FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310673.32    | 0.01%             | 2037-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                  | Benefit Street Partners CLO XXXVIII Ltd                                           | CUSIP: 08183FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300390.30    | 0.01%             | 2038-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                  | Benefit Street Partners CLO XVIII Ltd                                             | CUSIP: 08186PAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $499896.32    | 0.02%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                  | Benefit Street Partners CLO 42 Ltd                                                | CUSIP: 08187LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      580000 | PA      | $580435.58    | 0.02%             | 2038-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                  | Benefit Street Partners CLO 44 Ltd                                                | CUSIP: 08187NAA5<br>LEI: 254900Z6HW34YGOYWK97 | Long             | ABS-CBDO         | CORP              | KY        |      430000 | PA      | $430000.00    | 0.02%             | 2039-01-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                  | Benefit Street Partners CLO XII-B Ltd                                             | CUSIP: 081917AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250686.13    | 0.01%             | 2037-10-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust                    | BHG Securitization Trust 2021-B                                                   | CUSIP: 08862BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      130000 | PA      | $126299.15    | 0.00%             | 2034-10-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                       | BFLD Commercial Mortgage Trust 2025-5MW                                           | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178000 | PA      | $177989.53    | 0.01%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                       | BFLD Commercial Mortgage Trust 2025-5MW                                           | CUSIP: 088921AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      199000 | PA      | $204010.18    | 0.01%             | 2042-10-10      | Variable      | 7.91%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                             | Birch Grove CLO 3 Ltd                                                             | CUSIP: 09076VAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249991.75    | 0.01%             | 2038-01-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                             | Birch Grove CLO 4 Ltd                                                             | CUSIP: 09077CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250388.00    | 0.01%             | 2037-07-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                             | Birch Grove CLO 7 Ltd                                                             | CUSIP: 09077RAL3<br>LEI: 254900FP4VB7V5ZG0W95 | Long             | ABS-CBDO         | CORP              | JE        |     1130000 | PA      | $1130889.31   | 0.04%             | 2038-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain CLO 2014-2 Ltd                                                       | CUSIP: 09626QBC0<br>LEI: 549300NUS8PQQUZMPR50 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250141.50    | 0.01%             | 2030-10-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain CLO 2013-2 Ltd                                                       | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |      118479 | PA      | $118517.23    | 0.00%             | 2030-10-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain CLO 2015-3 Ltd                                                       | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |       90100 | PA      | $90107.14     | 0.00%             | 2031-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain Fuji US Clo II Ltd                                                   | CUSIP: 09629EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250132.00    | 0.01%             | 2030-10-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain Fuji US Clo II Ltd                                                   | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       22665 | PA      | $22658.93     | 0.00%             | 2030-10-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain CLO XXII Ltd                                                         | CUSIP: 09629PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      660000 | PA      | $659790.12    | 0.03%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain CLO 2018-2 Ltd                                                       | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250357.25    | 0.01%             | 2031-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain CLO 2018-3 Ltd                                                       | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      970000 | PA      | $971581.10    | 0.04%             | 2030-10-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain CLO XXVI Ltd                                                         | CUSIP: 09630GAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249880.00    | 0.01%             | 2034-10-20      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                             | BlueMountain CLO XXXV Ltd                                                         | CUSIP: 09631RAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250890.50    | 0.01%             | 2037-10-22      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                    | Boeing Co/The                                                                     | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |        5400 | NS      | $372924.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO/THE                                                    | Boeing Co/The                                                                     | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      992000 | PA      | $1127160.40   | 0.04%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                 | BCMSC Trust 2000-A                                                                | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1270292 | PA      | $75200.42     | 0.00%             | 2030-06-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                 | BCMSC Trust 2000-A                                                                | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1178847 | PA      | $72062.18     | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                 | BCMSC Trust 2000-A                                                                | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      850435 | PA      | $55040.35     | 0.00%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                   | Bombardier Inc                                                                    | CUSIP: 097751CA7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $216081.60    | 0.01%             | 2030-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                            | Civitas Resources Inc                                                             | CUSIP: 097793AE3<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      512000 | PA      | $510495.64    | 0.02%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TURKISH AIRLN 15-1 A PTT                                         | Turkish Airlines 2015-1 Class A Pass Through Trust                                | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |      283130 | PA      | $279888.82    | 0.01%             | 2027-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                           | BP Capital Markets America Inc                                                    | CUSIP: 10373QBW9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      127000 | PA      | $129509.04    | 0.01%             | 2034-04-10      | Fixed         | 4.99%                 | No            |                  2 | On Loan: —       |
| BP CAP MARKETS AMERICA                                           | BP Capital Markets America Inc                                                    | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     1526000 | PA      | $1574258.62   | 0.06%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| BRACELET HOLDINGS INC                                            | Bracelet Holdings Inc                                                             | CUSIP: 10374QAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      795000 | PA      | $777676.95    | 0.03%             | 2028-07-02      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                  | BRAVO Residential Funding Trust 2025-NQM2                                         | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |     1052914 | PA      | $1063118.03   | 0.04%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                                       | BRCK Trust 2025-830B                                                              | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      412000 | PA      | $412108.69    | 0.02%             | 2042-12-10      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                                       | BRCK Trust 2025-830B                                                              | CUSIP: 10635AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      878000 | PA      | $878944.73    | 0.03%             | 2042-12-10      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                                       | BRCK Trust 2025-830B                                                              | CUSIP: 10635AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      395000 | PA      | $395431.18    | 0.02%             | 2042-12-10      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO I Ltd                                          | Bridge Street CLO II Ltd                                                          | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249988.50    | 0.01%             | 2034-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO I Ltd                                          | Bridge Street CLO VI Ltd                                                          | CUSIP: 10806PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      640000 | PA      | $640728.96    | 0.03%             | 2039-01-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $1067870.54   | 0.04%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2820000 | PA      | $2391620.82   | 0.09%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      236000 | PA      | $230771.13    | 0.01%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      337000 | PA      | $332621.82    | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     3736000 | PA      | $3875910.06   | 0.15%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      125000 | PA      | $125348.51    | 0.00%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1403000 | PA      | $1405697.98   | 0.05%             | 2034-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1517000 | PA      | $1573852.34   | 0.06%             | 2032-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1690000 | PA      | $1545806.61   | 0.06%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FCT6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      141000 | PA      | $128569.88    | 0.01%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FCU3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1082000 | PA      | $1001569.28   | 0.04%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                                                      | CUSIP: 11135FCX7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1105000 | PA      | $1083260.96   | 0.04%             | 2038-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                                         | Brookfield Residential Properties Inc / Brookfield Residential US LLC             | CUSIP: 11283YAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      100000 | PA      | $93145.40     | 0.00%             | 2030-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                                         | Brookfield Residential Properties Inc / Brookfield Residential US LLC             | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      135000 | PA      | $130587.55    | 0.01%             | 2029-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                          | Bryant Park Funding 2023-19 Ltd                                                   | CUSIP: 11765AAQ2<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249239.00    | 0.01%             | 2038-04-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                          | Bryant Park Funding 2025-27 Ltd                                                   | CUSIP: 11766GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310225.99    | 0.01%             | 2039-01-22      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                         | Builders FirstSource Inc                                                          | CUSIP: 12008RAS6<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103393.19    | 0.00%             | 2034-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-GPA3                                            | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      561861 | PA      | $561861.01    | 0.02%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2025-TAIL                                                                | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155000 | PA      | $154999.98    | 0.01%             | 2035-06-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-MDHS                                            | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800985 | PA      | $1803766.66   | 0.07%             | 2041-05-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2024-AIRC                                            | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      328605 | PA      | $329217.29    | 0.01%             | 2041-08-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2025-VLT6                                                                | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $529337.50    | 0.02%             | 2042-03-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2023-XL3                                             | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      605027 | PA      | $605588.09    | 0.02%             | 2040-12-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2023-XL3                                             | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      826274 | PA      | $828063.24    | 0.03%             | 2040-12-09      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS 2006-CB7 TRUST                                                             | CUSIP: 12479DAD0<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |      133770 | PA      | $94145.73     | 0.00%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      152000 | PA      | $109080.75    | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      397000 | PA      | $275305.22    | 0.01%             | 2045-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     2661000 | PA      | $2617734.03   | 0.10%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      417000 | PA      | $404693.21    | 0.02%             | 2028-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                      | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $199725.08    | 0.01%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                      | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99208.75     | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                      | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $282453.56    | 0.01%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                      | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1111000 | PA      | $997163.94    | 0.04%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                      | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      988000 | PA      | $840071.04    | 0.03%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                      | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      229000 | PA      | $209292.76    | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Credit-Based Asset Servicing and Securitization                  | Credit-Based Asset Servicing and Securitization LLC                               | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       75522 | PA      | $75319.06     | 0.00%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | Credit-Based Asset Servicing and Securitization LLC                               | CUSIP: 1248P8AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3827024 | PA      | $3227300.47   | 0.13%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | Credit-Based Asset Servicing and Securitization LLC                               | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      126046 | PA      | $103098.64    | 0.00%             | 2036-12-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                     | CD 2017-CD3 Mortgage Trust                                                        | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $341618.87    | 0.01%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                     | CD 2017-CD5 Mortgage Trust                                                        | CUSIP: 12515HBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      363000 | PA      | $352772.15    | 0.01%             | 2050-08-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                        | CFK Trust 2019-FAX                                                                | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      728000 | PA      | $702820.66    | 0.03%             | 2039-01-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                   | CFMT 2024-HB14 LLC                                                                | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |      161000 | PA      | $154449.30    | 0.01%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                  | CFCRE Commercial Mortgage Trust 2016-C4                                           | CUSIP: 12531YAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2370000 | PA      | $3944.87      | 0.00%             | 2058-05-10      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                         | CHS/Community Health Systems Inc                                                  | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      100000 | PA      | $89088.54     | 0.00%             | 2031-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                         | CHS/Community Health Systems Inc                                                  | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      270000 | PA      | $294688.80    | 0.01%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: —       |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-11                                           | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5450517 | PA      | $2256216.40   | 0.09%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-4                                            | CUSIP: 12544RBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2822856 | PA      | $1127631.74   | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-9                                            | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      184804 | PA      | $82089.72     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-9                                            | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100968 | PA      | $44849.82     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-8                                            | CUSIP: 12545AAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      935565 | PA      | $380160.77    | 0.01%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2021-IV Ltd                                                          | CUSIP: 12547DAL0<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      666207 | PA      | $668063.72    | 0.03%             | 2037-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2014 Ltd                                                             | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330387.09    | 0.01%             | 2031-01-18      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2015-IV Ltd                                                          | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250050.00    | 0.01%             | 2034-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2017-V Ltd                                                           | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250447.25    | 0.01%             | 2037-07-17      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2021-VI Ltd                                                          | CUSIP: 12553SAG9<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250097.75    | 0.01%             | 2034-10-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2019-V Ltd                                                           | CUSIP: 12554XBC5<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |     1825000 | PA      | $1826407.08   | 0.07%             | 2038-10-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2020-I Ltd                                                           | CUSIP: 12555QAN6<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250117.75    | 0.01%             | 2036-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2019-VI Ltd                                                          | CUSIP: 12555XAN1<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      940000 | PA      | $942444.00    | 0.04%             | 2037-07-16      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2021-I Ltd                                                           | CUSIP: 12563EAQ6<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $730448.95    | 0.03%             | 2037-07-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2022-IV Ltd                                                          | CUSIP: 12567WAN9<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $499748.25    | 0.02%             | 2035-07-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2022-I Ltd                                                           | CUSIP: 12570LAA6<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250218.75    | 0.01%             | 2035-04-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2025-IV Ltd                                                          | CUSIP: 12575MAA9<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $350828.10    | 0.01%             | 2038-10-24      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2023-I Ltd                                                           | CUSIP: 12575RAJ9<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310627.25    | 0.01%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2024-III Ltd                                                         | CUSIP: 12575WAA7<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |     1090000 | PA      | $1092087.35   | 0.04%             | 2037-07-21      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust 2025-SBAY                          | CIP Commercial Mortgage Trust 2025-SBAY                                           | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2396000 | PA      | $2398225.17   | 0.09%             | 2037-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust 2025-SBAY                          | CIP Commercial Mortgage Trust 2025-SBAY                                           | CUSIP: 12576AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      909000 | PA      | $910406.13    | 0.04%             | 2037-10-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners, Inc.                                        | CHI Commercial Mortgage Trust 2025-110W                                           | CUSIP: 12577HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      737000 | PA      | $738191.66    | 0.03%             | 2040-12-13      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners, Inc.                                        | CHI Commercial Mortgage Trust 2025-110W                                           | CUSIP: 12577HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      546000 | PA      | $547943.49    | 0.02%             | 2040-12-13      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                  | CSAIL 2017-CX10 Commercial Mortgage Trust                                         | CUSIP: 12595JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3940000 | PA      | $20902.09     | 0.00%             | 2050-11-15      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                  | CSAIL 2019-C16 Commercial Mortgage Trust                                          | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6761326 | PA      | $284458.47    | 0.01%             | 2052-06-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                  | CSAIL 2019-C17 Commercial Mortgage Trust                                          | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2757880 | PA      | $99927.35     | 0.00%             | 2052-09-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                  | CSAIL 2019-C17 Commercial Mortgage Trust                                          | CUSIP: 12597BAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4150000 | PA      | $70681.97     | 0.00%             | 2052-09-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | Cifc Funding 2023-III Ltd                                                         | CUSIP: 12598YAA6<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $390652.47    | 0.02%             | 2037-01-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CPV Fairview LLC                                                 | CPV Fairview LLC 2025 Term Loan                                                   | CUSIP: 12620SAD5<br>LEI: 549300SLZ4P6TH9PTH93 | Long             | LON              | CORP              | US        |      233415 | PA      | $235165.61    | 0.01%             | 2031-08-14      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC Holdings LLC                                                                  | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      400000 | PA      | $342967.60    | 0.01%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC Holdings LLC                                                                  | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      200000 | PA      | $159133.06    | 0.01%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC Holdings LLC                                                                  | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      247000 | PA      | $183508.01    | 0.01%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2016-667M Mortgage Trust                                                     | CUSIP: 12636GAJ0<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |      140636 | PA      | $105854.93    | 0.00%             | 2036-10-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2020-FACT                                                                    | CUSIP: 126395AN2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      423000 | PA      | $383390.28    | 0.01%             | 2037-10-15      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | Credit Suisse Mortgage Capital Certificates                                       | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2614483 | PA      | $989122.61    | 0.04%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC Trust 2017-CALI                                                              | CUSIP: 12652FAJ1<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      301000 | PA      | $88801.02     | 0.00%             | 2032-11-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                               | CNX Resources Corp                                                                | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     1078000 | PA      | $1125324.09   | 0.04%             | 2032-03-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-RPL9 Trust                                                              | CUSIP: 12658XAC1<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     1377955 | PA      | $1372751.56   | 0.05%             | 2061-02-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2022-NQM3 Trust                                                              | CUSIP: 12661NAB0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      560000 | PA      | $556438.96    | 0.02%             | 2067-03-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                   | CVR Energy Inc                                                                    | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |      200000 | PA      | $205569.47    | 0.01%             | 2029-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CVR Energy Inc                                                   | CVR Energy Inc Term Loan B                                                        | CUSIP: 12663SAB7<br>LEI: 529900SOYZIXZBTXB558 | Long             | LON              | CORP              | US        |      243724 | PA      | $244637.46    | 0.01%             | 2027-12-30      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2022-NQM6 Trust                                                              | CUSIP: 12663YAM0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     1475628 | PA      | $1478866.82   | 0.06%             | 2067-12-25      | Variable      | 8.83%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS Health Corp                                                                   | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      275000 | PA      | $248271.81    | 0.01%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS Health Corp                                                                   | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      265000 | PA      | $226461.03    | 0.01%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS Health Corp                                                                   | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104904.81    | 0.00%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                            | CWABS Asset-Backed Certificates Trust 2005-16                                     | CUSIP: 126670NV6<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      569677 | PA      | $512889.96    | 0.02%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2005-22T1                                                  | CUSIP: 12667GGN7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      841553 | PA      | $747732.07    | 0.03%             | 2035-06-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2005-11CB                                                  | CUSIP: 12667GJJ3<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |       64574 | PA      | $51586.39     | 0.00%             | 2025-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2005-31                                                    | CUSIP: 12667GYX5<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     3998951 | PA      | $3883349.34   | 0.15%             | 2035-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                            | CWHEQ Home Equity Loan Trust Series 2006-S5                                       | CUSIP: 126683AE1<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-MBS          | CORP              | US        |       24097 | PA      | $38195.78     | 0.00%             | 2035-06-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                               | CWHEQ Revolving Home Equity Loan Trust Series 2005-B                              | CUSIP: 126685AB2<br>LEI: 254900WKCCG7QRE77W83 | Long             | ABS-O            | CORP              | US        |        7297 | PA      | $7271.56      | 0.00%             | 2035-05-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                               | CWHEQ Revolving Home Equity Loan Trust Series 2006-H                              | CUSIP: 126686AA2<br>LEI: 254900WKCCG7QRE77W83 | Long             | ABS-O            | CORP              | US        |       50617 | PA      | $49929.41     | 0.00%             | 2036-11-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OC1                                                   | CUSIP: 12668BJD6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      139379 | PA      | $137595.04    | 0.01%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-6CB                                                   | CUSIP: 12668BSQ7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     1255126 | PA      | $453702.99    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                            | CWABS Asset-Backed Certificates Trust 2006-25                                     | CUSIP: 12668HAF7<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      888916 | PA      | $863764.70    | 0.03%             | 2037-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OA17                                                  | CUSIP: 12668PAD4<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     3011211 | PA      | $2722351.33   | 0.11%             | 2046-12-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2006-OA4                                          | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3102930 | PA      | $838362.57    | 0.03%             | 2046-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OA2                                                   | CUSIP: 126694S41<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     1885642 | PA      | $1724318.06   | 0.07%             | 2046-05-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | Reperforming Loan REMIC Trust 2005-R2                                             | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      111349 | PA      | $108219.83    | 0.00%             | 2035-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-J1                                           | CUSIP: 12669MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      804499 | PA      | $282226.85    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                                                   | CQS US CLO 2025-4 Ltd                                                             | CUSIP: 12674KAC9<br>LEI: 25490009GM1MG9XIPV52 | Long             | ABS-CBDO         | CORP              | KY        |      530000 | PA      | $530258.64    | 0.02%             | 2036-07-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                                                   | CQS US CLO 5 Ltd                                                                  | CUSIP: 12676EAE7<br>LEI: 25490009GM1MG9XIPV52 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.01%             | 2039-01-17      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                                           | CSTL Commercial Mortgage Trust 2025-GATE2                                         | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280000 | PA      | $279114.30    | 0.01%             | 2042-11-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                                           | CSTL Commercial Mortgage Trust 2025-GATE2                                         | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      340000 | PA      | $339231.02    | 0.01%             | 2042-11-10      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                 | COLT 2025-11 Mortgage Loan Trust                                                  | CUSIP: 12676KAC7<br>LEI: 213800CETFGZSOQ6WF79 | Long             | ABS-MBS          | CORP              | US        |      899358 | PA      | $901601.54    | 0.04%             | 2070-11-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                        | Caesars Entertainment Inc                                                         | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |       10022 | NS      | $234414.58    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| CAESARS ENTERTAIN INC                                            | Caesars Entertainment Inc                                                         | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95923.87     | 0.00%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                            | Caesars Entertainment Inc                                                         | CUSIP: 12769GAD2<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97244.89     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| CALIFORNIA RESOURCES CRP                                         | California Resources Corp                                                         | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      179000 | PA      | $187230.55    | 0.01%             | 2029-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                         | California Resources Corp                                                         | CUSIP: 13057QAL1<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      192000 | PA      | $189129.28    | 0.01%             | 2034-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| State of California                                              | CALIFORNIA ST                                                                     | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |      780000 | PA      | $946590.37    | 0.04%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| State of California                                              | CALIFORNIA ST                                                                     | CUSIP: 13063DGE2<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     3765000 | PA      | $3833905.90   | 0.15%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                  | Cameron LNG LLC                                                                   | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     1846000 | PA      | $1614545.18   | 0.06%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                  | Cameron LNG LLC                                                                   | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     1253000 | PA      | $1087704.16   | 0.04%             | 2038-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                           | Canyon CLO 2020-3 Ltd                                                             | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330868.56    | 0.01%             | 2037-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                           | Canyon CLO 2020-3 Ltd                                                             | CUSIP: 13876RAS3<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $290785.03    | 0.01%             | 2037-10-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                           | Canyon CLO 2018-1 Ltd                                                             | CUSIP: 13877BAA6<br>LEI: 2549001KZI4SL4Y7BH27 | Long             | ABS-CBDO         | CORP              | KY        |      331411 | PA      | $331403.99    | 0.01%             | 2031-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                           | Canyon CLO 2023-2 Ltd                                                             | CUSIP: 13887AAE8<br>LEI: 254900FXDN97BW4YMK55 | Long             | ABS-CBDO         | CORP              | JE        |      660000 | PA      | $661389.30    | 0.03%             | 2037-05-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                           | Canyon Capital CLO 2019-2 Ltd                                                     | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $269404.65    | 0.01%             | 2034-10-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO                                              | Capital Four US CLO II Ltd                                                        | CUSIP: 14016CAN6<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250080.25    | 0.01%             | 2037-01-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                 | CARLYLE US CLO 2022-2 LTD                                                         | CUSIP: 143119AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250780.50    | 0.01%             | 2038-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                 | CARLYLE US CLO 2021-8 LTD                                                         | CUSIP: 143120AS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2007804.00   | 0.08%             | 2038-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                 | CARLYLE US CLO 2017-3 Ltd                                                         | CUSIP: 14314FBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      520000 | PA      | $520330.72    | 0.02%             | 2037-10-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                 | CARLYLE US CLO 2019-4 LTD                                                         | CUSIP: 14317VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $861103.22    | 0.03%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                 | Carlyle US CLO 2022-1 Ltd                                                         | CUSIP: 14318JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250164.00    | 0.01%             | 2035-04-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                 | Carlyle US CLO 2025-6 LTD                                                         | CUSIP: 14320LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $600238.80    | 0.02%             | 2039-01-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | Carnival Corp                                                                     | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     1655000 | PA      | $1698495.02   | 0.07%             | 2032-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                   | Carrington Mortgage Loan Trust Series 2006-NC4                                    | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       67273 | PA      | $66004.90     | 0.00%             | 2036-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                                   | CarVal CLO IV Ltd                                                                 | CUSIP: 14687EAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      940000 | PA      | $941272.76    | 0.04%             | 2038-03-31      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                           | Cascade MH Asset Trust 2019-MH1                                                   | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1273730 | PA      | $1228750.50   | 0.05%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                | Cedar Funding V CLO Ltd                                                           | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |      348610 | PA      | $348594.04    | 0.01%             | 2031-07-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                | Cedar Funding VII Clo Ltd                                                         | CUSIP: 15032FAW6<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250250.00    | 0.01%             | 2038-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                | Cedar Funding II CLO Ltd                                                          | CUSIP: 15032TBU9<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $510673.71    | 0.02%             | 2038-07-22      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                | Cedar Funding XI Clo Ltd                                                          | CUSIP: 15033LAY8<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250229.00    | 0.01%             | 2032-05-29      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                | Cedar Funding XIV CLO Ltd                                                         | CUSIP: 15034AAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250014.00    | 0.01%             | 2037-10-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                         | Celanese US Holdings LLC                                                          | CUSIP: 15089QBA1<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      300000 | PA      | $298425.99    | 0.01%             | 2033-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| CEMEX SAB DE CV                                                  | Cemex SAB de CV                                                                   | CUSIP: 151290CC5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |      721000 | PA      | $751930.90    | 0.03%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | Centene Corp                                                                      | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      500000 | PA      | $497056.19    | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Century Communities Inc                                          | Century Communities Inc                                                           | CUSIP: 156504300<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | EC               | CORP              | US        |        4198 | NS      | $249151.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTURY COMMUNITIES                                              | Century Communities Inc                                                           | CUSIP: 156504AM4<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95080.72     | 0.00%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Cerberus                                                         | Cerberus Loan Funding XLIV LLC                                                    | CUSIP: 15674DAA2<br>LEI: 6354005DPIRML7EMPA20 | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250566.80    | 0.01%             | 2036-01-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CFSP Mortgage Trust                                              | CFSP 2024-AHP1 Mortgage Trust                                                     | CUSIP: 15723BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1122080 | PA      | $1091299.19   | 0.04%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORI                                         | Charles River Laboratories International Inc                                      | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99100.43     | 0.00%             | 2028-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1542000 | PA      | $1591429.80   | 0.06%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      131000 | PA      | $125740.28    | 0.00%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      664000 | PA      | $566382.60    | 0.02%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1622000 | PA      | $1218445.80   | 0.05%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      444000 | PA      | $279467.75    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1244000 | PA      | $741312.31    | 0.03%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3530000 | PA      | $2278343.79   | 0.09%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3423000 | PA      | $2238734.56   | 0.09%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      642000 | PA      | $445381.57    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2225000 | PA      | $1338843.18   | 0.05%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      374000 | PA      | $295776.20    | 0.01%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      185000 | PA      | $194886.47    | 0.01%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      719000 | PA      | $756212.21    | 0.03%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: —       |
| Chase Mortgage Finance Corporation                               | Chase Mortgage Finance Trust Series 2007-A1                                       | CUSIP: 161630AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1095570 | PA      | $1086895.68   | 0.04%             | 2037-02-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                               | Chase Mortgage Finance Trust Series 2007-S6                                       | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6235791 | PA      | $2427482.55   | 0.09%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                      | Chemours Co/The                                                                   | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      100000 | PA      | $90422.88     | 0.00%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                         | Cheniere Energy Partners LP                                                       | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     3090000 | PA      | $3008915.40   | 0.12%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| CHENIERE ENERGY PARTNERS                                         | Cheniere Energy Partners LP                                                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     1672000 | PA      | $1539969.30   | 0.06%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                         | Cheniere Energy Partners LP                                                       | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     1105000 | PA      | $1153750.28   | 0.05%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                         | Cheniere Energy Partners LP                                                       | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      464000 | PA      | $474383.47    | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                              | Cheniere Energy Inc                                                               | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     5901000 | PA      | $6121579.26   | 0.24%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                         | Cheniere Corpus Christi Holdings LLC                                              | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     1552000 | PA      | $1567008.60   | 0.06%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                         | Cheniere Corpus Christi Holdings LLC                                              | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     3405000 | PA      | $2903299.98   | 0.11%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                               | Expand Energy Corp                                                                | CUSIP: 165167180<br>LEI: X2MT1W32SPAZ9WSKLE78 | N/A              | DE               |  | US        |           9 | NS      | $893.61       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Expand Energy Corp                                               | Expand Energy Corp                                                                | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |           5 | NS      | $551.80       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EXPAND ENERGY CORP                                               | Expand Energy Corp                                                                | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      531000 | PA      | $531037.50    | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                               | Expand Energy Corp                                                                | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     6362000 | PA      | $6583845.80   | 0.26%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ESC CB CHESAPEAKE ENER                                           | ESC CB CHESAPEAKE ENER                                                            | CUSIP: 165ESCAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $0.00         | 0.00%             | 2021-06-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| CHOBANI LLC/FINANCE CORP                                         | Chobani LLC / Chobani Finance Corp Inc                                            | CUSIP: 17027NAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104312.20    | 0.00%             | 2029-07-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                              | Churchill Downs Inc                                                               | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103692.70    | 0.00%             | 2031-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2018-I Ltd                                                           | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $511535.61    | 0.02%             | 2038-01-18      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2017-I Ltd                                                           | CUSIP: 17181PAC3<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |     1170000 | PA      | $1173898.44   | 0.05%             | 2037-04-21      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2017-I Ltd                                                           | CUSIP: 17181PAE9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250225.00    | 0.01%             | 2037-04-21      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2019-VII Ltd                                                         | CUSIP: 171935AA7<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      740000 | PA      | $740959.78    | 0.03%             | 2038-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CIPHER COMPUTE LLC                                               | Cipher Compute LLC                                                                | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       31000 | PA      | $31572.97     | 0.00%             | 2030-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 17292GKU8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | SN               | CORP              | US        |     2948000 | PA      | $2948000.00   | 0.12%             | 2030-12-11      | Variable      | 5.92%                 | No            |                  3 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      649000 | PA      | $607491.05    | 0.02%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3066000 | PA      | $2923365.48   | 0.11%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      125000 | PA      | $128268.90    | 0.01%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2110000 | PA      | $2127128.03   | 0.08%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1310000 | PA      | $1314054.16   | 0.05%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      198000 | PA      | $199850.77    | 0.01%             | 2036-09-11      | Fixed         | 5.17%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2219000 | PA      | $2113324.63   | 0.08%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2007-AHL3                                           | CUSIP: 17312GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      496162 | PA      | $351055.42    | 0.01%             | 2045-07-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2007-AHL2                                           | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1486375 | PA      | $1014999.84   | 0.04%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2007-AHL2                                           | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      675177 | PA      | $461353.90    | 0.02%             | 2037-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2007-6                                              | CUSIP: 17312VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      233997 | PA      | $217836.49    | 0.01%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust Inc                                                 | CUSIP: 17313JAM6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     4602562 | PA      | $4263748.08   | 0.17%             | 2037-07-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      804000 | PA      | $736515.75    | 0.03%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      712000 | PA      | $717661.92    | 0.03%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                     | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2840118.62   | 0.11%             | 2029-03-04      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | Citigroup Commercial Mortgage Trust 2020-420K                                     | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7730000 | PA      | $257125.31    | 0.01%             | 2042-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                            | Civitas Resources Inc                                                             | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      268000 | PA      | $276145.32    | 0.01%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                            | Civitas Resources Inc                                                             | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |       56000 | PA      | $58691.36     | 0.00%             | 2030-11-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                                         | Clarios Global LP / Clarios US Finance Co                                         | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      100000 | PA      | $102537.50    | 0.00%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                                         | Clarios Global LP / Clarios US Finance Co                                         | CUSIP: 18060TAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      100000 | PA      | $103699.25    | 0.00%             | 2032-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLARIV SCI HLD CORP                                              | Clarivate Science Holdings Corp                                                   | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $97080.37     | 0.00%             | 2028-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DREYFUS TREASURY & AGENCY LEX                                    | DREYFUS TREASURY & AGENCY LEX                                                     | CUSIP: 261908107<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     4000000 | NS      | $4000000.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| MS GOVT US LEX                                                   | MS GOVT US LEX                                                                    | CUSIP: 61747C707<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     2000000 | NS      | $2000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                                        | INVESCO GOVT AND AGCY LEX                                                         | CUSIP: 825252885<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     4000000 | NS      | $4000000.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLSPRING GOVT FUND LEX                                          | ALLSPRING GOVT FUND LEX                                                           | CUSIP: 09248U700<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     2000000 | NS      | $2000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Fin Square Govt Fd                                 | Goldman Sachs Fin Square Govt Fd                                                  | CUSIP: 38141W273<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     1000000 | NS      | $1000000.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                         | Clear Channel Outdoor Holdings Inc                                                | CUSIP: 18453HAF3<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105319.30    | 0.00%             | 2030-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                         | Clear Channel Outdoor Holdings Inc                                                | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104714.36    | 0.00%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                             | Cleveland-Cliffs Inc                                                              | CUSIP: 185899AN1<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102838.14    | 0.00%             | 2030-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| CLEVELAND-CLIFFS INC                                             | Cleveland-Cliffs Inc                                                              | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104003.27    | 0.00%             | 2033-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CLEVELAND-CLIFFS INC                                             | Cleveland-Cliffs Inc                                                              | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105484.00    | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                           | Cloud Software Group Inc                                                          | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      528000 | PA      | $549917.49    | 0.02%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                                       | Clover CLO 2018-1 LLC                                                             | CUSIP: 18914GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250251.25    | 0.01%             | 2037-04-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                                           | Clydesdale Acquisition Holdings Inc                                               | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      329000 | PA      | $334487.39    | 0.01%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: —       |
| Coast Investment Grade                                           | COAST Commercial Mortgage Trust 2023-2HTL                                         | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2090000 | PA      | $2088695.00   | 0.08%             | 2036-08-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| STATE STREET INST US GOVT FUND                                   | STATE STREET INST US GOVT FUND                                                    | CUSIP: 857492706<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     5000000 | NS      | $5000000.00   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| COGENT COMMS GRP / FIN                                           | Cogent Communications Group LLC / Cogent Finance Inc                              | CUSIP: 19240WAB5<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93520.75     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| College Ave Student Loans                                        | College Ave Student Loans 2021-B LLC                                              | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      105412 | PA      | $96851.26     | 0.00%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                        | College Ave Student Loans 2021-B LLC                                              | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       58475 | PA      | $54382.72     | 0.00%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                 | COLT 2023-3 Mortgage Loan Trust                                                   | CUSIP: 19688RAE9<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |     2314000 | PA      | $2337683.10   | 0.09%             | 2068-09-25      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                     | Comcast Corp                                                                      | CUSIP: 20030NDQ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      443000 | PA      | $223097.40    | 0.01%             | 2062-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                     | Comcast Corp                                                                      | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      646000 | PA      | $349419.75    | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2024-WCL1 MORTGAGE TRUST                                                     | CUSIP: 20047DAA2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     1220000 | PA      | $1221508.04   | 0.05%             | 2041-06-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2024-WCL1 MORTGAGE TRUST                                                     | CUSIP: 20047DAC8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |      367000 | PA      | $367452.40    | 0.01%             | 2041-06-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II, LLC                               | Compass Datacenters Issuer II LLC                                                 | CUSIP: 20469CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      786000 | PA      | $784510.14    | 0.03%             | 2050-11-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                           | Comstock Resources Inc                                                            | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |      200000 | PA      | $194531.04    | 0.01%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                                         | Connect Finco SARL / Connect US Finco LLC                                         | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      500000 | PA      | $530369.61    | 0.02%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ConnectWise LLC                                                  | ConnectWise LLC 2021 Term Loan B                                                  | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      402737 | PA      | $396360.82    | 0.02%             | 2028-09-29      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                            | Conseco Finance Securitizations Corp                                              | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      586391 | PA      | $70193.50     | 0.00%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                            | Conseco Finance Securitizations Corp                                              | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      878314 | PA      | $157085.26    | 0.01%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                            | Conseco Finance Securitizations Corp                                              | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1604918 | PA      | $295691.98    | 0.01%             | 2031-05-01      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| CONTINUUM ENERGY PTE LTD                                         | CONTINUUM ENERGY PTE LTD                                                          | CUSIP: 211926AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     1505401 | PA      | $1499831.02   | 0.06%             | 2027-09-11      | Variable      | 12.85%                | Yes           |                  3 | On Loan: No      |
| COREWEAVE INC                                                    | CoreWeave Inc                                                                     | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      200000 | PA      | $185954.52    | 0.01%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| CORE SCIENTIFIC INC                                              | Core Scientific Inc                                                               | CUSIP: 21874AAE6<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |       71000 | PA      | $74599.70     | 0.00%             | 2031-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9701000 | PA      | $8032086.23   | 0.31%             | 2055-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -355000 | PA      | $-293927.49   | -0.01%            | 2055-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4274000 | PA      | $3685991.12   | 0.14%             | 2055-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -309000 | PA      | $-266488.36   | -0.01%            | 2055-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      413000 | PA      | $371038.56    | 0.01%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -251000 | PA      | $-225498.01   | -0.01%            | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      660000 | PA      | $600522.25    | 0.02%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -120000 | PA      | $-109185.86   | -0.00%            | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3057000 | PA      | $2887312.62   | 0.11%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -106000 | PA      | $-100116.17   | -0.00%            | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7662000 | PA      | $7462069.69   | 0.29%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -150000 | PA      | $-146085.94   | -0.01%            | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7257000 | PA      | $7239847.57   | 0.28%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    18397000 | PA      | $18575384.49  | 0.73%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11713000 | PA      | $11935821.55  | 0.47%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -601000 | PA      | $-612433.09   | -0.02%            | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                        | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4746000 | PA      | $4900430.43   | 0.19%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REWORLD HOLDING CORP                                             | Reworld Holding Corp                                                              | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |      101000 | PA      | $97079.14     | 0.00%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                                                   | CQS US CLO 2023-3 Ltd                                                             | CUSIP: 223929AE0<br>LEI: 254900OIQPM0JE7KVZ52 | Long             | ABS-CBDO         | CORP              | JE        |      300000 | PA      | $300112.80    | 0.01%             | 2037-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                 | Credit Acceptance Corp                                                            | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $100197.24    | 0.00%             | 2030-03-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| Credit Suisse First Boston Mortgage Securities                   | Credit Suisse First Boston Mortgage Securities Corp                               | CUSIP: 22540VHP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      172718 | PA      | $175309.15    | 0.01%             | 2031-09-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                   | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                     | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      407233 | PA      | $81375.01     | 0.00%             | 2035-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Trust                                       | Home Equity Mortgage Trust 2006-2                                                 | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      443119 | PA      | $37860.61     | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | Energy Transfer LP                                                                | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2919000 | PA      | $3032731.42   | 0.12%             | 2031-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                             | Cross 2023-H2 Mortgage Trust                                                      | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      255740 | PA      | $258811.54    | 0.01%             | 2068-11-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                             | Cross 2025-CES1 Mortgage Trust                                                    | CUSIP: 22757WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153929 | PA      | $154468.46    | 0.01%             | 2060-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                             | Cross 2025-H8 Mortgage Trust                                                      | CUSIP: 22757XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      660784 | PA      | $662219.36    | 0.03%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                             | Cross 2025-H1 Mortgage Trust                                                      | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      658250 | PA      | $664704.87    | 0.03%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                             | Cross 2025-H10 Mortgage Trust                                                     | CUSIP: 22758YAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $98878.26     | 0.00%             | 2071-01-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                 | Crown Castle Inc                                                                  | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      881000 | PA      | $878678.59    | 0.03%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                 | Crown Castle Inc                                                                  | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      264000 | PA      | $232991.59    | 0.01%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                                              | Crown Point CLO 11 Ltd                                                            | CUSIP: 22845JAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249413.50    | 0.01%             | 2038-02-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CRSO TR 2023 BRND                                                | CRSO TR 2023 BRND                                                                 | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5522122 | PA      | $5735009.74   | 0.22%             | 2040-07-10      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| The Bank Of Nova Scotia, Toronto                                 | The Bank Of Nova Scotia, Toronto                                                  | CUSIP: 000000000<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | RA               | CORP              | US        |     1200000 | PA      | $1200000.00   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                           | Cushman & Wakefield US Borrower LLC                                               | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106809.40    | 0.00%             | 2031-09-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                            | CWABS Asset-Backed Certificates Trust 2006-7                                      | CUSIP: 232422AF2<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      503460 | PA      | $415188.64    | 0.02%             | 2046-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OA16                                                  | CUSIP: 23242GAE4<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      458140 | PA      | $434166.53    | 0.02%             | 2046-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OC7                                                   | CUSIP: 23243VAD2<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     1999862 | PA      | $1849991.11   | 0.07%             | 2046-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OC10                                                  | CUSIP: 23245FAE3<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      516480 | PA      | $475303.38    | 0.02%             | 2036-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-OA21                                                  | CUSIP: 23245QAA7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      684412 | PA      | $601867.24    | 0.02%             | 2047-03-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limited                                  | DK Trust 2025-LXP                                                                 | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      217000 | PA      | $217336.18    | 0.01%             | 2037-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limited                                  | DK Trust 2025-LXP                                                                 | CUSIP: 23292LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      132000 | PA      | $132327.29    | 0.01%             | 2037-08-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                            | DB Master Finance LLC                                                             | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |     1051000 | PA      | $1053151.08   | 0.04%             | 2055-08-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                                      | DBC 2025-DBC Mortgage Trust                                                       | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2465000 | PA      | $2466903.72   | 0.10%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                                      | DBC 2025-DBC Mortgage Trust                                                       | CUSIP: 23306HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602000 | PA      | $601999.10    | 0.02%             | 2042-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                          | DBJPM 2017-C6 Mortgage Trust                                                      | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2060000 | PA      | $23203.84     | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                          | DBJPM 16-C1 Mortgage Trust                                                        | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $239303.90    | 0.01%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                                  | DR Horton Inc                                                                     | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |      162000 | PA      | $168697.74    | 0.01%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| DGWD Trust                                                       | DGWD Trust 2025-INFL                                                              | CUSIP: 23347FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      739000 | PA      | $741473.21    | 0.03%             | 2035-08-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                          | Darling Ingredients Inc                                                           | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101633.10    | 0.00%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                       | DaVita Inc                                                                        | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      200000 | PA      | $208193.20    | 0.01%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust                                    | DBSG 2024-ALTA Mortgage Trust                                                     | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      374607 | PA      | $380357.82    | 0.01%             | 2037-06-10      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                             | Deephaven Residential Mortgage Trust 2025-CES1                                    | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      429449 | PA      | $430964.09    | 0.02%             | 2055-10-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                             | Deephaven Residential Mortgage Trust 2025-INV1                                    | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      789150 | PA      | $790766.49    | 0.03%             | 2060-11-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                             | Deephaven Residential Mortgage Trust 2025-INV1                                    | CUSIP: 24382EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110194 | PA      | $110207.68    | 0.00%             | 2060-11-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                        | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104816.41    | 0.00%             | 2029-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                          | Dell International LLC / EMC Corp                                                 | CUSIP: 24703DBS9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     2649000 | PA      | $2645219.19   | 0.10%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                                              | DENTSPLY SIRONA Inc                                                               | CUSIP: 24906PAB5<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93613.04     | 0.00%             | 2055-09-12      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Jefferies LLC                                                    | Jefferies LLC                                                                     | CUSIP: 000000000<br>LEI: 58PU97L1C0WSRCWADL48 | Long             | RA               | CORP              | US        |     2000000 | PA      | $2000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc                                             | Barclays Capital Inc                                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | RA               | CORP              | US        |     2000000 | PA      | $2000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CF Secured LLC                                                   | CF Secured LLC                                                                    | CUSIP: 000000000<br>LEI: 254900OXTV81I73FAT50 | Long             | RA               | CORP              | US        |     2728924 | PA      | $2728924.50   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank Of Nova Scotia NY Agency                                    | Bank Of Nova Scotia NY Agency                                                     | CUSIP: 000000000<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | RA               | CORP              | US        |     1000000 | PA      | $1000000.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TD Securities (USA) LLC                                          | TD Securities (USA) LLC                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Long             | RA               | CORP              | US        |     1000000 | PA      | $1000000.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| National Bank Of Canada                                          | National Bank Of Canada                                                           | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |     1000000 | PA      | $1000000.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA NY                                            | BANCO SANTANDER SA NY                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     1000000 | PA      | $1000000.00   | 0.04%             | 2026-01-02      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                                 | Societe Generale                                                                  | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |       90604 | PA      | $90604.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | HSBC Bank PLC                                                                     | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | Long             | RA               | CORP              | US        |     1000000 | PA      | $1000000.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA4/DE                  | CUSIP: 25151XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      243457 | PA      | $227917.30    | 0.01%             | 2047-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                             | Diameter Capital Clo 3 Ltd                                                        | CUSIP: 25255JAL1<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |      530000 | PA      | $530484.15    | 0.02%             | 2038-01-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                             | Diameter Capital CLO 5 Ltd                                                        | CUSIP: 25255RAL3<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |      780000 | PA      | $780195.00    | 0.03%             | 2039-01-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                             | Diameter Capital CLO 12 Ltd                                                       | CUSIP: 25255YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      890000 | PA      | $888797.61    | 0.03%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                             | Diameter Capital CLO 13 Ltd                                                       | CUSIP: 25256GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $750000.00    | 0.03%             | 2039-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                           | Diamondback Energy Inc                                                            | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     6912000 | PA      | $6861941.29   | 0.27%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                           | Diamondback Energy Inc                                                            | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     7780000 | PA      | $7547212.21   | 0.30%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                           | Diamondback Energy Inc                                                            | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     4928000 | PA      | $4604783.27   | 0.18%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                             | Diameter Capital CLO 10 Ltd                                                       | CUSIP: 25290BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300569.40    | 0.01%             | 2038-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS                                           | Digicel Group Holdings Ltd                                                        | CUSIP: 25381HAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      145973 | PA      | $8758.35      | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| DirecTV Financing LLC                                            | DirecTV Financing LLC Term Loan                                                   | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       15650 | PA      | $15697.20     | 0.00%             | 2027-08-02      | Floating      | 9.10%                 | No            |                  2 | On Loan: No      |
| DirecTV Financing LLC                                            | DirecTV Financing LLC 2025 Term Loan B                                            | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      502480 | PA      | $503225.68    | 0.02%             | 2031-02-17      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                            | Directv Financing LLC                                                             | CUSIP: 25461LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $202688.16    | 0.01%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| DIRECTV FIN LLC/COINC                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                          | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $102205.18    | 0.00%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                         | Discovery Communications LLC                                                      | CUSIP: 25470DBS7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     5437000 | PA      | $5340547.62   | 0.21%             | 2028-03-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                         | Discovery Communications LLC                                                      | CUSIP: 25470DBY4<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $80012.00     | 0.00%             | 2037-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                         | Discovery Communications LLC                                                      | CUSIP: 25470DCC1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $92063.26     | 0.00%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                | DISH Network Corp                                                                 | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      130000 | PA      | $125125.00    | 0.00%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                            | Directv Financing LLC                                                             | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       58000 | PA      | $58684.05     | 0.00%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                               | Dominican Republic International Bond                                             | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    11000000 | PA      | $189438.63    | 0.01%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                               | Dominican Republic International Bond                                             | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    15400000 | PA      | $261917.22    | 0.01%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| DOMINION ENERGY SOUTH                                            | Dominion Energy South Carolina Inc                                                | CUSIP: 25731VAC8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |      122000 | PA      | $126119.66    | 0.00%             | 2035-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                              | Dominion Energy Inc                                                               | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     1169000 | PA      | $1265735.92   | 0.05%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED NGN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NG        |           1 | NC      | $764.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED NGN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NG        |           1 | NC      | $1337.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED ARS / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AR        |           1 | NC      | $3819.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $4575.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $3222.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD TRY                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-4941.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD MXN                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-33801.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |           1 | NC      | $33847.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED EGP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | EG        |           1 | NC      | $2026.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED EGP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | EG        |           1 | NC      | $1214.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | PURCHASED COP / SOLD GBP                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CO        |           1 | NC      | $-9836.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | PURCHASED USD / SOLD IDR                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-6899.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD PHP                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-6470.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED IDR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |           1 | NC      | $12410.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED IDR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |           1 | NC      | $2394.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | PURCHASED USD / SOLD THB                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-38423.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED PHP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PH        |           1 | NC      | $942.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED PHP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PH        |           1 | NC      | $475.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | PURCHASED USD / SOLD THB                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-23375.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD UYU                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-2101.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                           | PURCHASED USD / SOLD PEN                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-2949.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                          | PURCHASED THB / SOLD USD                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TH        |           1 | NC      | $72544.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                          | PURCHASED THB / SOLD USD                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TH        |           1 | NC      | $16633.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD COP                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $35485.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura International PLC                                         | PURCHASED USD / SOLD TRY                                                          | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | N/A              | DFE              |  | US        |           1 | NC      | $-2604.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD CHF                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-2107.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD CHF                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1652.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                               | PURCHASED CNH / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              |  | CN        |           1 | NC      | $35738.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                               | PURCHASED CNH / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              |  | CN        |           1 | NC      | $13061.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED CZK / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CZ        |           1 | NC      | $22445.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED CZK / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CZ        |           1 | NC      | $8402.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-9716.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD AUD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1776.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                           | PURCHASED GBP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |           1 | NC      | $6780.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED EUR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |           1 | NC      | $2164.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                           | PURCHASED CHF / SOLD USD                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |           1 | NC      | $1549.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                              | PURCHASED USD / SOLD JPY                                                          | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |           1 | NC      | $1196.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED HUF / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | HU        |           1 | NC      | $3173.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED HUF / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | HU        |           1 | NC      | $11316.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                           | PURCHASED CHF / SOLD USD                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |           1 | NC      | $1205.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED JPY / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |           1 | NC      | $-1182.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED EUR / SOLD HUF                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |           1 | NC      | $186.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED USD / SOLD SGD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-2226.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | PL        |           1 | NC      | $23898.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | PL        |           1 | NC      | $2112.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                           | PURCHASED ZAR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |           1 | NC      | $26926.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |           1 | NC      | $23011.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED USD / SOLD SGD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-2980.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                           | PURCHASED ZAR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |           1 | NC      | $80337.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD PLN                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-66382.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED KRW / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |           1 | NC      | $1995.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED KRW / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |           1 | NC      | $3991.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED USD / SOLD CNH                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-9573.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED COP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CO        |           1 | NC      | $-10574.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED COP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CO        |           1 | NC      | $-783.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD CZK                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-7333.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED MYR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |           1 | NC      | $56120.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED MYR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |           1 | NC      | $11696.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED CLP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CL        |           1 | NC      | $4216.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED CLP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CL        |           1 | NC      | $15240.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD PEN                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-2157.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                              | PURCHASED USD / SOLD HUF                                                          | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |           1 | NC      | $-4197.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED INR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |           1 | NC      | $-36640.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED INR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |           1 | NC      | $-7753.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD PEN                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1347.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD COP                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $164.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED CLP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CL        |           1 | NC      | $3805.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED CLP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CL        |           1 | NC      | $5719.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED USD / SOLD ZAR                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-6870.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED USD / SOLD ZAR                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-10335.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $72947.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD ZAR                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-173804.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD MXN                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-118115.16   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |           1 | NC      | $-567.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |           1 | NC      | $2052.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |           1 | NC      | $4125.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                          | PURCHASED CLP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | CL        |           1 | NC      | $3685.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                           | PURCHASED CLP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CL        |           1 | NC      | $5481.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                           | PURCHASED CLP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CL        |           1 | NC      | $7308.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1345.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-833.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED USD / SOLD JPY                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $31498.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $18754.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED PEN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |           1 | NC      | $477.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED PEN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |           1 | NC      | $764.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $-20914.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $-3659.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD JPY                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $1833.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD JPY                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $1097.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED AUD / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |           1 | NC      | $2143.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED AUD / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |           1 | NC      | $1021.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED ZAR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |           1 | NC      | $3993.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED ZAR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |           1 | NC      | $6001.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura International PLC                                         | PURCHASED THB / SOLD USD                                                          | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | N/A              | DFE              |  | TH        |           1 | NC      | $1972.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura International PLC                                         | PURCHASED THB / SOLD USD                                                          | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | N/A              | DFE              |  | TH        |           1 | NC      | $1312.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED HUF / SOLD USD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | HU        |           1 | NC      | $-165.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | BR        |           1 | NC      | $-6161.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED CHF / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CH        |           1 | NC      | $1254.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED CHF / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CH        |           1 | NC      | $834.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $20899.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $12417.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD AUD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1130.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD AUD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1129.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $1436.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $718.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD ZAR                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-8106.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD ZAR                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-4054.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |           1 | NC      | $61473.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $-13740.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED ZAR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |           1 | NC      | $116211.48    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD PHP                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-297.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD PHP                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-589.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED USD / SOLD PHP                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-1333.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED USD / SOLD PHP                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-4784.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED USD / SOLD PHP                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-1193.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED USD / SOLD PHP                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-2539.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD COP                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-3191.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD COP                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-4776.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD COP                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-8638.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD IDR                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-551.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED USD / SOLD ZAR                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-43205.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-1813.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD CZK                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-9099.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                          | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-1020.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-1592.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | PURCHASED USD / SOLD PLN                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-9840.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED PEN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | PE        |           1 | NC      | $1362.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | PL        |           1 | NC      | $11242.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD PEN                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-369.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-707.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                            | PURCHASED USD / SOLD AUD                                                          | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-526.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED JPY / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |           1 | NC      | $-590.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED JPY / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |           1 | NC      | $-399.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                            | PURCHASED USD / SOLD JPY                                                          | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $107491.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |           1 | NC      | $2575.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED ZAR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ZA        |           1 | NC      | $15707.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | BR        |           1 | NC      | $-8732.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |           1 | NC      | $-897.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |           1 | NC      | $-901.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |           1 | NC      | $950.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |           1 | NC      | $954.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | PURCHASED EUR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $41.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | PURCHASED EUR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $52.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | PURCHASED USD / SOLD GBP                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1292.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD GBP                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-740.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED JPY / SOLD USD                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |           1 | NC      | $-39856.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                          | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | US        |           1 | NC      | $929.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $14755.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED USD / SOLD GBP                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-37891.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED USD / SOLD AUD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-856.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                            | PURCHASED USD / SOLD JPY                                                          | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $9699.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $-112.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $-67.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD MXN                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-296.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $79.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                            | PURCHASED USD / SOLD MXN                                                          | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-515.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED MXN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |           1 | NC      | $517.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $-399.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED PLN / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $-532.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD HUF                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-645.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD HUF                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-860.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED EUR / SOLD USD                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |           1 | NC      | $-107.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD CHF                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-420.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | PURCHASED USD / SOLD CHF                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-536.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED AUD / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |           1 | NC      | $6068.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | PURCHASED AUD / SOLD USD                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |           1 | NC      | $4050.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $290.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD EUR                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $175.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED TRY / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $638.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED COP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CO        |           1 | NC      | $-1952.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED COP / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CO        |           1 | NC      | $-1870.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-7398.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $7221.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $975.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-5840.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $5754.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-989.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-43194.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $44024.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD BRL                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-37326.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED BRL / SOLD USD                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $36893.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                    | PURCHASED USD / SOLD THB                                                          | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $225.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD PEN                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-104.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD PEN                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-74.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                          | Dryden 87 CLO Ltd                                                                 | CUSIP: 26246GAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250836.00    | 0.01%             | 2038-08-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                          | Dryden 98 CLO Ltd                                                                 | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250128.00    | 0.01%             | 2035-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                          | Dryden 30 Senior Loan Fund                                                        | CUSIP: 26249BAU5<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |      230127 | PA      | $230143.97    | 0.01%             | 2028-11-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                          | Dryden 65 CLO Ltd                                                                 | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250231.25    | 0.01%             | 2030-07-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                          | Dryden 113 CLO Ltd                                                                | CUSIP: 26253EBK3<br>LEI: 254900XN9Y85HJGYJ219 | Long             | ABS-CBDO         | CORP              | JE        |      500000 | PA      | $500390.50    | 0.02%             | 2037-10-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                 | Duke Energy Corp                                                                  | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      681000 | PA      | $524438.92    | 0.02%             | 2047-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                 | Duke Energy Corp                                                                  | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     1046000 | PA      | $724406.72    | 0.03%             | 2051-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                 | Duke Energy Corp                                                                  | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     2303000 | PA      | $2277179.22   | 0.09%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                            | Duke Energy Carolinas LLC                                                         | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     1066000 | PA      | $804804.95    | 0.03%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                            | Duke Energy Carolinas LLC                                                         | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      344000 | PA      | $272438.32    | 0.01%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                            | Duke Energy Carolinas LLC                                                         | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     1198000 | PA      | $818325.71    | 0.03%             | 2049-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                             | Duke Energy Ohio Inc                                                              | CUSIP: 26442EAH3<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     1338000 | PA      | $1224820.44   | 0.05%             | 2030-06-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                             | Duke Energy Ohio Inc                                                              | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      328000 | PA      | $339769.83    | 0.01%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                             | Duke Energy Ohio Inc                                                              | CUSIP: 26442EAK6<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      151000 | PA      | $149127.77    | 0.01%             | 2053-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                             | Duke Energy Ohio Inc                                                              | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      189000 | PA      | $184701.04    | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                         | Duke Energy Progress LLC                                                          | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     1809000 | PA      | $1054634.50   | 0.04%             | 2050-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                         | Duke Energy Progress LLC                                                          | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      478000 | PA      | $370538.38    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                         | Duke Energy Progress LLC                                                          | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     1251000 | PA      | $1271998.67   | 0.05%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                         | Duke Energy Progress LLC                                                          | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      245000 | PA      | $241666.55    | 0.01%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                          | Duke Energy Florida LLC                                                           | CUSIP: 26444HAL5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      364000 | PA      | $235531.80    | 0.01%             | 2051-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ECL Entertainment LLC                                            | ECL Entertainment LLC 2025 Term Loan B                                            | CUSIP: 26826TAM5<br>LEI: 254900UPSGHOBB360Z85 | Long             | LON              | CORP              | US        |      846610 | PA      | $844493.60    | 0.03%             | 2030-08-30      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                      | ELM Trust 2024-ELM                                                                | CUSIP: 26860XAA9<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |      710000 | PA      | $713727.86    | 0.03%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                      | ELM Trust 2024-ELM                                                                | CUSIP: 26860XAC5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     6760000 | PA      | $43489.11     | 0.00%             | 2039-06-10      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                      | ELM Trust 2024-ELM                                                                | CUSIP: 26860XAU5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |      710000 | PA      | $713727.86    | 0.03%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                      | ELM Trust 2024-ELM                                                                | CUSIP: 26860XAW1<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     7464000 | PA      | $7222.17      | 0.00%             | 2039-06-10      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                      | ELM Trust 2024-ELM                                                                | CUSIP: 26860XBG5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |      924000 | PA      | $926626.01    | 0.04%             | 2039-06-10      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     5921000 | PA      | $5894028.84   | 0.23%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     4676000 | PA      | $5078850.54   | 0.20%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2107000 | PA      | $2134469.34   | 0.08%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2443000 | PA      | $2429044.66   | 0.10%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     5809000 | PA      | $5462693.27   | 0.21%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2928000 | PA      | $3021533.85   | 0.12%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1286000 | PA      | $1343413.57   | 0.05%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAT6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1423000 | PA      | $1450437.56   | 0.06%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAV1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      196000 | PA      | $198895.86    | 0.01%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAX7<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     6107000 | PA      | $6121406.29   | 0.24%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LAZ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2517000 | PA      | $2604543.60   | 0.10%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LBB4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     7322000 | PA      | $8053973.02   | 0.32%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT Corp                                                                          | CUSIP: 26884LBD0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    12647000 | PA      | $12730009.09  | 0.50%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| EAGLE FUNDING LUXCO SARL                                         | Eagle Funding Luxco Sarl                                                          | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |      684000 | PA      | $696715.56    | 0.03%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                         | Permian Resources Operating LLC                                                   | CUSIP: 27034RAA1<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      358000 | PA      | $362675.55    | 0.01%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trust                                  | Easy Street Mortgage Loan Trust 2025-RTL2                                         | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197000 | PA      | $199022.07    | 0.01%             | 2040-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| EchoStar Corp                                                    | EchoStar Corp                                                                     | CUSIP: 278768106<br>LEI: 549300EE20907QZ9GT38 | Long             | EC               | CORP              | US        |       13042 | NS      | $1417665.40   | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| ECOPETROL SA                                                     | Ecopetrol SA                                                                      | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      724000 | PA      | $745061.16    | 0.03%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                             | Edison International                                                              | CUSIP: 281020AZ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104975.21    | 0.00%             | 2054-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                               | EFMT 2025-NQM6                                                                    | CUSIP: 281916AC0<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |      656665 | PA      | $657301.24    | 0.03%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                               | EFMT 2025-NQM5                                                                    | CUSIP: 28225KAC9<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |      686467 | PA      | $687756.31    | 0.03%             | 2070-11-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                                | Elevation CLO 2018-10 Ltd                                                         | CUSIP: 28623CAN1<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249959.13    | 0.01%             | 2031-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 39 Ltd                                               | Elmwood CLO 39 Ltd                                                                | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1750000 | PA      | $1745154.25   | 0.07%             | 2038-04-17      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd                                               | Elmwood CLO 29 Ltd                                                                | CUSIP: 289913AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $730705.91    | 0.03%             | 2037-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 30 Ltd                                               | Elmwood CLO 30 Ltd                                                                | CUSIP: 29001JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $391170.00    | 0.02%             | 2037-07-17      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                              | Elmwood CLO II Ltd                                                                | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1140000 | PA      | $1143400.62   | 0.04%             | 2037-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                              | Elmwood CLO II Ltd                                                                | CUSIP: 29001LBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250509.50    | 0.01%             | 2037-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 24 Ltd                                               | Elmwood CLO 24 Ltd                                                                | CUSIP: 290020AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1197000 | PA      | $1199543.63   | 0.05%             | 2038-01-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                                             | Elmwood CLO XII Ltd                                                               | CUSIP: 29002YAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250916.25    | 0.01%             | 2037-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                                               | Elmwood CLO 27 Ltd                                                                | CUSIP: 29003FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250573.75    | 0.01%             | 2037-04-18      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 19 Ltd                                               | Elmwood CLO 19 Ltd                                                                | CUSIP: 29004JAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249879.25    | 0.01%             | 2038-10-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                                         | Embraer Netherlands Finance BV                                                    | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |      119000 | PA      | $126455.35    | 0.00%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| EMERA INC                                                        | Emera Inc                                                                         | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $100457.70    | 0.00%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EMRLD BOR / EMRLD CO-ISS                                         | EMRLD Borrower LP / Emerald Co-Issuer Inc                                         | CUSIP: 29103CAA6<br>LEI: 98450099EE3A0ZD5F786 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104151.21    | 0.00%             | 2030-12-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                                            | Encompass Health Corp                                                             | CUSIP: 29261AAB6<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99668.60     | 0.00%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                           | Energizer Holdings Inc                                                            | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95550.56     | 0.00%             | 2029-03-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                               | Energy Transfer LP                                                                | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2092000 | PA      | $1982485.75   | 0.08%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | Energy Transfer LP                                                                | CUSIP: 29273VBC3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102603.20    | 0.00%             | 2054-10-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ENDO FINANCE HOLDINGS                                            | Endo Finance Holdings Inc                                                         | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $105694.10    | 0.00%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| ENTEGRIS INC                                                     | Entegris Inc                                                                      | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200436.40    | 0.01%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| EQUINIX EU 2 FINANCING C                                         | Equinix Europe 2 Financing Corp LLC                                               | CUSIP: 29390XAA2<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |      701000 | PA      | $725739.84    | 0.03%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| EQUINIX INC                                                      | Equinix Inc                                                                       | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     4629000 | PA      | $4189160.29   | 0.16%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| EQUINIX INC                                                      | Equinix Inc                                                                       | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |      420000 | PA      | $286945.61    | 0.01%             | 2052-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: —       |
| EQUINIX INC                                                      | Equinix Inc                                                                       | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     2220000 | PA      | $2133642.84   | 0.08%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC                                           | EquipmentShare.com Inc                                                            | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103918.10    | 0.00%             | 2028-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                               | Equity One Mortgage Pass-Through Trust 2003-3                                     | CUSIP: 294751CU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2986237 | PA      | $2709357.18   | 0.11%             | 2033-12-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| EVgo Inc                                                         | EVgo Inc                                                                          | CUSIP: 30052F118<br>LEI: 254900NJU5Y3D9R42S26 | N/A              | DE               |  | US        |       12581 | NS      | $943.58       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EXPEDIA GROUP INC                                                | Expedia Group Inc                                                                 | CUSIP: 30212PAP0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      566000 | PA      | $562873.73    | 0.02%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                | Expedia Group Inc                                                                 | CUSIP: 30212PBL8<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      123000 | PA      | $126162.45    | 0.00%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                           | Extra Space Storage LP                                                            | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |      227000 | PA      | $224314.06    | 0.01%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                           | Extra Space Storage LP                                                            | CUSIP: 30225VAK3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |     3116000 | PA      | $3243146.79   | 0.13%             | 2030-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                           | Extra Space Storage LP                                                            | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |       18000 | PA      | $17822.73     | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                           | Extra Space Storage LP                                                            | CUSIP: 30225VAR8<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |       70000 | PA      | $74218.86     | 0.00%             | 2031-01-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                           | Extra Space Storage LP                                                            | CUSIP: 30225VAU1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |     1070000 | PA      | $1096906.36   | 0.04%             | 2035-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                      | Extended Stay America Trust 2025-ESH                                              | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      542000 | PA      | $542846.22    | 0.02%             | 2042-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust 2006-FF13                                      | CUSIP: 30247DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      125765 | PA      | $81113.00     | 0.00%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                         | FMC Corp                                                                          | CUSIP: 302491AZ8<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      100000 | PA      | $79150.57     | 0.00%             | 2055-11-01      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| FORTESCUE TREASURY PTY L                                         | Fortescue Treasury Pty Ltd                                                        | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      100000 | PA      | $104348.37    | 0.00%             | 2032-04-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF 2019-KW08 Mortgage Trust                                                    | CUSIP: 30297YAA2<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    22897429 | PA      | $55164.49     | 0.00%             | 2029-01-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                               | Meta Platforms Inc                                                                | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2100240.71   | 0.08%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                               | Meta Platforms Inc                                                                | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      996000 | PA      | $923884.34    | 0.04%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF 2018-K80 Mortgage Trust                                                     | CUSIP: 30307RAE7<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |      304000 | PA      | $299229.27    | 0.01%             | 2050-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                                  | Fair Isaac Corp                                                                   | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98625.10     | 0.00%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FS Trust                                                         | FS Trust 2024-HULA                                                                | CUSIP: 30338DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1727000 | PA      | $1731314.39   | 0.07%             | 2039-08-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37876 | PA      | $38947.84     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      281635 | PA      | $284399.51    | 0.01%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      136440 | PA      | $130748.06    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      608524 | PA      | $636047.96    | 0.02%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      184069 | PA      | $189506.98    | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      343656 | PA      | $347030.92    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1221256 | PA      | $1258804.04   | 0.05%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      208865 | PA      | $205523.58    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      366961 | PA      | $357020.60    | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128MMRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41970 | PA      | $41313.81     | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3128PY3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3264 | PA      | $3230.86      | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      518063 | PA      | $498053.86    | 0.02%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      206830 | PA      | $207535.10    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65096 | PA      | $65705.26     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312938YY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38596 | PA      | $39424.06     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       66480 | PA      | $65121.33     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23361 | PA      | $23551.48     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       83968 | PA      | $82606.76     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312943JY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33179 | PA      | $32622.13     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       64888 | PA      | $63652.90     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53640 | PA      | $52801.32     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312944R78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58168 | PA      | $60517.82     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 312944SL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50298 | PA      | $49510.75     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307JA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       68233 | PA      | $66786.04     | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307JA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37883 | PA      | $37040.24     | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307LHB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55633 | PA      | $54182.14     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307MNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      117526 | PA      | $114900.61    | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307MNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      494715 | PA      | $486419.59    | 0.02%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307MWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      122532 | PA      | $120373.69    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307NDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3801 | PA      | $3734.33      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23888 | PA      | $23488.57     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37362 | PA      | $36333.24     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49416 | PA      | $48165.18     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26307 | PA      | $25816.34     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7945 | PA      | $7725.97      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40253 | PA      | $38120.45     | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      228711 | PA      | $214977.70    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      324130 | PA      | $318170.79    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132CWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      302967 | PA      | $276341.75    | 0.01%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132CWS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      550215 | PA      | $510027.82    | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132CWS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      219982 | PA      | $204038.39    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132CWSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2054949 | PA      | $1871820.22   | 0.07%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132CWTB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1118253 | PA      | $1036912.02   | 0.04%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132CWXG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      418222 | PA      | $388176.74    | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      788715 | PA      | $732064.94    | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1128172 | PA      | $1101520.84   | 0.04%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      807992 | PA      | $763820.26    | 0.03%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      418092 | PA      | $344554.30    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      891398 | PA      | $734130.70    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1080410 | PA      | $891356.59    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      171842 | PA      | $142439.73    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DM6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      312763 | PA      | $302196.66    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2647038 | PA      | $2183863.53   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1896972 | PA      | $1566897.12   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      616383 | PA      | $594993.06    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1234813 | PA      | $1193883.69   | 0.05%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      194966 | PA      | $190677.60    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      880575 | PA      | $853032.44    | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMR56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1963524 | PA      | $1862446.61   | 0.07%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11643 | PA      | $11104.89     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1994493 | PA      | $1902720.18   | 0.07%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      466090 | PA      | $441646.09    | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      239651 | PA      | $224383.61    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91437 | PA      | $88367.85     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1938077 | PA      | $1862950.68   | 0.07%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      787225 | PA      | $744873.77    | 0.03%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      443378 | PA      | $406438.13    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5239520 | PA      | $4844380.74   | 0.19%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      961064 | PA      | $929908.73    | 0.04%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1830771 | PA      | $1652972.55   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1024279 | PA      | $985246.25    | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1738739 | PA      | $1514661.04   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      203906 | PA      | $168013.68    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1053198 | PA      | $865394.86    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3507838 | PA      | $2894092.59   | 0.11%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5305099 | PA      | $4569458.49   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DNHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      437118 | PA      | $422146.26    | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      406535 | PA      | $411922.23    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      911552 | PA      | $918453.63    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DP3F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      294169 | PA      | $303144.23    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DPEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      313756 | PA      | $303058.45    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      904693 | PA      | $931927.52    | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DPQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      296180 | PA      | $303312.82    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      576493 | PA      | $588602.42    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      484522 | PA      | $503722.01    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1561002 | PA      | $1598596.72   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1948271 | PA      | $1503255.31   | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7363277 | PA      | $6361346.60   | 0.25%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8162809 | PA      | $6736319.68   | 0.26%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      255738 | PA      | $231223.89    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9490639 | PA      | $8191201.27   | 0.32%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      508831 | PA      | $420991.68    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2899928 | PA      | $2513854.49   | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1525234 | PA      | $1260878.37   | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      925784 | PA      | $765045.99    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      346533 | PA      | $312403.35    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7393594 | PA      | $6655656.21   | 0.26%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13320837 | PA      | $11926985.57  | 0.47%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13470284 | PA      | $10985978.22  | 0.43%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3078038 | PA      | $2508434.18   | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      205428 | PA      | $201384.56    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28038 | PA      | $27807.79     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18705 | PA      | $18521.49     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151542 | PA      | $152736.04    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4107 | PA      | $4030.69      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      149655 | PA      | $149796.28    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GJ5A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58818 | PA      | $57591.69     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79688 | PA      | $78026.62     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      179782 | PA      | $172615.41    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16151 | PA      | $15467.60     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6200 | PA      | $5941.14      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      347756 | PA      | $333892.71    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26328 | PA      | $25403.18     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       76626 | PA      | $73571.18     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      584373 | PA      | $541063.62    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      781785 | PA      | $723637.77    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      253458 | PA      | $234606.02    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      110736 | PA      | $105646.64    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      142789 | PA      | $139518.31    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132JPTF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71628 | PA      | $71425.43     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      169608 | PA      | $165462.09    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      246038 | PA      | $239809.12    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       47951 | PA      | $47296.85     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63465 | PA      | $62561.41     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      156380 | PA      | $152352.34    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      154993 | PA      | $150933.09    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      295649 | PA      | $288031.29    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10884 | PA      | $10599.47     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38405 | PA      | $37700.08     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      146035 | PA      | $139287.60    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52502 | PA      | $50099.54     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132M57A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      292365 | PA      | $281916.90    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24747 | PA      | $23645.67     | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37161 | PA      | $35544.91     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       68801 | PA      | $65919.98     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88952 | PA      | $83810.41     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22381 | PA      | $21859.58     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51256 | PA      | $50020.76     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      356470 | PA      | $348516.04    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57168 | PA      | $54350.02     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132QUXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2376176 | PA      | $2301357.93   | 0.09%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70813 | PA      | $69034.84     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69805 | PA      | $67996.12     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132VMSZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      899779 | PA      | $893810.95    | 0.03%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      352289 | PA      | $321017.14    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      176325 | PA      | $161818.76    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88779 | PA      | $81557.69     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      425689 | PA      | $423126.78    | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       76105 | PA      | $71801.27     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      121939 | PA      | $115701.89    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      392525 | PA      | $391092.70    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      698529 | PA      | $696891.65    | 0.03%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       56392 | PA      | $55215.77     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      496943 | PA      | $469128.27    | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      261406 | PA      | $260739.87    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      299579 | PA      | $298688.31    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      261752 | PA      | $260715.86    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      488006 | PA      | $464974.15    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                             | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      555511 | PA      | $529293.46    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      346460 | PA      | $298856.36    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      272645 | PA      | $225156.64    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133B3GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1102269 | PA      | $909380.66    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24440 | PA      | $24693.84     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      393331 | PA      | $385402.21    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      108319 | PA      | $109090.01    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35950 | PA      | $36207.44     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133BUJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      512028 | PA      | $524264.79    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133D1CR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      207566 | PA      | $213363.09    | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      769651 | PA      | $597324.72    | 0.02%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1389291 | PA      | $1255077.19   | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      648749 | PA      | $583605.57    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8473104 | PA      | $7337870.39   | 0.29%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      486872 | PA      | $436762.99    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3570653 | PA      | $2918849.49   | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4513542 | PA      | $3899312.18   | 0.15%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1704216 | PA      | $1478280.02   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      368941 | PA      | $302026.11    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1185006 | PA      | $1161436.84   | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KQDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50435 | PA      | $52475.32     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      547295 | PA      | $563348.02    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1143580 | PA      | $1171120.86   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KR6D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      111192 | PA      | $115978.69    | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1701637 | PA      | $1742618.02   | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      252809 | PA      | $257499.68    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      354463 | PA      | $306992.05    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1279744 | PA      | $1110729.49   | 0.04%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      373785 | PA      | $324186.80    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133L8AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      595179 | PA      | $551883.50    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133L8FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      430478 | PA      | $391844.97    | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133L8GG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1305287 | PA      | $1210289.26   | 0.05%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133L8JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      889972 | PA      | $827931.92    | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133L8KJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      381055 | PA      | $354489.23    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      382549 | PA      | $312548.74    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3133W7J30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      127541 | PA      | $131707.98    | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BQEZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1315369 | PA      | $1319055.24   | 0.05%             | 2053-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BQF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1386855 | PA      | $1390374.77   | 0.05%             | 2054-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BSQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1003351 | PA      | $1006171.55   | 0.04%             | 2054-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      815077 | PA      | $821226.38    | 0.03%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BTK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1380221 | PA      | $1390995.54   | 0.05%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BTQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      277383 | PA      | $279659.05    | 0.01%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BU2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1059253 | PA      | $1065906.96   | 0.04%             | 2055-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BUE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      929872 | PA      | $936547.67    | 0.04%             | 2055-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1721868 | PA      | $1737581.45   | 0.07%             | 2055-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BVAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      494594 | PA      | $498656.34    | 0.02%             | 2054-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BVEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      514965 | PA      | $518576.87    | 0.02%             | 2055-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1146237 | PA      | $1158910.94   | 0.05%             | 2055-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BWKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      684448 | PA      | $691117.48    | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BWLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1249125 | PA      | $1262672.00   | 0.05%             | 2055-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                                 | CUSIP: 3136BWXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      619228 | PA      | $624932.50    | 0.02%             | 2055-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35348 | PA      | $36665.75     | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                      | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5540987 | PA      | $109297.63    | 0.00%             | 2029-05-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                      | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      341000 | PA      | $351218.85    | 0.01%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HHC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1088968 | PA      | $1091260.64   | 0.04%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HHLV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1147521 | PA      | $1158840.95   | 0.05%             | 2054-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      864745 | PA      | $869927.43    | 0.03%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HHMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      574446 | PA      | $578893.24    | 0.02%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HHSB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      711219 | PA      | $716725.01    | 0.03%             | 2054-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HJAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      874029 | PA      | $880454.52    | 0.03%             | 2054-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HJD53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      783636 | PA      | $789638.26    | 0.03%             | 2055-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HJGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      974695 | PA      | $985122.19    | 0.04%             | 2055-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HJSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      675596 | PA      | $681270.56    | 0.03%             | 2055-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HJX51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7068548 | PA      | $7122910.13   | 0.28%             | 2055-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15337148 | PA      | $15456767.43  | 0.60%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HKJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      704924 | PA      | $710914.66    | 0.03%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HL3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      946664 | PA      | $955992.89    | 0.04%             | 2055-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      724297 | PA      | $731354.65    | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HLLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      730910 | PA      | $738113.59    | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HLLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      918511 | PA      | $927785.83    | 0.04%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HLLH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      969462 | PA      | $979015.39    | 0.04%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HMKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1647293 | PA      | $1660513.20   | 0.06%             | 2055-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                                | CUSIP: 3137HMM23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1041550 | PA      | $1050507.75   | 0.04%             | 2055-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85081 | PA      | $87991.77     | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138A5WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4617 | PA      | $4666.37      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78136 | PA      | $80352.51     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199925 | PA      | $201182.58    | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54878 | PA      | $55189.75     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138E2GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39453 | PA      | $40511.50     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      659805 | PA      | $641456.13    | 0.03%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32186 | PA      | $30808.07     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16646 | PA      | $15953.82     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56118 | PA      | $57658.30     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      767741 | PA      | $816602.51    | 0.03%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1172 | PA      | $1172.75      | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      534098 | PA      | $564894.73    | 0.02%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140949 | PA      | $149076.92    | 0.01%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ELX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42200 | PA      | $42486.56     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ENGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1394301 | PA      | $1395181.05   | 0.05%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119156 | PA      | $117142.34    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68059 | PA      | $66436.49     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168573 | PA      | $166061.96    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138041 | PA      | $135958.84    | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71676 | PA      | $70595.32     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      208054 | PA      | $204537.36    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      151225 | PA      | $148707.72    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11237 | PA      | $11070.20     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2037009 | PA      | $2067540.65   | 0.08%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7794 | PA      | $7595.86      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      203268 | PA      | $203404.78    | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25470 | PA      | $23370.32     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32107 | PA      | $30360.15     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1135145 | PA      | $1036312.90   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95454 | PA      | $93798.86     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      612483 | PA      | $611859.95    | 0.02%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136414 | PA      | $136505.58    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77008 | PA      | $73758.16     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95224 | PA      | $93079.06     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11797 | PA      | $11308.45     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11771 | PA      | $11244.79     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42723 | PA      | $40756.27     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188398 | PA      | $189660.35    | 0.01%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7077 | PA      | $6995.12      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5315 | PA      | $5244.98      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      294477 | PA      | $272070.69    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      253766 | PA      | $234272.26    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      451890 | PA      | $417458.76    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      445952 | PA      | $412207.79    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24035 | PA      | $23657.35     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WAFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194368 | PA      | $192071.82    | 0.01%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65684 | PA      | $64726.23     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WCK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199076 | PA      | $195156.33    | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3312 | PA      | $3232.28      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4073 | PA      | $3973.04      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37187 | PA      | $36258.49     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16121 | PA      | $16061.41     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73668 | PA      | $71763.85     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12380 | PA      | $12049.05     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      430994 | PA      | $430272.13    | 0.02%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90731 | PA      | $88346.10     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170653 | PA      | $166167.16    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122382 | PA      | $120377.16    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      158808 | PA      | $156165.54    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103231 | PA      | $100517.50    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      129692 | PA      | $127501.83    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115265 | PA      | $114437.24    | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120388 | PA      | $117119.65    | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      158708 | PA      | $154328.78    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123496 | PA      | $120142.95    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122606 | PA      | $119165.65    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152700 | PA      | $148486.52    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106604 | PA      | $103662.24    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      344736 | PA      | $334092.39    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      165524 | PA      | $160483.74    | 0.01%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21264 | PA      | $19400.05     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87254 | PA      | $84609.41     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJ4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      645176 | PA      | $588999.92    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJ4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      519148 | PA      | $472496.94    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152690 | PA      | $147907.75    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70977 | PA      | $68793.75     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      233565 | PA      | $226179.91    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128487 | PA      | $124406.19    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65318 | PA      | $63280.75     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186201 | PA      | $180533.04    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245709 | PA      | $235317.09    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15556 | PA      | $14889.26     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      243971 | PA      | $232295.21    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96090 | PA      | $91393.24     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106886 | PA      | $103342.79    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      318681 | PA      | $304042.15    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97435 | PA      | $94034.76     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WKLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      182570 | PA      | $178341.21    | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115082 | PA      | $106361.59    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      502716 | PA      | $464571.47    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      243290 | PA      | $224727.51    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17430 | PA      | $17224.04     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20545 | PA      | $20301.67     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215376 | PA      | $212739.24    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      250887 | PA      | $247970.75    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160448 | PA      | $158750.58    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138X5EH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36731 | PA      | $36388.06     | 0.00%             | 2028-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      949646 | PA      | $946175.27    | 0.04%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43673 | PA      | $43095.73     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XB2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15932 | PA      | $15780.38     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7618 | PA      | $7505.55      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XC4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98823 | PA      | $97482.79     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XCXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      232415 | PA      | $230036.95    | 0.01%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XCY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      369878 | PA      | $365949.16    | 0.01%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XEFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11380 | PA      | $11221.67     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XERE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      133764 | PA      | $132440.48    | 0.01%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XFAL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59920 | PA      | $59033.61     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244129 | PA      | $244307.94    | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      441607 | PA      | $442794.89    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XJDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115866 | PA      | $114806.16    | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XKSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45135 | PA      | $44490.23     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XLUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      258667 | PA      | $256540.30    | 0.01%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XPHS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103124 | PA      | $102251.69    | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XPQG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10517 | PA      | $10427.63     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XQF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121601 | PA      | $119196.51    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XQXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100433 | PA      | $99421.65     | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XR3E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106845 | PA      | $104787.55    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XSTM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110959 | PA      | $110026.87    | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XTDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      131209 | PA      | $130056.33    | 0.01%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XTDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73129 | PA      | $72523.29     | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XU2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32899 | PA      | $32380.72     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XUAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168465 | PA      | $164979.26    | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XWXG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      182238 | PA      | $180485.98    | 0.01%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XX3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39980 | PA      | $39570.44     | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170893 | PA      | $164384.01    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138Y1XZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55108 | PA      | $54275.07     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138Y4T58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      142901 | PA      | $140656.98    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24666 | PA      | $24175.17     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138Y5X76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43827 | PA      | $42638.34     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138YAVZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      154531 | PA      | $150487.13    | 0.01%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35037 | PA      | $34371.47     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138YNTH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20182 | PA      | $19566.85     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21293 | PA      | $20755.44     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53556 | PA      | $52665.03     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3138YXT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10141 | PA      | $9856.92      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31390MJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1135 | PA      | $1154.56      | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31390MJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      218649 | PA      | $221865.12    | 0.01%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31391JQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10458 | PA      | $10603.34     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31391T6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134751 | PA      | $138226.79    | 0.01%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      438418 | PA      | $450738.40    | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50372 | PA      | $52533.60     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38667 | PA      | $40276.74     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31402RA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48548 | PA      | $49775.05     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      589327 | PA      | $611706.15    | 0.02%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31402TTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      225055 | PA      | $222114.06    | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31407HZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80049 | PA      | $84412.86     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140A84Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180991 | PA      | $186902.95    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140ATJ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241105 | PA      | $248981.94    | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24835 | PA      | $24227.36     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8931 | PA      | $8759.75      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13740 | PA      | $13251.04     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29294 | PA      | $28240.45     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57404 | PA      | $55563.91     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12584 | PA      | $12200.96     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140EXEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      223504 | PA      | $224163.45    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77481 | PA      | $74166.18     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140FBD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      669383 | PA      | $655694.00    | 0.03%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140FCTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      294082 | PA      | $268477.94    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      238007 | PA      | $227211.55    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106995 | PA      | $105981.06    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34726 | PA      | $33567.67     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      387054 | PA      | $384427.19    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26040 | PA      | $25905.96     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31791 | PA      | $31598.61     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37814 | PA      | $37577.26     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      171320 | PA      | $161033.20    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61199 | PA      | $60564.56     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36167 | PA      | $35766.83     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11994 | PA      | $11923.59     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34750 | PA      | $34546.11     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140H5UJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138821 | PA      | $139167.74    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      962418 | PA      | $903560.66    | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41333 | PA      | $41091.01     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31196 | PA      | $30984.34     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53295 | PA      | $52983.08     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42749 | PA      | $42571.68     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52644 | PA      | $52270.29     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      425624 | PA      | $411752.14    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81071 | PA      | $78501.07     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26111 | PA      | $25887.71     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      272254 | PA      | $272649.80    | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24486 | PA      | $23715.09     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      287274 | PA      | $273901.22    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      530993 | PA      | $502414.96    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13790 | PA      | $13592.39     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      251498 | PA      | $243145.46    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1297762 | PA      | $1301586.46   | 0.05%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13517 | PA      | $13099.73     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31103 | PA      | $30481.35     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      577634 | PA      | $559472.20    | 0.02%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      276212 | PA      | $264521.27    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      454911 | PA      | $434569.32    | 0.02%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      489030 | PA      | $485913.61    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8673 | PA      | $8526.16      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      912003 | PA      | $888086.06    | 0.03%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      442031 | PA      | $442490.66    | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      684673 | PA      | $680516.20    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      509553 | PA      | $505990.71    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      915733 | PA      | $755389.06    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      512039 | PA      | $423261.48    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140KFGF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      260267 | PA      | $230219.95    | 0.01%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140KFQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1158430 | PA      | $1013299.81   | 0.04%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      402338 | PA      | $328724.15    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      299024 | PA      | $243905.19    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1449739 | PA      | $1178737.18   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      854391 | PA      | $704398.39    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140N4TK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      224662 | PA      | $228693.80    | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140N8U97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      427994 | PA      | $432199.11    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140NAYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      465640 | PA      | $474752.05    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140NBEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      264675 | PA      | $270576.95    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      185081 | PA      | $192566.75    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      342142 | PA      | $349829.28    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      374444 | PA      | $383462.41    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      796000 | PA      | $826950.60    | 0.03%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4021236 | PA      | $3999994.64   | 0.16%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      818908 | PA      | $813351.56    | 0.03%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89318 | PA      | $86231.07     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      221685 | PA      | $221904.59    | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140Q9ZW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1160015 | PA      | $1161163.91   | 0.05%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4089830 | PA      | $4090521.90   | 0.16%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46708 | PA      | $45132.45     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4392696 | PA      | $4393439.23   | 0.17%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      360406 | PA      | $345710.89    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QDS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      183493 | PA      | $170152.58    | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QDSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      369020 | PA      | $344175.12    | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      465424 | PA      | $446388.71    | 0.02%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QE4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190150 | PA      | $176495.77    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1250838 | PA      | $1081824.01   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2020599 | PA      | $1744764.56   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1934511 | PA      | $1669475.63   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2026878 | PA      | $1749184.49   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2503254 | PA      | $2160908.24   | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2074198 | PA      | $1791557.41   | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1430153 | PA      | $1243025.45   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QGJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122028 | PA      | $111156.42    | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      173846 | PA      | $168113.35    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      313619 | PA      | $304382.30    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      275811 | PA      | $267435.91    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QHPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      264050 | PA      | $240844.01    | 0.01%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QHPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      337098 | PA      | $312880.34    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      313360 | PA      | $290553.20    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QKVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      436297 | PA      | $397944.84    | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      534835 | PA      | $433362.80    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4622640 | PA      | $3983468.70   | 0.16%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1907751 | PA      | $1651615.97   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2332830 | PA      | $2021457.49   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3513433 | PA      | $3032844.23   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1070414 | PA      | $927878.44    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1946749 | PA      | $1605315.06   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2330766 | PA      | $1896506.10   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      609446 | PA      | $503768.00    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2020727 | PA      | $1817980.33   | 0.07%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      861225 | PA      | $774962.24    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QMZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1478755 | PA      | $1271040.75   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      533179 | PA      | $461947.51    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1902949 | PA      | $1643085.60   | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      736214 | PA      | $607927.82    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3787864 | PA      | $3119694.55   | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      345849 | PA      | $300948.19    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      279800 | PA      | $259335.75    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      532069 | PA      | $492823.64    | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1139374 | PA      | $938284.68    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2075422 | PA      | $1705099.61   | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QQYZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3265499 | PA      | $3328126.72   | 0.13%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      311802 | PA      | $319472.22    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QRBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2692284 | PA      | $2700590.24   | 0.11%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      345557 | PA      | $359533.30    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QS5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      402357 | PA      | $422687.74    | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1124330 | PA      | $1169802.13   | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1911827 | PA      | $1957870.75   | 0.08%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      864499 | PA      | $882147.22    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QSBJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      238774 | PA      | $249413.82    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      319910 | PA      | $329586.36    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1181184 | PA      | $1209631.34   | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1828395 | PA      | $1902344.64   | 0.07%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QST27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3031554 | PA      | $3095234.34   | 0.12%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3682028 | PA      | $3793160.36   | 0.15%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QSUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      346820 | PA      | $361904.29    | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QT4C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2309166 | PA      | $2415497.73   | 0.09%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QTEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1071692 | PA      | $1125846.30   | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QUBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2638273 | PA      | $2723173.72   | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2465195 | PA      | $2565338.50   | 0.10%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140W3CJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10483294 | PA      | $8648878.77   | 0.34%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      848710 | PA      | $815057.33    | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X82Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      408091 | PA      | $370818.16    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1637482 | PA      | $1475441.54   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      864694 | PA      | $819079.67    | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      891198 | PA      | $852489.96    | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      625350 | PA      | $594689.94    | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      418354 | PA      | $345928.47    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      696577 | PA      | $655577.73    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      358010 | PA      | $311161.14    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1410429 | PA      | $1163808.69   | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39559 | PA      | $37859.34     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27038 | PA      | $25887.36     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      158468 | PA      | $151648.04    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140X9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199933 | PA      | $185571.30    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      934252 | PA      | $772045.45    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1734184 | PA      | $1671349.64   | 0.07%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343212 | PA      | $330808.75    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XBG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1525064 | PA      | $1389151.77   | 0.05%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2016419 | PA      | $1940956.74   | 0.08%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XBKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      443974 | PA      | $411673.49    | 0.02%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XCAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      506500 | PA      | $470110.92    | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2527230 | PA      | $2078609.95   | 0.08%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XCUV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      322288 | PA      | $298331.94    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XCV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343690 | PA      | $318452.91    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236280 | PA      | $219440.27    | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      708214 | PA      | $583824.31    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      851621 | PA      | $739267.99    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      724279 | PA      | $657159.38    | 0.03%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      225949 | PA      | $209847.75    | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1828544 | PA      | $1570433.71   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1651212 | PA      | $1356541.16   | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1598484 | PA      | $1314375.81   | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15826681 | PA      | $13351324.05  | 0.52%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2603284 | PA      | $2254876.90   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1843949 | PA      | $1525361.41   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      277730 | PA      | $231303.94    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      279205 | PA      | $231005.70    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100273 | PA      | $92939.41     | 0.00%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      229808 | PA      | $213003.07    | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      424376 | PA      | $407811.12    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XGPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1195984 | PA      | $1110060.43   | 0.04%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      713275 | PA      | $660705.81    | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1727772 | PA      | $1403571.23   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      290700 | PA      | $261840.56    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      464862 | PA      | $415869.45    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6386875 | PA      | $5452050.79   | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2460562 | PA      | $1996004.52   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      234088 | PA      | $237472.78    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      292749 | PA      | $297157.33    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      323285 | PA      | $325732.57    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XJSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      443490 | PA      | $404497.90    | 0.02%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XJTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57445 | PA      | $59610.83     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XJVT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      706934 | PA      | $655242.93    | 0.03%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2689106 | PA      | $2597002.63   | 0.10%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XKEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3510341 | PA      | $3053293.02   | 0.12%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1243875 | PA      | $1281256.84   | 0.05%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1463429 | PA      | $1498674.67   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XLEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      450618 | PA      | $468843.66    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XMEK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1326293 | PA      | $1392537.37   | 0.05%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XPHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1634911 | PA      | $1669176.21   | 0.07%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XQQ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1870907 | PA      | $1950264.16   | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      648496 | PA      | $529393.96    | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 3140Y66J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      907942 | PA      | $935150.07    | 0.04%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123347 | PA      | $130460.05    | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39975 | PA      | $42155.65     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57576 | PA      | $60895.63     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139308 | PA      | $147340.70    | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53943 | PA      | $57053.27     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47265 | PA      | $47902.91     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81764 | PA      | $86478.87     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31412MJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52672 | PA      | $54992.12     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31412RHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15520 | PA      | $15640.34     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31412TMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37818 | PA      | $38921.71     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31414J6R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114632 | PA      | $119434.11    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31415YBM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41478 | PA      | $42482.47     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      465949 | PA      | $478817.76    | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44514 | PA      | $44898.80     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107844 | PA      | $112397.32    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50116 | PA      | $50503.13     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31416WHU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53538 | PA      | $53909.88     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103261 | PA      | $104090.14    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31416WSC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      266981 | PA      | $269289.80    | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44366 | PA      | $44635.99     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      312733 | PA      | $305853.98    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9084 | PA      | $8975.72      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6831 | PA      | $6733.36      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      316556 | PA      | $292437.79    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      320051 | PA      | $295633.94    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3112 | PA      | $3069.57      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2175018 | PA      | $2002811.90   | 0.08%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417FSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      205725 | PA      | $190180.44    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      986877 | PA      | $911894.63    | 0.04%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29624 | PA      | $27302.27     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417KZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256092 | PA      | $258305.43    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417MBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46754 | PA      | $48355.57     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      144199 | PA      | $150246.55    | 0.01%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417TP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10736 | PA      | $10827.03     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31417YNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8864 | PA      | $9198.46      | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46771 | PA      | $44819.49     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68823 | PA      | $65872.04     | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      381776 | PA      | $370521.10    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21529 | PA      | $20812.64     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      135432 | PA      | $130912.65    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      379048 | PA      | $354973.77    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      376637 | PA      | $353260.00    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      231041 | PA      | $217167.86    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168598 | PA      | $162946.53    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38266 | PA      | $36979.06     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31844 | PA      | $30770.15     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31447 | PA      | $30386.10     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      208738 | PA      | $200856.77    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      975506 | PA      | $797425.83    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2021768 | PA      | $1559985.76   | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1758521 | PA      | $1435666.77   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1763673 | PA      | $1360832.94   | 0.05%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11959477 | PA      | $9758797.67   | 0.38%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2384818 | PA      | $1845996.11   | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8104410 | PA      | $6834135.01   | 0.27%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1121365 | PA      | $974670.04    | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      571533 | PA      | $496405.84    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5544382 | PA      | $4812124.20   | 0.19%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      875238 | PA      | $759646.94    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      216877 | PA      | $212607.72    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      370730 | PA      | $371262.38    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47220 | PA      | $49942.90     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31418RGR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4803 | PA      | $4832.52      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62802 | PA      | $66399.33     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                   | CUSIP: 31419EJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      218645 | PA      | $220020.32    | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 31427MKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1108137 | PA      | $1145954.32   | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 31427QMU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1671030 | PA      | $1522574.32   | 0.06%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 31427QMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5182530 | PA      | $5220665.74   | 0.20%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 31427QMX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6580962 | PA      | $6718897.41   | 0.26%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 31427QMY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3076726 | PA      | $3201129.97   | 0.13%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3142GQLA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      419473 | PA      | $440670.03    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3142GR4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      863338 | PA      | $890951.22    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3142GR6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1758377 | PA      | $1816737.34   | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3142GRMY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      972750 | PA      | $1003279.48   | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3142GRVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1648477 | PA      | $1702333.09   | 0.07%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3142GTNA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3181189 | PA      | $3248857.96   | 0.13%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3142GUKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1094038 | PA      | $1130332.98   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                  | CUSIP: 3142GUTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2335733 | PA      | $2413218.78   | 0.09%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT                                           | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc                | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $190154.98    | 0.01%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC, Fidium Fiber Finance Holdco LLC | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                   | CUSIP: 315961AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2581000 | PA      | $2595912.76   | 0.10%             | 2055-12-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2025-HE7                                                              | CUSIP: 31684RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      417103 | PA      | $418209.54    | 0.02%             | 2055-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust 2006-FF16                                      | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3411382 | PA      | $1375264.37   | 0.05%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust 2006-FF16                                      | CUSIP: 320275AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6275450 | PA      | $2536628.94   | 0.10%             | 2036-12-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust 2006-FF17                                      | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1188253 | PA      | $1040989.73   | 0.04%             | 2036-12-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                         | FirstEnergy Transmission LLC                                                      | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      965000 | PA      | $931353.35    | 0.04%             | 2044-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                         | FirstEnergy Transmission LLC                                                      | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     1151000 | PA      | $977691.32    | 0.04%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                         | FirstEnergy Transmission LLC                                                      | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     2536000 | PA      | $2541029.14   | 0.10%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                         | FirstEnergy Transmission LLC                                                      | CUSIP: 33767BAJ8<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     2035000 | PA      | $2034350.24   | 0.08%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                 | FirstEnergy Corp                                                                  | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     2316000 | PA      | $2306759.95   | 0.09%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                 | FirstEnergy Corp                                                                  | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1329000 | PA      | $1169967.45   | 0.05%             | 2047-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                 | FirstEnergy Corp                                                                  | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1496000 | PA      | $1394841.15   | 0.05%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                 | FirstEnergy Corp                                                                  | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     4372000 | PA      | $3015463.14   | 0.12%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OPERATING CO                                          | Five Point Operating Co LP                                                        | CUSIP: 33834YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       39000 | PA      | $40746.42     | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                                 | Flatiron CLO 21 Ltd                                                               | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2390000 | PA      | $2395853.11   | 0.09%             | 2037-10-19      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                                 | Flatiron CLO 25 Ltd                                                               | CUSIP: 33883XAC4<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250759.90    | 0.01%             | 2037-10-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                         | Florida Power & Light Co                                                          | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      964000 | PA      | $660197.25    | 0.03%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                         | Florida Power & Light Co                                                          | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      200000 | PA      | $127475.11    | 0.00%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FLOURISHING TRADE + INVT LTD                                     | FLOURISHING TRADE + INVT LTD                                                      | CUSIP: 343427AA8<br>LEI: 894500SZ5TN63ZJ0Y632 | Long             | DBT              | CORP              | MU        |     2318119 | PA      | $2399253.17   | 0.09%             | 2030-04-02      | Variable      | 11.04%                | No            |                  3 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS                                         | Focus Financial Partners LLC                                                      | CUSIP: 34417VAA5<br>LEI: 5493007L0E0VKRC2CP39 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102811.86    | 0.00%             | 2031-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                                  | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                                | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1285419 | PA      | $1288230.60   | 0.05%             | 2039-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                                  | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                                | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      297000 | PA      | $300223.76    | 0.01%             | 2039-12-15      | Floating      | 9.40%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                         | Ford Motor Credit Co LLC                                                          | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      890000 | PA      | $836376.22    | 0.03%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| FORD MOTOR CREDIT CO LLC                                         | Ford Motor Credit Co LLC                                                          | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200450.95    | 0.01%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                         | Ford Motor Credit Co LLC                                                          | CUSIP: 345397D26<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      224000 | PA      | $225950.47    | 0.01%             | 2026-06-10      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                         | Ford Motor Credit Co LLC                                                          | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1054365.43   | 0.04%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                         | Ford Motor Credit Co LLC                                                          | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      376000 | PA      | $378042.88    | 0.01%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| FORD MOTOR CREDIT CO LLC                                         | Ford Motor Credit Co LLC                                                          | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      249000 | PA      | $255602.40    | 0.01%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                         | Ford Motor Credit Co LLC                                                          | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1188000 | PA      | $1215558.45   | 0.05%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                         | Ford Motor Credit Co LLC                                                          | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199727.72    | 0.01%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FORESTAR GROUP INC                                               | Forestar Group Inc                                                                | CUSIP: 346232AE1<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |      287000 | PA      | $286727.15    | 0.01%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS                                          | FTAI Aviation Investors LLC                                                       | CUSIP: 34960PAE1<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106340.40    | 0.00%             | 2030-12-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS                                          | FTAI Aviation Investors LLC                                                       | CUSIP: 34960PAF8<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105308.80    | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                         | Foundation Finance Trust 2024-2                                                   | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      192273 | PA      | $192886.76    | 0.01%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                         | Foundation Finance Trust 2025-1                                                   | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      522921 | PA      | $529189.54    | 0.02%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                         | Foundation Finance Trust 2025-2                                                   | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      138000 | PA      | $137928.42    | 0.01%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                         | Foundation Finance Trust 2025-2                                                   | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300000 | PA      | $303226.02    | 0.01%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                         | Foundation Finance Trust 2021-2                                                   | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |      313503 | PA      | $297864.27    | 0.01%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                            | Foundry JV Holdco LLC                                                             | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      311000 | PA      | $329563.01    | 0.01%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                            | Foundry JV Holdco LLC                                                             | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      322000 | PA      | $341446.01    | 0.01%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                            | Foundry JV Holdco LLC                                                             | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      562000 | PA      | $580093.34    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                            | Foundry JV Holdco LLC                                                             | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     1824000 | PA      | $1908537.22   | 0.07%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                            | Foundry JV Holdco LLC                                                             | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $209087.34    | 0.01%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                            | Foundry JV Holdco LLC                                                             | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     1023000 | PA      | $1074969.94   | 0.04%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                     | CUSIP: 35563PCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      769504 | PA      | $121451.98    | 0.00%             | 2056-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                     | CUSIP: 35563PCJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      846132 | PA      | $97064.97     | 0.00%             | 2056-07-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1                     | CUSIP: 35563PEX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      157159 | PA      | $66215.27     | 0.00%             | 2057-05-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                               | Seasoned Loans Structured Transaction Trust Series 2020-2                         | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      845974 | PA      | $841102.35    | 0.03%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                            | Freedom Mortgage Holdings LLC                                                     | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105266.48    | 0.00%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                          | Fremont Home Loan Trust 2006-3                                                    | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      553952 | PA      | $414871.90    | 0.02%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                          | Frontier Communications Holdings LLC                                              | CUSIP: 35906ABF4<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |     1841000 | PA      | $1844165.89   | 0.07%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                          | Frontier Communications Holdings LLC                                              | CUSIP: 35908MAA8<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |     1267400 | PA      | $1282769.24   | 0.05%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                          | Frontier Communications Holdings LLC                                              | CUSIP: 35908MAE0<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |      621000 | PA      | $653405.64    | 0.03%             | 2031-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                           | Full House Resorts Inc                                                            | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |       97000 | PA      | $84268.75     | 0.00%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| GEO GROUP INC/THE                                                | GEO Group Inc/The                                                                 | CUSIP: 36162JAG1<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105180.30    | 0.00%             | 2029-04-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| GCAT                                                             | GCAT 2021-NQM3 Trust                                                              | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $182261.90    | 0.01%             | 2066-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                 | GGAM Finance Ltd                                                                  | CUSIP: 36170JAA4<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      100000 | PA      | $105896.90    | 0.00%             | 2028-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      197742 | PA      | $191878.43    | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36176Q4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40502 | PA      | $37936.71     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36177MZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       73738 | PA      | $68948.86     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36177PPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      115280 | PA      | $107896.71    | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36177Q3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51190 | PA      | $47931.35     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36177Q6Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       64787 | PA      | $60658.93     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36177U6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19571 | PA      | $18953.80     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36177YDZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      150190 | PA      | $140073.16    | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36178D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95784 | PA      | $89505.77     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36178EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74089 | PA      | $69098.97     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36178EK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21874 | PA      | $20496.92     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36178N7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67255 | PA      | $62806.20     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36178WQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49471 | PA      | $46168.20     | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      258444 | PA      | $242152.67    | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36179DLP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      108481 | PA      | $101501.20    | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36179F7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      120354 | PA      | $112245.11    | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       97898 | PA      | $100367.90    | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      592287 | PA      | $555957.35    | 0.02%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      555544 | PA      | $524181.05    | 0.02%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      304360 | PA      | $287177.81    | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23649 | PA      | $22299.86     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       50932 | PA      | $49366.54     | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21353 | PA      | $19911.87     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30015 | PA      | $27247.59     | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31769 | PA      | $29641.45     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      129700 | PA      | $120894.88    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23303 | PA      | $21709.76     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31700 | PA      | $29533.20     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59729 | PA      | $55646.32     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22215 | PA      | $20696.42     | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      331838 | PA      | $308759.99    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67011 | PA      | $62430.76     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      127339 | PA      | $122752.54    | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      274708 | PA      | $255932.05    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      104418 | PA      | $97215.77     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      325860 | PA      | $314064.20    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      608684 | PA      | $553577.34    | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      370602 | PA      | $356852.09    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      184316 | PA      | $177444.67    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25321 | PA      | $23491.60     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10393 | PA      | $9641.98      | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179UN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15127 | PA      | $13779.14     | 0.00%             | 2049-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      752598 | PA      | $745494.67    | 0.03%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      163695 | PA      | $162777.69    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      626774 | PA      | $619111.86    | 0.02%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8607405 | PA      | $7131093.95   | 0.28%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    17033571 | PA      | $15381277.78  | 0.60%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      644670 | PA      | $534071.66    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18275 | PA      | $18063.13     | 0.00%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      242210 | PA      | $218067.24    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      368027 | PA      | $352302.70    | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5769424 | PA      | $4781711.42   | 0.19%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      740037 | PA      | $613132.05    | 0.02%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4123355 | PA      | $3558566.17   | 0.14%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7338063 | PA      | $6758875.41   | 0.26%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3196211 | PA      | $2758413.33   | 0.11%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4955699 | PA      | $4277175.22   | 0.17%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2941721 | PA      | $2538799.04   | 0.10%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2012527 | PA      | $1736866.52   | 0.07%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2134723 | PA      | $1843974.25   | 0.07%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7399972 | PA      | $7412026.71   | 0.29%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      355233 | PA      | $306906.21    | 0.01%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4058834 | PA      | $3866045.07   | 0.15%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1495478 | PA      | $1291959.08   | 0.05%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44642 | PA      | $44361.11     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      192463 | PA      | $189770.55    | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180DPF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      104625 | PA      | $97577.39     | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180DQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      103920 | PA      | $96918.53     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180DQE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       90122 | PA      | $84050.90     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      137485 | PA      | $128305.48    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      215249 | PA      | $200877.10    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180DVB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43278 | PA      | $40387.76     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180E4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      131074 | PA      | $122245.08    | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180E5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      168707 | PA      | $157496.99    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180KJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      182667 | PA      | $170471.44    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36180UFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       87178 | PA      | $81411.17     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36181D7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      266051 | PA      | $248287.92    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36181FEB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      149575 | PA      | $139728.90    | 0.01%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      442132 | PA      | $413576.69    | 0.02%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36181GFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      136620 | PA      | $127914.37    | 0.01%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46144 | PA      | $44322.26     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71566 | PA      | $68833.70     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                          | GLP Capital LP / GLP Financing II Inc                                             | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |      984000 | PA      | $1009625.33   | 0.04%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                          | GLP Capital LP / GLP Financing II Inc                                             | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |      545000 | PA      | $554486.05    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                          | GLP Capital LP / GLP Financing II Inc                                             | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |     1251000 | PA      | $1198241.08   | 0.05%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                          | GLP Capital LP / GLP Financing II Inc                                             | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              |  | US        |     1483000 | PA      | $1341757.45   | 0.05%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                          | GLP Capital LP / GLP Financing II Inc                                             | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              |  | US        |     2320000 | PA      | $2328403.04   | 0.09%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29041 | PA      | $27573.52     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       88442 | PA      | $81631.30     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      120096 | PA      | $110700.06    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       92524 | PA      | $85170.19     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      238255 | PA      | $219023.77    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      145149 | PA      | $133343.84    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60197 | PA      | $59542.36     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68889 | PA      | $68140.30     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47600 | PA      | $47155.89     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       81581 | PA      | $78465.75     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36200MHW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5854 | PA      | $6023.49      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      183266 | PA      | $185631.89    | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10825 | PA      | $10566.65     | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       81477 | PA      | $79615.81     | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68873 | PA      | $71117.89     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19066 | PA      | $19203.32     | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23126 | PA      | $23292.96     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19053 | PA      | $19190.81     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1191 | PA      | $1199.12      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21404 | PA      | $20823.74     | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      247203 | PA      | $240503.49    | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      530423 | PA      | $516006.52    | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      138721 | PA      | $135624.18    | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8299 | PA      | $8071.82      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                                | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      472328 | PA      | $459453.68    | 0.02%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      125100 | PA      | $128679.29    | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 3620A9TU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93343 | PA      | $95182.47     | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 3620ARHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5545 | PA      | $5651.95      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96681 | PA      | $90436.76     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      353658 | PA      | $325983.68    | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2383586 | PA      | $2373539.78   | 0.09%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA Home Equity Trust 2006-18                                                    | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153224 | PA      | $41026.38     | 0.00%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                 | GWT 2024-WLF2                                                                     | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1862000 | PA      | $1867184.55   | 0.07%             | 2041-05-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72311 | PA      | $74310.56     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae I Pool                                                                 | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      247379 | PA      | $254403.56    | 0.01%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GT Loan Financing Ltd                                            | GT Loan Financing I Ltd 2013-1                                                    | CUSIP: 36248MAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1390000 | PA      | $1390278.00   | 0.05%             | 2039-04-28      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                     | GS Mortgage Securities Corp Trust 2017-GPTX                                       | CUSIP: 36257CAA5<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |      602464 | PA      | $528351.98    | 0.02%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                              | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                 | CUSIP: 36257LAT4<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |      232941 | PA      | $213163.92    | 0.01%             | 2049-11-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                     | GS Mortgage Securities Trust 2019-GSA1                                            | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $54878.30     | 0.00%             | 2052-11-10      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                     | GS Mortgage Securities Trust 2020-GSA2                                            | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2929374 | PA      | $179247.55    | 0.01%             | 2053-12-12      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust 2007-4F                                                   | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      319549 | PA      | $198795.69    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                     | GS Mortgage Securities Corp Trust 2023-FUN                                        | CUSIP: 36267CAA3<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |      130000 | PA      | $130482.29    | 0.01%             | 2028-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                              | GS Mortgage-Backed Securities Trust 2025-NQM5                                     | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |      482402 | PA      | $482869.51    | 0.02%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                     | GS Mortgage Securities Corp Trust 2025-800D                                       | CUSIP: 36273XAA9<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |      877000 | PA      | $878172.37    | 0.03%             | 2041-11-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                              | GS Mortgage-Backed Securities Trust 2025-DSC2                                     | CUSIP: 36275JAC4<br>LEI: 254900Y4XCLF0D6VBG48 | Long             | ABS-MBS          | CORP              | US        |      263504 | PA      | $263990.50    | 0.01%             | 2066-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                                         | Gaea Mortgage Loan Trust 2025-A                                                   | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      222162 | PA      | $217549.64    | 0.01%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                              | GS Mortgage-Backed Securities Corp Trust 2025-NQM6                                | CUSIP: 362933AA1<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |      898562 | PA      | $897927.70    | 0.04%             | 2029-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                   | Galaxy XXII CLO Ltd                                                               | CUSIP: 36320TBD4<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |     1830000 | PA      | $1830018.30   | 0.07%             | 2034-04-16      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                                      | Gap Inc/The                                                                       | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94746.31     | 0.00%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                                             | Garda World Security Corp                                                         | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $98069.20     | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                                             | Garda World Security Corp                                                         | CUSIP: 36485MAP4<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $101861.30    | 0.00%             | 2032-11-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                      | Gartner Inc                                                                       | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     5550000 | PA      | $5532050.19   | 0.22%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                      | Gartner Inc                                                                       | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     2493000 | PA      | $2364118.81   | 0.09%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                      | Gartner Inc                                                                       | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     1505000 | PA      | $1450660.53   | 0.06%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                           | General Motors Financial Co Inc                                                   | CUSIP: 37045XFK7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1106479.29   | 0.04%             | 2035-07-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                            | Genesis Energy LP / Genesis Energy Finance Corp                                   | CUSIP: 37185LAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $105232.10    | 0.00%             | 2030-04-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                            | Genesis Energy LP / Genesis Energy Finance Corp                                   | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104241.00    | 0.00%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| GEORGIA POWER CO                                                 | Georgia Power Co                                                                  | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      747000 | PA      | $509070.96    | 0.02%             | 2051-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                 | Georgia Power Co                                                                  | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      841000 | PA      | $857449.73    | 0.03%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| GEORGIA POWER CO                                                 | Georgia Power Co                                                                  | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      421000 | PA      | $431943.36    | 0.02%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                | Ghana Government International Bond                                               | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      121000 | PA      | $110546.40    | 0.00%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                             | Glencore Funding LLC                                                              | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      138000 | PA      | $126447.29    | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                             | Glencore Funding LLC                                                              | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      473000 | PA      | $426403.31    | 0.02%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                             | Glencore Funding LLC                                                              | CUSIP: 378272BL1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      140000 | PA      | $147417.29    | 0.01%             | 2033-05-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| GLENCORE FUNDING LLC                                             | Glencore Funding LLC                                                              | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1383000 | PA      | $1488368.78   | 0.06%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| GoldenTree Loan Management US CLO1, LTD                          | Goldentree Loan Management US Clo 11 Ltd                                          | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |      910000 | PA      | $909544.09    | 0.04%             | 2034-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD                          | GoldenTree Loan Management US CLO 25 Ltd                                          | CUSIP: 38139XAC5<br>LEI: 254900NWYEI4MM854T50 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250596.50    | 0.01%             | 2037-04-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      117000 | PA      | $124076.90    | 0.00%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      522000 | PA      | $545344.84    | 0.02%             | 2030-04-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      487000 | PA      | $498986.87    | 0.02%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1244000 | PA      | $1260972.91   | 0.05%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1916000 | PA      | $1978549.53   | 0.08%             | 2031-01-28      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2451000 | PA      | $2478994.91   | 0.10%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1625000 | PA      | $1678377.07   | 0.07%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      941000 | PA      | $938757.25    | 0.04%             | 2031-10-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2264000 | PA      | $2268710.39   | 0.09%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      557000 | PA      | $523396.30    | 0.02%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      599000 | PA      | $532133.77    | 0.02%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      703000 | PA      | $641004.52    | 0.03%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2002000 | PA      | $1966922.56   | 0.08%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      994000 | PA      | $977189.01    | 0.04%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      136000 | PA      | $133878.80    | 0.01%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1189000 | PA      | $1095337.20   | 0.04%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                       | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1353000 | PA      | $1362493.04   | 0.05%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust                      | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                             | CUSIP: 38149XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      231282 | PA      | $223505.15    | 0.01%             | 2051-06-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                  | Golub Capital Partners CLO 53B Ltd                                                | CUSIP: 38177YAL6<br>LEI: 254900DPK2EA9C8DGV68 | Long             | ABS-CBDO         | CORP              | KY        |     1090000 | PA      | $1088912.18   | 0.04%             | 2034-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                  | Golub Capital Partners CLO 50B-R Ltd                                              | CUSIP: 38178DAU1<br>LEI: 254900N3E7Y6I5DRGW52 | Long             | ABS-CBDO         | CORP              | JE        |      340000 | PA      | $339819.80    | 0.01%             | 2035-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                   | Golub Capital Partners Clo 44M Ltd                                                | CUSIP: 38180NAA9<br>LEI: 254900KERZS5XFEN4I27 | Long             | ABS-CBDO         | CORP              | KY        |     1950000 | PA      | $1950746.85   | 0.08%             | 2038-10-21      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                  | Golub Capital Partners CLO 43B Ltd                                                | CUSIP: 38180PAA4<br>LEI: 2549006E2S3MDN9M6Q69 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250500.14    | 0.01%             | 2037-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                  | Golub Capital Partners CLO 77 B Ltd                                               | CUSIP: 38180QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      298333 | PA      | $298103.58    | 0.01%             | 2038-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                   | Golub Capital Partners CLO 17 Ltd                                                 | CUSIP: 38180VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1080000 | PA      | $1080087.48   | 0.04%             | 2039-02-09      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Golub Capital Private Credit Fund CLO                            | Golub Capital Private Credit Fund CLO 2                                           | CUSIP: 38181WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1180000 | PA      | $1177367.42   | 0.05%             | 2039-10-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                  | Golub Capital Partners CLO 19B-R3 Ltd                                             | CUSIP: 38181YAA4<br>LEI: 2549003VC5PGFRGCQU51 | Long             | ABS-CBDO         | CORP              | KY        |      640000 | PA      | $639959.68    | 0.03%             | 2036-10-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                   | Golub Capital Partners CLO 78M                                                    | CUSIP: 381934AC2<br>LEI: 254900PSE4IZIZUH7U62 | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250027.00    | 0.01%             | 2039-04-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                        | GoodLeap Home Improvement Solutions Trust 2024-1                                  | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      197761 | PA      | $200305.23    | 0.01%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 52(B)-R, Ltd.                         | Golub Capital Partners CLO 52 B R Ltd                                             | CUSIP: 381945AC8<br>LEI: 254900GLBB9HMWF4NZ09 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250088.50    | 0.01%             | 2037-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                        | GoodLeap Home Improvement Solutions Trust 2025-3                                  | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1961339 | PA      | $1966192.53   | 0.08%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER                                           | Goodyear Tire & Rubber Co/The                                                     | CUSIP: 382550BK6<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94719.81     | 0.00%             | 2033-04-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                          | CUSIP: 38382QQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1291921 | PA      | $214727.25    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                          | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1104128 | PA      | $185440.97    | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                          | CUSIP: 38382TBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1492537 | PA      | $247579.15    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                          | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1282718 | PA      | $217649.18    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                          | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      800906 | PA      | $130141.42    | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                          | CUSIP: 38383R2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      996524 | PA      | $161878.21    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                          | CUSIP: 38385BZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      760824 | PA      | $764136.11    | 0.03%             | 2055-01-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GRAN TIERRA ENERGY INC                                           | Gran Tierra Energy Inc                                                            | CUSIP: 38500TAC5<br>LEI: 549300IH2S17MAIUCM32 | Long             | DBT              | CORP              | US        |      459000 | PA      | $322869.78    | 0.01%             | 2029-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: —       |
| GRANITE RIDGE RESOURCES                                          | Granite Ridge Resources Inc                                                       | CUSIP: 387432AA5<br>LEI: 254900CAHJQKOQ1YZC67 | Long             | DBT              | CORP              | US        |     1123000 | PA      | $1085390.73   | 0.04%             | 2029-11-05      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                                         | Graphic Packaging International LLC                                               | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101867.20    | 0.00%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| GRAY MEDIA INC                                                   | Gray Media Inc                                                                    | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      200000 | PA      | $207553.67    | 0.01%             | 2032-07-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd                                              | Great Lakes CLO IX Ltd                                                            | CUSIP: 390922AC6<br>LEI: 254900GD0BIHJ4BVAE98 | Long             | ABS-CBDO         | CORP              | KY        |      560000 | PA      | $560247.52    | 0.02%             | 2039-01-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                           | Conseco Finance Corp                                                              | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      319642 | PA      | $83131.39     | 0.00%             | 2030-03-01      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                           | Conseco Finance Corp                                                              | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      342311 | PA      | $85168.69     | 0.00%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                           | Conseco Finance Corp                                                              | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      769701 | PA      | $783585.59    | 0.03%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housing                                  | Greenpoint Manufactured Housing                                                   | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      210871 | PA      | $211212.75    | 0.01%             | 2029-12-15      | Variable      | 9.23%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                | GreenPoint Mortgage Funding Trust 2006-AR2                                        | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79013 | PA      | $72990.37     | 0.00%             | 2036-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                           | GreenSky Home Improvement Issuer Trust 2025-3                                     | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      738000 | PA      | $739714.23    | 0.03%             | 2060-12-27      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                                           | Group 1 Automotive Inc                                                            | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98022.07     | 0.00%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                           | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1946000 | PA      | $1948417.32   | 0.08%             | 2037-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                           | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1203000 | PA      | $1205974.90   | 0.05%             | 2037-05-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                           | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      815000 | PA      | $819034.09    | 0.03%             | 2037-05-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      149000 | PA      | $140806.24    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       37000 | PA      | $38557.62     | 0.00%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      128000 | PA      | $127565.97    | 0.00%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      921000 | PA      | $624256.96    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      629000 | PA      | $513679.70    | 0.02%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2355000 | PA      | $2457911.07   | 0.10%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      233000 | PA      | $243000.30    | 0.01%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      817000 | PA      | $809325.54    | 0.03%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2646000 | PA      | $2777265.36   | 0.11%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      866000 | PA      | $882574.43    | 0.03%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2975000 | PA      | $2948057.66   | 0.12%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                          | HCA Inc                                                                           | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      824000 | PA      | $847933.08    | 0.03%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust 2024-DPLO                         | HLTN Commercial Mortgage Trust 2024-DPLO                                          | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2918633 | PA      | $2924046.77   | 0.11%             | 2041-06-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                    | HTL Commercial Mortgage Trust 2024-T53                                            | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3379000 | PA      | $3486134.91   | 0.14%             | 2039-05-10      | Variable      | 10.26%                | No            |                  2 | On Loan: No      |
| Spectacle Gary Holdings LLC                                      | Spectacle Gary Holdings LLC 2021 Term Loan B                                      | CUSIP: 40443NAC4<br>LEI: 549300V1ELIRK8JURN28 | Long             | LON              | CORP              | US        |     1196456 | PA      | $1166544.13   | 0.05%             | 2028-12-11      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                        | HIH Trust 2024-61P                                                                | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      177346 | PA      | $178062.62    | 0.01%             | 2041-10-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                   | HarborView Mortgage Loan Trust 2005-1                                             | CUSIP: 41161PLC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128197 | PA      | $62006.58     | 0.00%             | 2035-03-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                   | HarborView Mortgage Loan Trust 2006-12                                            | CUSIP: 41162DAA7<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     1014275 | PA      | $825751.97    | 0.03%             | 2036-12-19      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                | Herc Holdings Inc                                                                 | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106038.41    | 0.00%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                        | Hess Corp                                                                         | CUSIP: 42809HAC1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      287000 | PA      | $309716.64    | 0.01%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                                         | Hess Midstream Operations LP                                                      | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $101877.40    | 0.00%             | 2028-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                                         | Hilcorp Energy I LP / Hilcorp Finance Co                                          | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $102105.50    | 0.00%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                                         | Hilcorp Energy I LP / Hilcorp Finance Co                                          | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $95037.21     | 0.00%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                         | Hilton Domestic Operating Co Inc                                                  | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97130.20     | 0.00%             | 2029-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                         | Hilton Domestic Operating Co Inc                                                  | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95737.97     | 0.00%             | 2031-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC LLC/INC                                         | Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc         | CUSIP: 43284MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $93352.05     | 0.00%             | 2031-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| HOLOGIC INC                                                      | Hologic Inc                                                                       | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98557.10     | 0.00%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                   | Home Partners of America 2021-2 Trust                                             | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1358646 | PA      | $1331654.95   | 0.05%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited                  | HOMES 2025-NQM5 Trust                                                             | CUSIP: 43762CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      755238 | PA      | $756003.74    | 0.03%             | 2070-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited                  | HOMES 2025-NQM5 Trust                                                             | CUSIP: 43762CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171000 | PA      | $172144.52    | 0.01%             | 2070-09-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                         | Service Properties Trust                                                          | CUSIP: 44106MAX0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      100000 | PA      | $94398.58     | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                         | Service Properties Trust                                                          | CUSIP: 44106MAY8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      300000 | PA      | $254198.91    | 0.01%             | 2030-02-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                               | Howard Hughes Corp/The                                                            | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      416000 | PA      | $417550.02    | 0.02%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                               | Howard Hughes Corp/The                                                            | CUSIP: 44267DAF4<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95209.29     | 0.00%             | 2031-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| HOWDEN UK REFINANCE / US                                         | Howden UK Refinance PLC / Howden UK Refinance 2 PLC / Howden US Refinance LLC     | CUSIP: 44287GAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      200000 | PA      | $205960.81    | 0.01%             | 2031-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HR OTTAWA LP                                                     | HR Ottawa LP                                                                      | CUSIP: 44331MAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     3701285 | PA      | $3639687.78   | 0.14%             | 2031-03-31      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Hudson Yards                                                     | Hudson Yards 2019-55HY Mortgage Trust                                             | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      662050 | PA      | $569780.03    | 0.02%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Kestrel Acquisition LLC                                          | Kestrel Acquisition LLC 2025 Term Loan                                            | CUSIP: 44579UAD4<br>LEI: 549300ER0JUHJLPPMH08 | Long             | LON              | CORP              | US        |      196508 | PA      | $197039.64    | 0.01%             | 2031-11-06      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                     | Huntington Bank Auto Credit-Linked Notes Series 2025-2                            | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      314337 | PA      | $314780.20    | 0.01%             | 2033-09-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                | Iliad Holding SAS                                                                 | CUSIP: 449691AF1<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $215249.80    | 0.01%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| INEOS FINANCE PLC                                                | INEOS Finance PLC                                                                 | CUSIP: 44984WAJ6<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $173736.14    | 0.01%             | 2029-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| INT Commercial Mortgage Trust 2025-PLAZA                         | INT Commercial Mortgage Trust 2025-PLAZA                                          | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      434000 | PA      | $435236.55    | 0.02%             | 2037-11-05      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| ITG Communications LLC                                           | ITG Communications LLC Term Loan B                                                | CUSIP: 45045PAQ9<br>LEI: 254900KEJHK1L9G5Y190 | Long             | LON              | CORP              | US        |      680000 | PA      | $659600.00    | 0.03%             | 2031-07-09      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| ITT HOLDINGS LLC                                                 | ITT Holdings LLC                                                                  | CUSIP: 45074JAA2<br>LEI: 549300TH2PHOLK31LB42 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95965.15     | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | iHeartCommunications Inc                                                          | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96311.00     | 0.00%             | 2029-05-01      | Fixed         | 9.12%                 | No            |                  2 | On Loan: —       |
| State of Illinois                                                | ILLINOIS ST                                                                       | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     2626373 | PA      | $2691689.62   | 0.11%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                       | Impac Secured Assets Trust 2006-3                                                 | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      441407 | PA      | $407916.81    | 0.02%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                                | Imola Merger Corp                                                                 | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $98701.98     | 0.00%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                          | Crescent Energy Finance LLC                                                       | CUSIP: 45344LAD5<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96952.21     | 0.00%             | 2032-04-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                          | Crescent Energy Finance LLC                                                       | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |       56000 | PA      | $53141.30     | 0.00%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds                         | Indonesia Government International Bonds                                          | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     2172000 | PA      | $2051905.78   | 0.08%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds                         | Indonesia Government International Bonds                                          | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     1965000 | PA      | $1314210.96   | 0.05%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset-Backed Trust                      | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A                   | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88781 | PA      | $86056.59     | 0.00%             | 2034-07-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2007-AR19                                        | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      596462 | PA      | $385243.54    | 0.02%             | 2037-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| ION PLAT FIN US/SARL                                             | ION Platform Finance US Inc / ION Platform Finance SARL                           | CUSIP: 46206AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $202539.64    | 0.01%             | 2029-05-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: —       |
| IQVIA INC                                                        | IQVIA Inc                                                                         | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104491.81    | 0.00%             | 2032-06-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                | Iron Mountain Inc                                                                 | CUSIP: 46284VAC5<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |      200000 | PA      | $199796.80    | 0.01%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                | Iron Mountain Inc                                                                 | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |      100000 | PA      | $98790.48     | 0.00%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Irwin Home Equity                                                | Irwin Home Equity Loan Trust 2006-3                                               | CUSIP: 464125AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5602 | PA      | $5606.11      | 0.00%             | 2037-09-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                     | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5300000 | PA      | $16421.52     | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| J&J Ventures Gaming, LLC                                         | J&J Ventures Gaming LLC 2025 Repriced Term Loan B                                 | CUSIP: 46604BAH1<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |      310994 | PA      | $309196.62    | 0.01%             | 2030-04-26      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                               | JP Morgan Alternative Loan Trust 2007-A2                                          | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99991 | PA      | $87870.37     | 0.00%             | 2037-05-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                               | JP Morgan Alternative Loan Trust 2007-A1                                          | CUSIP: 466287AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      386140 | PA      | $324242.55    | 0.01%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-S3                                                  | CUSIP: 46629AAM3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      182325 | PA      | $59217.20     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                   | CUSIP: 466317AQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      767388 | PA      | $735573.82    | 0.03%             | 2037-04-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                     | CUSIP: 466330AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      787000 | PA      | $786996.77    | 0.03%             | 2038-04-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                     | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      959000 | PA      | $958995.01    | 0.04%             | 2038-04-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                     | CUSIP: 466330AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $449997.26    | 0.02%             | 2038-04-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                    | CUSIP: 46639YAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3062090 | PA      | $7917.95      | 0.00%             | 2046-04-15      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                       | JPMBB Commercial Mortgage Securities Trust 2014-C22                               | CUSIP: 46642NBF2<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |       64709 | PA      | $0.65         | 0.00%             | 2047-09-15      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                       | JPMBB Commercial Mortgage Securities Trust 2015-C33                               | CUSIP: 46645JBG6<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $136899.00    | 0.01%             | 2048-12-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                       | JPMDB Commercial Mortgage Securities Trust 2016-C4                                | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2067000 | PA      | $9200.63      | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5428000 | PA      | $5183226.73   | 0.20%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      185000 | PA      | $187908.58    | 0.01%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3654000 | PA      | $3744253.84   | 0.15%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1474000 | PA      | $1503321.59   | 0.06%             | 2028-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     8597000 | PA      | $8825992.79   | 0.35%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      301000 | PA      | $310536.28    | 0.01%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2302000 | PA      | $2336291.49   | 0.09%             | 2028-07-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6099000 | PA      | $6158772.64   | 0.24%             | 2028-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      481000 | PA      | $489941.78    | 0.02%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6644000 | PA      | $6867195.88   | 0.27%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                               | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2434000 | PA      | $2543818.75   | 0.10%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                   | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116290 | PA      | $97824.99     | 0.00%             | 2035-06-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                   | CUSIP: 46651MAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      422615 | PA      | $324357.26    | 0.01%             | 2036-07-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAF2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     3886563 | PA      | $111830.78    | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAH8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     3417358 | PA      | $3091186.52   | 0.12%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAJ4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     2190429 | PA      | $39591.36     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAL9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     1743000 | PA      | $1200327.41   | 0.05%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAM7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     1117000 | PA      | $46914.45     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAP0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      783923 | PA      | $648512.64    | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAQ8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      423422 | PA      | $12183.42     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAR6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     7616756 | PA      | $116089.26    | 0.00%             | 2052-02-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAS4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      502706 | PA      | $436259.71    | 0.02%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAT2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      117597 | PA      | $100810.17    | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAU9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      164277 | PA      | $139422.84    | 0.01%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAV7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       87076 | PA      | $73286.14     | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAW5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       35908 | PA      | $29802.73     | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | J.P. Morgan Mortgage Trust 2021-INV7                                              | CUSIP: 46654CAY1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      117987 | PA      | $61737.64     | 0.00%             | 2052-02-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2024-MRCO                           | JW Commercial Mortgage Trust 2024-MRCO                                            | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1410000 | PA      | $1412178.73   | 0.06%             | 2039-06-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2024-MRCO                           | JW Commercial Mortgage Trust 2024-MRCO                                            | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      310000 | PA      | $310774.10    | 0.01%             | 2039-06-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                          | Jane Street Group / JSG Finance Inc                                               | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $105076.63    | 0.00%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                          | Jane Street Group / JSG Finance Inc                                               | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $101756.00    | 0.00%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| JEFFERSON CAPITAL HOLDIN                                         | Jefferson Capital Holdings LLC                                                    | CUSIP: 472481AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $105170.70    | 0.00%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                          | JetBlue Airways Corp / JetBlue Loyalty LP                                         | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      200000 | PA      | $201492.24    | 0.01%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| JETBLUE 2019-1 CLASS AA                                          | JetBlue 2019-1 Class AA Pass Through Trust                                        | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       86348 | PA      | $77461.80     | 0.00%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                            | KKR CLO 30 Ltd                                                                    | CUSIP: 48250EBE4<br>LEI: 549300NB16RGUJOZXI16 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250429.25    | 0.01%             | 2037-04-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                            | KKR CLO 21 Ltd                                                                    | CUSIP: 48252KAA7<br>LEI: 5493008X0MRR4A6VYF15 | Long             | ABS-CBDO         | CORP              | KY        |       55190 | PA      | $55197.07     | 0.00%             | 2031-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                            | KKR CLO 26 Ltd                                                                    | CUSIP: 48253HAW5<br>LEI: 549300S5YSR4S7FFS332 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249768.75    | 0.01%             | 2034-10-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                            | KKR Clo 34 Ltd                                                                    | CUSIP: 48253UAJ5<br>LEI: 254900DSRKUNUNRNUG13 | Long             | ABS-CBDO         | CORP              | KY        |      540000 | PA      | $539474.04    | 0.02%             | 2034-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                            | KKR CLO 28 LTD                                                                    | CUSIP: 48253WAW2<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280243.88    | 0.01%             | 2035-02-09      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                            | KKR CLO 54 LTD                                                                    | CUSIP: 48256VAA9<br>LEI: 254900EAKW6RIW3QK367 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250230.75    | 0.01%             | 2038-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| KEHE DIST/FIN / NEXTWAVE                                         | KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc             | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $104969.89    | 0.00%             | 2029-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                                      | KeyBank NA/Cleveland OH                                                           | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |     1660000 | PA      | $1676627.41   | 0.07%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                              | Kinetik Holdings LP                                                               | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102967.70    | 0.00%             | 2028-12-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Knollwood CDO Ltd                                                | Knollwood CDO Ltd                                                                 | CUSIP: 499169AD2<br>LEI: 549300E24U6UCPJEUI87 | Long             | ABS-CBDO         | CORP              | KY        |     1471381 | PA      | $147.14       | 0.00%             | 2039-01-10      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                                               | Kohl's Corp                                                                       | CUSIP: 500255AX2<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |      100000 | PA      | $87962.58     | 0.00%             | 2031-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| KONDOR FINANCE PLC (NAK)                                         | NAK Naftogaz Ukraine via Kondor Finance PLC                                       | CUSIP: 50050MAB1<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |      442505 | PA      | $341775.66    | 0.01%             | 2028-11-08      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| KSL Resorts                                                      | KSL Commercial Mortgage Trust 2024-HT2                                            | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6183709 | PA      | $6181777.47   | 0.24%             | 2039-12-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                    | LGI Homes Inc                                                                     | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      232000 | PA      | $241991.78    | 0.01%             | 2028-12-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                    | LGI Homes Inc                                                                     | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      353000 | PA      | $337422.86    | 0.01%             | 2032-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| LCM INVESTMENTS HOLDINGS                                         | LCM Investments Holdings II LLC                                                   | CUSIP: 50190EAC8<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105769.35    | 0.00%             | 2031-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                              | LCM 29 Ltd                                                                        | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      195517 | PA      | $195574.33    | 0.01%             | 2031-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                              | LCM 31 Ltd                                                                        | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $390195.00    | 0.02%             | 2034-07-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                              | LCM 34 Ltd                                                                        | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270167.13    | 0.01%             | 2034-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                              | LCM 34 Ltd                                                                        | CUSIP: 50203CAQ6<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $498963.50    | 0.02%             | 2034-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| LMRE 2025-SFR1 Trust Issuing Entity                              | LMRE 2025 SFR1 Trust                                                              | CUSIP: 50208WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      440000 | PA      | $431208.05    | 0.02%             | 2042-12-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                                        | LQR Trust 2025-CALI                                                               | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260000 | PA      | $259999.32    | 0.01%             | 2043-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                                        | LQR Trust 2025-CALI                                                               | CUSIP: 50216WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      772000 | PA      | $771995.45    | 0.03%             | 2043-01-15      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                                | L3Harris Technologies Inc                                                         | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      294000 | PA      | $305881.42    | 0.01%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VITAL ENERGY INC                                                 | Vital Energy Inc                                                                  | CUSIP: 516806AK2<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98528.40     | 0.00%             | 2032-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| LATAM AIRLINES GROUP SA                                          | Latam Airlines Group SA                                                           | CUSIP: 51817RAE6<br>LEI: 549300HX3UUDPEFTG707 | Long             | DBT              | CORP              | CL        |      242000 | PA      | $254083.66    | 0.01%             | 2031-01-07      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Latch Inc                                                        | Latch Inc                                                                         | CUSIP: 51818V114<br>LEI: N/A                  | N/A              | DE               |  | US        |        6439 | NS      | $0.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                      | Legacy Mortgage Asset Trust 2019-SL2                                              | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      425957 | PA      | $414147.91    | 0.02%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                      | Legacy Mortgage Asset Trust 2021-GS2                                              | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2172019 | PA      | $2172762.64   | 0.09%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract                         | Lehman ABS Manufactured Housing Contract Trust 2001-B                             | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200593 | PA      | $201959.95    | 0.01%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial                         | Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2                    | CUSIP: 52520VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130412 | PA      | $124026.64    | 0.00%             | 2036-09-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                                   | Lehman ABS Mortgage Loan Trust 2007-1                                             | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      114615 | PA      | $76489.54     | 0.00%             | 2037-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                           | Lendmark Funding Trust 2024-2                                                     | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100290.33    | 0.00%             | 2034-02-21      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                           | Lendmark Funding Trust 2025-3                                                     | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1193000 | PA      | $1192642.46   | 0.05%             | 2035-05-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                           | Lendmark Funding Trust 2025-3                                                     | CUSIP: 525951AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      197000 | PA      | $196606.85    | 0.01%             | 2035-05-21      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                           | Lendmark Funding Trust 2025-3                                                     | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99557.86     | 0.00%             | 2035-05-21      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| LESSEN INC                                                       | LESSEN INC                                                                        | CUSIP: 527083AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1853537 | PA      | $1442237.14   | 0.06%             | 2028-01-05      | Variable      | 12.80%                | Yes           |                  3 | On Loan: No      |
| LEVEL 3 FINANCING INC                                            | Level 3 Financing Inc                                                             | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      200000 | PA      | $206114.39    | 0.01%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust                                 | LEX 2024-BBG Mortgage Trust                                                       | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1711000 | PA      | $1721089.94   | 0.07%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                          | Light & Wonder International Inc                                                  | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104333.00    | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                             | LifePoint Health Inc                                                              | CUSIP: 53219LAY5<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $108546.40    | 0.00%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                                | Lithia Motors Inc                                                                 | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96692.69     | 0.00%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                                         | Live Nation Entertainment Inc                                                     | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100203.70    | 0.00%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                          | Loanpal Solar Loan 2020-2 Ltd                                                     | CUSIP: 53948KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      701256 | PA      | $597392.84    | 0.02%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                          | Loanpal Solar Loan 2021-1 Ltd                                                     | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      650614 | PA      | $548768.89    | 0.02%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                   | Long Beach Mortgage Loan Trust 2006-5                                             | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      433945 | PA      | $203996.47    | 0.01%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                   | Long Beach Mortgage Loan Trust 2006-7                                             | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      478771 | PA      | $189306.33    | 0.01%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District/CA                        | LOS ANGELES CA CMNTY CLG DIST                                                     | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      785000 | PA      | $850635.50    | 0.03%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                                  | LSTAR Commercial Mortgage Trust 2017-5                                            | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      580879 | PA      | $3289.17      | 0.00%             | 2050-03-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Lumen Technologies Inc                                           | Lumen Technologies Inc                                                            | CUSIP: 550241103<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | EC               | CORP              | US        |       24929 | NS      | $193698.33    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                                                       | MFA 2021-NQM1 Trust                                                               | CUSIP: 55283FAE8<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |      540000 | PA      | $456319.01    | 0.02%             | 2065-04-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                               | MCR 2024-HTL Mortgage Trust                                                       | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350476 | PA      | $348654.51    | 0.01%             | 2037-02-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                 | MGM Resorts International                                                         | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103030.52    | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| M/I Homes Inc                                                    | M/I Homes Inc                                                                     | CUSIP: 55305B101<br>LEI: 5299005M71FH9CCSFB69 | Long             | EC               | CORP              | US        |        1062 | NS      | $135882.90    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MHC Commercial Mortgage Trust                                    | MHC Commercial Mortgage Trust 2021-MHC                                            | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10289 | PA      | $10289.49     | 0.00%             | 2038-04-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                    | MHC Commercial Mortgage Trust 2021-MHC                                            | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154400 | PA      | $154592.21    | 0.01%             | 2038-04-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                         | MSCI Inc                                                                          | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     1305000 | PA      | $1313609.96   | 0.05%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                                   | MSWF Commercial Mortgage Trust 2023-2                                             | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8229046 | PA      | $460882.53    | 0.02%             | 2056-12-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners Mortgage Acceptance Corp. 1                  | MAC Trust 2025-801B                                                               | CUSIP: 553918AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      593000 | PA      | $593738.29    | 0.02%             | 2040-10-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                         | Madison Park Funding XIX Ltd                                                      | CUSIP: 55819QBJ5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |     1094000 | PA      | $1093726.50   | 0.04%             | 2037-01-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                         | Madison Park Funding XXX LTD                                                      | CUSIP: 55821TAQ0<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250462.00    | 0.01%             | 2037-07-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                         | Madison Park Funding LXVII Ltd                                                    | CUSIP: 55821YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      640000 | PA      | $641580.80    | 0.03%             | 2037-04-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                         | Madison Park Funding XL-R Ltd                                                     | CUSIP: 55823RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270701.46    | 0.01%             | 2038-10-16      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | Warnermedia Holdings Inc                                                          | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    15421000 | PA      | $15317247.51  | 0.60%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| MAGNERA CORP                                                     | Magnera Corp                                                                      | CUSIP: 55939AAA5<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98166.00     | 0.00%             | 2031-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Mariner Finance Issuance Trust                                   | Mariner Finance issuance Trust 2024-B                                             | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      183000 | PA      | $187387.15    | 0.01%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                   | Mariner Finance Issuance Trust 2021-B                                             | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $376512.72    | 0.01%             | 2036-11-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                   | Mariner Finance Issuance Trust 2025-B                                             | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1026000 | PA      | $1029285.97   | 0.04%             | 2038-11-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                     | MASTR Resecuritization Trust 2008-3                                               | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      202353 | PA      | $76166.20     | 0.00%             | 2037-08-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | Mastr Asset Backed Securities Trust 2007-HE1                                      | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      621846 | PA      | $538190.67    | 0.02%             | 2037-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | Mastr Asset Backed Securities Trust 2006-AM2                                      | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      276504 | PA      | $261473.64    | 0.01%             | 2036-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                                             | Matador Resources Co                                                              | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100133.00    | 0.00%             | 2033-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                           | Match Group Holdings II LLC                                                       | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99105.32     | 0.00%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                               | Mattamy Group Corp                                                                | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |      337000 | PA      | $327159.47    | 0.01%             | 2030-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                                           | Mauser Packaging Solutions Holding Co                                             | CUSIP: 57763RAE7<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |      187000 | PA      | $185524.64    | 0.01%             | 2030-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                                           | Mauser Packaging Solutions Holding Co                                             | CUSIP: 57763RAF4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |      537000 | PA      | $515520.00    | 0.02%             | 2030-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| Maverick Gaming LLC                                              | Maverick Gaming LLC 2024 Second Out Term Loan                                     | CUSIP: 57770JAE6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      469331 | PA      | $269865.40    | 0.01%             | 2028-06-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MCAFEE CORP                                                      | McAfee Corp                                                                       | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |      200000 | PA      | $174415.51    | 0.01%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| MCR Mortgage Trust                                               | MCR 2024-TWA Mortgage Trust                                                       | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      520000 | PA      | $526930.40    | 0.02%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                               | MCR 2024-TWA Mortgage Trust                                                       | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      322000 | PA      | $326423.57    | 0.01%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                               | MCR 2024-TWA Mortgage Trust                                                       | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2421000 | PA      | $19827.75     | 0.00%             | 2039-06-12      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| MEDCO CYPRESS TREE PTE                                           | Medco Cypress Tree Pte Ltd                                                        | CUSIP: 58406VAA7<br>LEI: 254900NKZ2Y3YZK4WC46 | Long             | DBT              | CORP              | SG        |      250000 | PA      | $262648.75    | 0.01%             | 2030-05-19      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Medical Solutions Holdings Inc                                   | Medical Solutions Holdings Inc 2021 2nd Lien Term Loan                            | CUSIP: 58462QAM3<br>LEI: 549300JH2XHZ7TIKYR39 | Long             | LON              | CORP              | US        |      274000 | PA      | $61650.00     | 0.00%             | 2029-11-01      | Floating      | 10.94%                | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER/MEDL CO                                         | Medline Borrower LP/Medline Co-Issuer Inc                                         | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103376.13    | 0.00%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Meritage Homes Corp                                              | Meritage Homes Corp                                                               | CUSIP: 59001A102<br>LEI: 52990044W9UMFJO2FB97 | Long             | EC               | CORP              | US        |        3360 | NS      | $221088.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                           | Merrill Lynch Mortgage Investors Trust Series 2006-A3                             | CUSIP: 59023CAD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |      353077 | PA      | $225714.63    | 0.01%             | 2036-05-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                           | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                            | CUSIP: 59023NAA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |       90723 | PA      | $44799.18     | 0.00%             | 2037-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                    | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3774684 | PA      | $2769827.24   | 0.11%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                    | Methanex Corp                                                                     | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $100565.80    | 0.00%             | 2027-10-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                            | MET TRANSPRTN AUTH NY REVENUE                                                     | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      170000 | PA      | $185077.93    | 0.01%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                            | MET TRANSPRTN AUTH NY REVENUE                                                     | CUSIP: 59261A6J1<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      165000 | PA      | $184149.01    | 0.01%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                   | Microsoft Corp                                                                    | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     2375000 | PA      | $1555712.47   | 0.06%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                            | MidAmerican Energy Co                                                             | CUSIP: 595620AS4<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      369000 | PA      | $276176.39    | 0.01%             | 2048-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| MIDWEST GMNG BOR/MWG FIN                                         | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp                         | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      232000 | PA      | $228202.81    | 0.01%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Ltd.                                 | Mill City Solar Loan 2019-2 Ltd                                                   | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      758974 | PA      | $691785.57    | 0.03%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                            | Mineral Resources Ltd                                                             | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      200000 | PA      | $204260.00    | 0.01%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                            | Mineral Resources Ltd                                                             | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      156000 | PA      | $162230.35    | 0.01%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                            | Mineral Resources Ltd                                                             | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      125000 | PA      | $131187.54    | 0.01%             | 2028-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MOHEGAN TRIBAL / MS DIG                                          | Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC           | CUSIP: 60832QAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $211338.60    | 0.01%             | 2031-04-15      | Fixed         | 11.88%                | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                            | Molina Healthcare Inc                                                             | CUSIP: 60855RAJ9<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98344.55     | 0.00%             | 2028-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                                     | Morgan Stanley Resecuritization Trust 2015-R2                                     | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3202887 | PA      | $2903349.86   | 0.11%             | 2046-12-27      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2017-H1                                            | CUSIP: 61691JAA2<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     1190000 | PA      | $32258.28     | 0.00%             | 2050-06-15      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I 2017-HR2                                                 | CUSIP: 61691NAJ4<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     4067000 | PA      | $3961595.97   | 0.15%             | 2050-12-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4311000 | PA      | $4286648.28   | 0.17%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3018000 | PA      | $2681758.55   | 0.10%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1001000 | PA      | $984489.29    | 0.04%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2562000 | PA      | $2338319.49   | 0.09%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1156000 | PA      | $1190172.86   | 0.05%             | 2034-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      731000 | PA      | $774793.19    | 0.03%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2450000 | PA      | $2515087.95   | 0.10%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5547000 | PA      | $5687261.94   | 0.22%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5237000 | PA      | $5401898.62   | 0.21%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2515000 | PA      | $2514190.14   | 0.10%             | 2029-10-18      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                               | Morgan Stanley Mortgage Loan Trust 2006-12XS                                      | CUSIP: 61749EAE7<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |      264857 | PA      | $55866.71     | 0.00%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                               | Morgan Stanley Mortgage Loan Trust 2007-3XS                                       | CUSIP: 61752RAK8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |     3053148 | PA      | $1057761.99   | 0.04%             | 2047-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                        | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                       | CUSIP: 61764PAJ1<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     1810000 | PA      | $18.10        | 0.00%             | 2047-12-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2019-L2                                            | CUSIP: 61768HAX4<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     2154615 | PA      | $55839.65     | 0.00%             | 2052-03-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2019-H6                                            | CUSIP: 61769JAC5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |       97000 | PA      | $80001.16     | 0.00%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                    | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      528000 | PA      | $523405.09    | 0.02%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization Trust                             | Mortgage Loan Resecuritization Trust                                              | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      429719 | PA      | $422436.46    | 0.02%             | 2036-04-16      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                           | Mosaic Solar Loan Trust 2019-2                                                    | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       87563 | PA      | $77905.75     | 0.00%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                           | Mosaic Solar Loan Trust 2020-1                                                    | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       95883 | PA      | $84911.14     | 0.00%             | 2046-04-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                           | Motorola Solutions Inc                                                            | CUSIP: 620076BU2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      170000 | PA      | $155533.98    | 0.01%             | 2031-05-24      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                           | Motorola Solutions Inc                                                            | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      636000 | PA      | $668832.20    | 0.03%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                           | Motorola Solutions Inc                                                            | CUSIP: 620076CA5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      453000 | PA      | $462197.83    | 0.02%             | 2030-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                           | Motorola Solutions Inc                                                            | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      620000 | PA      | $644304.60    | 0.03%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                              | Medline Borrower LP                                                               | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      200000 | PA      | $195261.81    | 0.01%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                              | Medline Borrower LP                                                               | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100540.60    | 0.00%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                          | MUNI ELEC AUTH OF GEORGIA                                                         | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |      443000 | PA      | $479081.69    | 0.02%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                              | NCL Corp Ltd                                                                      | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      100000 | PA      | $102392.24    | 0.00%             | 2032-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                                       | NLT 2021-INV2 Trust                                                               | CUSIP: 62917JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1361000 | PA      | $1042183.57   | 0.04%             | 2056-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                                  | NGPL PipeCo LLC                                                                   | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     3594000 | PA      | $3306335.20   | 0.13%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| NRG ENERGY INC                                                   | NRG Energy Inc                                                                    | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1491000 | PA      | $1484417.68   | 0.06%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: —       |
| NRG ENERGY INC                                                   | NRG Energy Inc                                                                    | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     3613000 | PA      | $3993770.46   | 0.16%             | 2033-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG Energy Inc                                                                    | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      200000 | PA      | $203959.80    | 0.01%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                            | CUSIP: 62954HAU2<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |      170000 | PA      | $128891.88    | 0.01%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                        | NYCT Trust 2024-3ELV                                                              | CUSIP: 62956HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      198000 | PA      | $198121.08    | 0.01%             | 2029-08-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT 2024-RR1 Trust                                                               | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1339268 | PA      | $1331649.60   | 0.05%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                           | Natixis Commercial Mortgage Securities Trust 2018-SOX                             | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      265000 | PA      | $261839.93    | 0.01%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| NCR ATLEOS LLC                                                   | NCR Atleos Corp                                                                   | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |      100000 | PA      | $108537.60    | 0.00%             | 2029-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                                     | Navient Refinance Loan Trust 2025-C                                               | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      695188 | PA      | $696542.16    | 0.03%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                       | Navient Private Education Loan Trust 2020-A                                       | CUSIP: 63941FAC0<br>LEI: 549300GZIQGXPYGM8M95 | Long             | ABS-O            | CORP              | US        |      156250 | PA      | $155877.23    | 0.01%             | 2068-11-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                       | Navient Private Education Refi Loan Trust 2020-F                                  | CUSIP: 63941XAB3<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $389854.89    | 0.02%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                       | Navient Private Education Refi Loan Trust 2021-D                                  | CUSIP: 63942CAB8<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |      131719 | PA      | $118641.31    | 0.00%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                       | Navient Private Education Refi Loan Trust 2021-D                                  | CUSIP: 63942CAC6<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |      348705 | PA      | $327374.32    | 0.01%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                       | Navient Private Education Refi Loan Trust 2024-A                                  | CUSIP: 63943CAA9<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |     1629849 | PA      | $1670121.80   | 0.07%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                                     | Navient Refinance Loan Trust 2025-B                                               | CUSIP: 63943NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      993970 | PA      | $994723.48    | 0.04%             | 2055-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2025-A                                                  | CUSIP: 64033XAE4<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      950917 | PA      | $947372.57    | 0.04%             | 2057-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-B                                                  | CUSIP: 64034QAC2<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |     3120000 | PA      | $2802849.50   | 0.11%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-B                                                  | CUSIP: 64034QAD0<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      142000 | PA      | $125987.82    | 0.00%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-B                                                  | CUSIP: 64034QAE8<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      260000 | PA      | $236147.73    | 0.01%             | 2062-04-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2023-PL1                                                | CUSIP: 64034UAA7<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      332514 | PA      | $336923.03    | 0.01%             | 2053-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-D                                                  | CUSIP: 64034YAC5<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |     1640000 | PA      | $1480641.20   | 0.06%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-D                                                  | CUSIP: 64034YAD3<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      170000 | PA      | $148371.56    | 0.01%             | 2062-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-D                                                  | CUSIP: 64034YAE1<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $87773.94     | 0.00%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-A                                                  | CUSIP: 64035DAF3<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      277000 | PA      | $246853.48    | 0.01%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-A                                                  | CUSIP: 64035DAG1<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      374000 | PA      | $343745.57    | 0.01%             | 2062-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-A                                                  | CUSIP: 64035DAJ5<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |     3661000 | PA      | $3287886.26   | 0.13%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-C                                                  | CUSIP: 64035GAC3<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |     2102119 | PA      | $1847339.23   | 0.07%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-C                                                  | CUSIP: 64035GAD1<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      110000 | PA      | $95824.88     | 0.00%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2021-C                                                  | CUSIP: 64035GAE9<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      160000 | PA      | $142166.22    | 0.01%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2025-C                                                  | CUSIP: 64035UAB4<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |     1077021 | PA      | $1084542.29   | 0.04%             | 2065-06-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                        | Nelnet Student Loan Trust 2025-C                                                  | CUSIP: 64035UAE8<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |      640000 | PA      | $631286.78    | 0.02%             | 2065-06-22      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                 | CSC Holdings LLC 2019 Term Loan B5                                                | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |      152642 | PA      | $133637.77    | 0.01%             | 2027-04-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                         | Neuberger Berman Loan Advisers CLO 36R Ltd                                        | CUSIP: 64090EAA4<br>LEI: 254900RBT2LAQQHMHG60 | Long             | ABS-CBDO         | CORP              | KY        |     1900000 | PA      | $1903982.40   | 0.07%             | 2039-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                         | Neuberger Berman CLO XXI Ltd                                                      | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |     1440000 | PA      | $1443797.28   | 0.06%             | 2039-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                         | Neuberger Berman Loan Advisers CLO 46 Ltd                                         | CUSIP: 64134QAL1<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249555.25    | 0.01%             | 2037-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                    | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                      | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      492000 | PA      | $589683.01    | 0.02%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                             | New Mountain CLO 3 Ltd                                                            | CUSIP: 647550AQ5<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250400.75    | 0.01%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                             | New Mountain CLO 8 Ltd                                                            | CUSIP: 64755GAA5<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250609.50    | 0.01%             | 2038-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2019-2                                        | CUSIP: 64830DAB9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |      136962 | PA      | $134884.26    | 0.01%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2025-NQM5                                     | CUSIP: 64832GAC8<br>LEI: 213800USJ6KQFZEWGZ76 | Long             | ABS-MBS          | CORP              | US        |      454461 | PA      | $455773.68    | 0.02%             | 2065-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | NRZT 2025-NQM6                                                                    | CUSIP: 64832KAC9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     1049885 | PA      | $1053164.16   | 0.04%             | 2065-10-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Flagstar Bank NA                                                 | Flagstar Bank NA                                                                  | CUSIP: 649445400<br>LEI: SS1TRMSN6BRNMOREEV51 | Long             | EC               | CORP              | US        |       88005 | NS      | $1107982.95   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| New York City Municipal Water Finance Authority                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                          | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      270000 | PA      | $274417.44    | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                               | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                              | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |      355000 | PA      | $357833.68    | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                | Newell Brands Inc                                                                 | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97656.16     | 0.00%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| NEXTERA ENERGY CAPITAL                                           | NextEra Energy Capital Holdings Inc                                               | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      637000 | PA      | $644569.45    | 0.03%             | 2027-09-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                                           | XPLR Infrastructure Operating Partners LP                                         | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102461.10    | 0.00%             | 2029-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                  | Nissan Motor Co Ltd                                                               | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $197254.90    | 0.01%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                          | Nissan Motor Acceptance Co LLC                                                    | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      130000 | PA      | $130366.34    | 0.01%             | 2028-09-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                                                | NJ Trust 2023-GSP                                                                 | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $366943.75    | 0.01%             | 2029-01-06      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                  | Nissan Motor Co Ltd                                                               | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $209867.11    | 0.01%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                             | Noble Finance II LLC                                                              | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103891.37    | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1               | CUSIP: 65536PAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210470 | PA      | $36881.91     | 0.00%             | 2036-05-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5                | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       40846 | PA      | $83207.29     | 0.00%             | 2036-10-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL & GAS INC                                           | Northern Oil & Gas Inc                                                            | CUSIP: 665530AB7<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100959.50    | 0.00%             | 2031-06-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: —       |
| NORTHERN OIL & GAS INC                                           | Northern Oil & Gas Inc                                                            | CUSIP: 665531AL3<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      111000 | PA      | $108075.65    | 0.00%             | 2033-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                            | Northrop Grumman Corp                                                             | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      200000 | PA      | $160649.35    | 0.01%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                            | Northrop Grumman Corp                                                             | CUSIP: 666807CJ9<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     1593000 | PA      | $1435607.63   | 0.06%             | 2053-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                  | Gen Digital Inc                                                                   | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101489.60    | 0.00%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                              | NOVA Chemicals Corp                                                               | CUSIP: 66977WAU3<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $213553.00    | 0.01%             | 2030-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                                         | NRTH Commercial Mortgage Trust 2025-PARK                                          | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $300281.19    | 0.01%             | 2040-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                     | Novelis Corp                                                                      | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96600.04     | 0.00%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                    | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      135841 | PA      | $52600.40     | 0.00%             | 2031-09-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                    | CUSIP: 67087TDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      535252 | PA      | $543323.83    | 0.02%             | 2032-06-15      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2020-19 Ltd                                                               | CUSIP: 670881BE0<br>LEI: 254900ZMV4RGFPV8TK42 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250622.00    | 0.01%             | 2038-04-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                         | OCP SA                                                                            | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      200000 | PA      | $215431.88    | 0.01%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2017-13 Ltd                                                               | CUSIP: 67097LAT3<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |      187500 | PA      | $187509.93    | 0.01%             | 2037-11-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2017-13 Ltd                                                               | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |      430000 | PA      | $431049.63    | 0.02%             | 2037-11-26      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2025-42 Ltd                                                               | CUSIP: 67097SAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300327.60    | 0.01%             | 2038-05-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                         | OHA Credit Funding 7 Ltd                                                          | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $799560.00    | 0.03%             | 2038-07-19      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2025-46 Ltd                                                               | CUSIP: 671023AA7<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $259965.94    | 0.01%             | 2038-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2025-46 Ltd                                                               | CUSIP: 671023AE9<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249185.00    | 0.01%             | 2038-10-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2025-46 Ltd                                                               | CUSIP: 671023AG4<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249950.50    | 0.01%             | 2038-10-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2014-5 Ltd                                                                | CUSIP: 67102SAN4<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |       85494 | PA      | $85459.87     | 0.00%             | 2031-04-26      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                             | OHA Loan Funding 2015-1 Ltd                                                       | CUSIP: 67109BDN1<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310594.27    | 0.01%             | 2038-10-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                                          | OHA Credit Partners XI Ltd                                                        | CUSIP: 67109FAU9<br>LEI: 549300OYGEU6QQMCEG78 | Long             | ABS-CBDO         | CORP              | KY        |      540000 | PA      | $541041.66    | 0.02%             | 2037-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                         | OHA Credit Funding 17 Ltd                                                         | CUSIP: 67109SAA5<br>LEI: 254900ZA7EPUCGQUTA43 | Long             | ABS-CBDO         | CORP              | BM        |      490000 | PA      | $490780.08    | 0.02%             | 2037-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                             | OHA Loan Funding 2016-1 Ltd                                                       | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |      610000 | PA      | $611942.85    | 0.02%             | 2037-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                         | OZLM XIX Ltd                                                                      | CUSIP: 67112CBE6<br>LEI: 5493009C40QUU66J8E83 | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $410197.21    | 0.02%             | 2035-01-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                         | OZLM XVIII Ltd                                                                    | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |       62941 | PA      | $62924.19     | 0.00%             | 2031-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                         | OZLM XVIII Ltd                                                                    | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $511633.53    | 0.02%             | 2031-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                         | OHA Credit Funding 3 LTD                                                          | CUSIP: 67112RBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300755.70    | 0.01%             | 2038-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP Clo 2019-17 Ltd                                                               | CUSIP: 67113LAW6<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250767.75    | 0.01%             | 2037-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2021-22 Ltd                                                               | CUSIP: 67117TAN5<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250398.50    | 0.01%             | 2037-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                                        | ORL Trust 2024-GLKS                                                               | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2560000 | PA      | $2563963.14   | 0.10%             | 2039-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                         | OHA Credit Funding 10-R Ltd                                                       | CUSIP: 67121RAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      380000 | PA      | $380552.90    | 0.01%             | 2037-07-18      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                           | NYC Commercial Mortgage Trust 2025-300P                                           | CUSIP: 67121TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $121558.39    | 0.00%             | 2042-07-13      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                           | NYC Commercial Mortgage Trust 2025-11X                                            | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      990000 | PA      | $993079.30    | 0.04%             | 2040-10-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                           | NYC Commercial Mortgage Trust 2025-28L                                            | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1067000 | PA      | $1069257.35   | 0.04%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                           | NYC Trust 2025-77C                                                                | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1525000 | PA      | $1531437.94   | 0.06%             | 2038-01-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2025-45 Ltd                                                               | CUSIP: 67126BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250218.50    | 0.01%             | 2038-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                         | OBX 2025-NQM3 Trust                                                               | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |      600153 | PA      | $606051.32    | 0.02%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2019-16 Ltd                                                               | CUSIP: 67570QAK7<br>LEI: 254900XAI48J82ID5O83 | Long             | ABS-CBDO         | CORP              | KY        |      189110 | PA      | $189188.97    | 0.01%             | 2033-04-10      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                                  | Octagon Investment Partners 18-R Ltd                                              | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      148304 | PA      | $148264.19    | 0.01%             | 2031-04-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39, LTD.                             | Octagon Investment Partners 39 Ltd                                                | CUSIP: 67592CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $861607.34    | 0.03%             | 2030-10-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                         | OHA Credit Funding 9 Ltd                                                          | CUSIP: 67690AAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $350890.75    | 0.01%             | 2037-10-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                         | OHA Credit Funding 2 LTD                                                          | CUSIP: 67707EBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2590000 | PA      | $2593470.60   | 0.10%             | 2038-01-21      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                               | Ohio Power Co                                                                     | CUSIP: 677415CQ2<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      164000 | PA      | $129501.06    | 0.01%             | 2048-04-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                               | Ohio Power Co                                                                     | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      464000 | PA      | $356499.95    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                               | Ohio Power Co                                                                     | CUSIP: 677415CS8<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      946000 | PA      | $882847.43    | 0.03%             | 2030-04-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                               | Ohio Power Co                                                                     | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      372000 | PA      | $326452.40    | 0.01%             | 2031-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                               | Ohio Power Co                                                                     | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      189000 | PA      | $116482.01    | 0.00%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| OH Partners LLC                                                  | OH Partners LLC Term Loan                                                         | CUSIP: 67742MAB9<br>LEI: 549300Z0YR6RZJ5V9548 | Long             | LON              | CORP              | US        |      186532 | PA      | $186532.50    | 0.01%             | 2032-11-12      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                        | Olin Corp                                                                         | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99246.88     | 0.00%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                     | Olympic Tower 2017-OT Mortgage Trust                                              | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13300000 | PA      | $48088.81     | 0.00%             | 2039-05-10      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                     | Olympic Tower 2017-OT Mortgage Trust                                              | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1049000 | PA      | $921149.66    | 0.04%             | 2039-05-10      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                                         | Olympus Water US Holding Corp                                                     | CUSIP: 681639AB6<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      200000 | PA      | $194616.51    | 0.01%             | 2029-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                                         | Olympus Water US Holding Corp                                                     | CUSIP: 681639AE0<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      201000 | PA      | $201993.25    | 0.01%             | 2033-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                            | One Bryant Park Trust 2019-OBP                                                    | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128000 | PA      | $118812.80    | 0.00%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                           | One Market Plaza Trust 2017-1MKT                                                  | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17538712 | PA      | $175.39       | 0.00%             | 2032-02-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                           | One Market Plaza Trust 2017-1MKT                                                  | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3507742 | PA      | $5314.23      | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                         | 1011778 BC ULC / New Red Finance Inc                                              | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      200000 | PA      | $197150.36    | 0.01%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                               | One New York Plaza Trust 2020-1NYP                                                | CUSIP: 68249DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160000 | PA      | $149355.42    | 0.01%             | 2036-01-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                 | Onemain Financial Issuance Trust 2024-1                                           | CUSIP: 68269NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2497000 | PA      | $2623343.71   | 0.10%             | 2041-05-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT INC                                                    | Open Text Holdings Inc                                                            | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $95582.13     | 0.00%             | 2030-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FIBERCOP SPA                                                     | Fibercop SpA                                                                      | CUSIP: 683879AB6<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $198187.50    | 0.01%             | 2033-11-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                      | Oracle Corp                                                                       | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      255000 | PA      | $176763.62    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                      | Oracle Corp                                                                       | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      577000 | PA      | $352574.91    | 0.01%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                      | Oracle Corp                                                                       | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      902000 | PA      | $581016.89    | 0.02%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                      | Oracle Corp                                                                       | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1530000 | PA      | $1221023.26   | 0.05%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                      | Oracle Corp                                                                       | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1679000 | PA      | $1480522.69   | 0.06%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                      | Oracle Corp                                                                       | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      309000 | PA      | $273648.21    | 0.01%             | 2065-08-03      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                      | Oracle Corp                                                                       | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     4727000 | PA      | $4188189.22   | 0.16%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                                      | Oracle Corp                                                                       | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      890000 | PA      | $784973.31    | 0.03%             | 2065-09-26      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | Option One Mortgage Loan Trust 2007-FXD1                                          | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      824329 | PA      | $710628.42    | 0.03%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | Option One Mortgage Loan Trust 2007-FXD1                                          | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1177543 | PA      | $1024439.31   | 0.04%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | Option One Mortgage Loan Trust 2007-FXD1                                          | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17385 | PA      | $17107.25     | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | Option One Mortgage Loan Trust 2007-CP1                                           | CUSIP: 68402YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      930000 | PA      | $801324.27    | 0.03%             | 2037-03-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                           | Orbia Advance Corp SAB de CV                                                      | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      387000 | PA      | $382193.68    | 0.01%             | 2030-05-13      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                                      | Origen Manufactured Housing Contract Trust 2001-A                                 | CUSIP: 68619AAG2<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |      134378 | PA      | $135247.38    | 0.01%             | 2032-03-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                                      | Origen Manufactured Housing Contract Trust 2007-B                                 | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |       23782 | PA      | $23720.37     | 0.00%             | 2037-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Orion CLO Ltd.                                                   | Orion Clo 2023-1 Ltd                                                              | CUSIP: 68626CAJ3<br>LEI: 2138006D8Y42BDBTP628 | Long             | ABS-CBDO         | CORP              | JE        |     2310000 | PA      | $2312249.94   | 0.09%             | 2038-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| OT MIDCO INC                                                     | OT Midco Ltd                                                                      | CUSIP: 68877AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      346000 | PA      | $137668.29    | 0.01%             | 2030-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| OWENS-BROCKWAY                                                   | Owens-Brockway Glass Container Inc                                                | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102077.70    | 0.00%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO I, Ltd                                              | Owl Rock CLO III Ltd                                                              | CUSIP: 69120DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250380.25    | 0.01%             | 2036-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO I, Ltd                                              | Owl Rock CLO XVIII LLC                                                            | CUSIP: 69122HAA8<br>LEI: 254900IC5H3CWUYT6A39 | Long             | ABS-CBDO         | CORP              | US        |      460000 | PA      | $459554.26    | 0.02%             | 2036-07-24      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                   | PECO Energy Co                                                                    | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      143000 | PA      | $89132.60     | 0.00%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                        | PG&E Corp                                                                         | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     6249000 | PA      | $6204740.46   | 0.24%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                        | PG&E Corp                                                                         | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     4450000 | PA      | $4634634.95   | 0.18%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| PERFORMANCE FOOD GROUP I                                         | Performance Food Group Inc                                                        | CUSIP: 69346VAA7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100147.70    | 0.00%             | 2027-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PGA National Resort Commercial Mortgage Trust                    | PGA Trust 2024-RSR2                                                               | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1527000 | PA      | $1527472.61   | 0.06%             | 2039-06-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                   | PENN Commercial Mortgage Trust 2025-P11                                           | CUSIP: 69382VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      244000 | PA      | $252703.68    | 0.01%             | 2042-08-10      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2025-NQM5 Trust                                                              | CUSIP: 69383FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      664781 | PA      | $666301.18    | 0.03%             | 2070-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2025-NQM6 Trust                                                              | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      747490 | PA      | $747354.55    | 0.03%             | 2070-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                                       | PRM5 Trust 2025-PRM5                                                              | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      262000 | PA      | $262143.42    | 0.01%             | 2033-03-10      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      166000 | PA      | $125602.27    | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1136000 | PA      | $959349.40    | 0.04%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      749000 | PA      | $561003.49    | 0.02%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1782000 | PA      | $1348889.34   | 0.05%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1183000 | PA      | $797698.27    | 0.03%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3489000 | PA      | $2949014.97   | 0.12%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      913894 | PA      | $796366.52    | 0.03%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     4457000 | PA      | $3886051.84   | 0.15%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      855000 | PA      | $909315.07    | 0.04%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      794000 | PA      | $842509.72    | 0.03%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      705000 | PA      | $760269.31    | 0.03%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      414000 | PA      | $396779.80    | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      990000 | PA      | $979380.29    | 0.04%             | 2055-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                           | Pacific Gas and Electric Co                                                       | CUSIP: 694308KZ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2889000 | PA      | $2835229.21   | 0.11%             | 2055-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                   | Palmer Square Loan Funding 2022-3 Ltd                                             | CUSIP: 69690CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1580000 | PA      | $1583060.46   | 0.06%             | 2031-04-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                   | Palmer Square Loan Funding 2022-3 Ltd                                             | CUSIP: 69690CAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $340004.76    | 0.01%             | 2031-04-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                   | Palmer Square Loan Funding 2024-3 Ltd                                             | CUSIP: 69690EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250178.75    | 0.01%             | 2032-08-08      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                            | Palmer Square CLO 2025-4 Ltd                                                      | CUSIP: 696916AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250199.00    | 0.01%             | 2038-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                            | Palmer Square CLO 2025-4 Ltd                                                      | CUSIP: 696916AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $340519.21    | 0.01%             | 2038-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                   | Palmer Square Loan Funding 2025-3 Ltd                                             | CUSIP: 696918AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1180000 | PA      | $1179124.44   | 0.05%             | 2034-01-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                            | Palmer Square CLO 2019-1 Ltd                                                      | CUSIP: 69700GAU6<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250124.00    | 0.01%             | 2038-08-14      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                            | Panama Government International Bonds                                             | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     1279000 | PA      | $1255082.70   | 0.05%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                            | Panama Government International Bonds                                             | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     1811000 | PA      | $1356801.20   | 0.05%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER                                            | Panther Escrow Issuer LLC                                                         | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103624.80    | 0.00%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                                | Park Blue CLO 2024-VI Ltd                                                         | CUSIP: 70019KAA5<br>LEI: 213800RLFYTJFPXOL592 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250482.25    | 0.01%             | 2038-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                                | Park Blue Clo 2025-IX Ltd                                                         | CUSIP: 70019UAG0<br>LEI: 213800GMETRF98C4D824 | Long             | ABS-CBDO         | CORP              | KY        |      530000 | PA      | $530977.32    | 0.02%             | 2038-10-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                                | Park Blue CLO 2025-VIII Ltd                                                       | CUSIP: 70019WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250034.75    | 0.01%             | 2038-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                                           | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer  | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              |  | US        |      340000 | PA      | $332004.19    | 0.01%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                                           | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer  | CUSIP: 70052LAD5<br>LEI: N/A                  | Long             | DBT              |  | US        |      100000 | PA      | $102639.00    | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PARK RIVER HOLDINGS INC                                          | Park River Holdings Inc                                                           | CUSIP: 70082LAD9<br>LEI: 254900PGY077KWCROT75 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98375.00     | 0.00%             | 2030-12-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Peninsula Pacific Entertainment LLC                              | Peninsula Pacific Entertainment LLC 2025 Term Loan B                              | CUSIP: 70715SAB3<br>LEI: 549300LWV74H4IE3FG45 | Long             | LON              | CORP              | US        |      484781 | PA      | $485386.54    | 0.02%             | 2032-10-01      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Peninsula Pacific Entertainment LLC                              | Peninsula Pacific Entertainment LLC 2025 Delayed Draw Term Loan                   | CUSIP: 70715SAD9<br>LEI: 549300LWV74H4IE3FG45 | Long             | LON              | CORP              | US        |      113620 | PA      | $114330.57    | 0.00%             | 2032-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                            | PennyMac Financial Services Inc                                                   | CUSIP: 70932MAD9<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106404.77    | 0.00%             | 2029-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                            | PennyMac Financial Services Inc                                                   | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104395.27    | 0.00%             | 2033-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                         | Permian Resources Operating LLC                                                   | CUSIP: 71424VAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104233.64    | 0.00%             | 2032-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                              | Peru Government International Bonds                                               | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2017000 | PA      | $1410084.70   | 0.06%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: —       |
| REPUBLIC OF PERU                                                 | Peruvian Government International Bond                                            | CUSIP: 715638EA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      348000 | PA      | $112830.03    | 0.00%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                 | Peruvian Government International Bond                                            | CUSIP: 715638FB3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      745000 | PA      | $238405.17    | 0.01%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | Petroleos Mexicanos                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       41000 | PA      | $40890.54     | 0.00%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | Petroleos Mexicanos                                                               | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      311000 | PA      | $250481.67    | 0.01%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | Petroleos Mexicanos                                                               | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      403000 | PA      | $409247.17    | 0.02%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | Petroleos Mexicanos                                                               | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      492000 | PA      | $476178.44    | 0.02%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | Petroleos Mexicanos                                                               | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       69800 | PA      | $74832.33     | 0.00%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | Petroleos Mexicanos                                                               | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       32000 | PA      | $37065.28     | 0.00%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PETSMART LLC/PETSMART FI                                         | PetSmart LLC / PetSmart Finance Corp                                              | CUSIP: 71677KAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $308903.10    | 0.01%             | 2033-09-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PFIZER INC                                                       | Pfizer Inc                                                                        | CUSIP: 717081EC3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      137000 | PA      | $128494.81    | 0.01%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| PFIZER INC                                                       | Pfizer Inc                                                                        | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      665000 | PA      | $414503.70    | 0.02%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                       | Philippines Government International Bonds                                        | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     1834000 | PA      | $1796311.30   | 0.07%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                       | Philippines Government International Bonds                                        | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     2044000 | PA      | $1468986.40   | 0.06%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                                   | Pikes Peak Clo 15 2023 Ltd                                                        | CUSIP: 720922AL7<br>LEI: 213800Z4RS2ZM3411T95 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250380.38    | 0.01%             | 2038-10-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                             | Pilgrim's Pride Corp                                                              | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97626.78     | 0.00%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                            | Pinnacle West Capital Corp                                                        | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     2310000 | PA      | $2380252.90   | 0.09%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                         | Pioneer Natural Resources Co                                                      | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      584000 | PA      | $529653.61    | 0.02%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                 | Planet Fitness Master Issuer LLC                                                  | CUSIP: 72703PAJ2<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |      880000 | PA      | $879669.30    | 0.03%             | 2055-12-06      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                                      | Point Broadband Funding LLC                                                       | CUSIP: 73052AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1276000 | PA      | $1302504.43   | 0.05%             | 2055-07-20      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                             | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     1350000 | PA      | $1258287.08   | 0.05%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Port of Beaumont Navigation District                             | PORT BEAUMONT TX NAV DIST DOCK& WHARF FAC REVENUE                                 | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |     1005000 | PA      | $1008915.18   | 0.04%             | 2026-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Post CLO LTD                                                     | Post CLO 2023-1 Ltd                                                               | CUSIP: 73743CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270527.31    | 0.01%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                                     | Post CLO 2023-1 Ltd                                                               | CUSIP: 73743CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270790.02    | 0.01%             | 2038-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                                     | Post CLO 2023-1 Ltd                                                               | CUSIP: 73743CAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250232.25    | 0.01%             | 2038-10-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | Post Holdings Inc                                                                 | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94804.69     | 0.00%             | 2031-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | Post Holdings Inc                                                                 | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      200000 | PA      | $201999.98    | 0.01%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PRIME SECSRVC BRW/FINANC                                         | Prime Security Services Borrower LLC / Prime Finance Inc                          | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $98045.55     | 0.00%             | 2027-08-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PRIME INVTS LTD PARTNERSHIP                                      | PRIME INVTS LTD PARTNERSHIP                                                       | CUSIP: 74167YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      711589 | PA      | $739198.65    | 0.03%             | 2030-05-01      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| PRIMO / TRITON WATER HLD                                         | Primo Water Holdings Inc / Triton Water Holdings Inc                              | CUSIP: 74168RAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $97288.41     | 0.00%             | 2029-04-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co                           | Prodigy Finance CM2021-1 DAC                                                      | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |      168819 | PA      | $168399.14    | 0.01%             | 2051-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co                           | Prodigy Finance CM2021-1 DAC                                                      | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |       38884 | PA      | $38683.11     | 0.00%             | 2051-07-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR9 Trust                                              | CUSIP: 74333QAN5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |      221000 | PA      | $213937.79    | 0.01%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR3                                                    | CUSIP: 74333VAN4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |     1070000 | PA      | $1062856.89   | 0.04%             | 2026-05-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR10 Trust                                             | CUSIP: 74333WAL6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |      289686 | PA      | $278658.71    | 0.01%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR10 Trust                                             | CUSIP: 74333WAN2<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |     1170398 | PA      | $1152512.89   | 0.05%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC                                            | QTS Issuer ABS II LLC                                                             | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1142000 | PA      | $1131923.91   | 0.04%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                            | QXO Building Products Inc                                                         | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104441.87    | 0.00%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                            | Quikrete Holdings Inc                                                             | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104088.00    | 0.00%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                            | Quikrete Holdings Inc                                                             | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104429.12    | 0.00%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QA10 Trust                                                       | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      340078 | PA      | $306344.44    | 0.01%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                      | RCKT Mortgage Trust 2024-CES2                                                     | CUSIP: 74938PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1647000 | PA      | $1688274.48   | 0.07%             | 2044-04-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                      | RCKT Mortgage Trust 2024-CES2                                                     | CUSIP: 74938PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116000 | PA      | $119259.74    | 0.00%             | 2044-04-25      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                         | RHP Hotel Properties LP / RHP Finance Corp                                        | CUSIP: 749571AF2<br>LEI: N/A                  | Long             | DBT              |  | US        |      100000 | PA      | $99585.56     | 0.00%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                         | RHP Hotel Properties LP / RHP Finance Corp                                        | CUSIP: 749571AG0<br>LEI: N/A                  | Long             | DBT              |  | US        |      100000 | PA      | $99004.08     | 0.00%             | 2029-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2006-SA2 Trust                                                       | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      684005 | PA      | $452126.58    | 0.02%             | 2036-08-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2006-SA4 Trust                                                       | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24016 | PA      | $20229.57     | 0.00%             | 2036-11-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2007-SA4 Trust                                                       | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      520381 | PA      | $313273.36    | 0.01%             | 2037-10-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                        | RMF Buyout Issuance Trust 2021-HB1                                                | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      509000 | PA      | $487427.41    | 0.02%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                       | ROCK Trust 2024-CNTR                                                              | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1116274 | PA      | $1146835.24   | 0.04%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR 41 LTD                                                                         | CUSIP: 749764AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250102.35    | 0.01%             | 2040-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR 5 Ltd                                                                          | CUSIP: 74979VAM5<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250700.00    | 0.01%             | 2039-07-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR 5 Ltd                                                                          | CUSIP: 74979VAV5<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250615.25    | 0.01%             | 2039-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR 8 Ltd                                                                          | CUSIP: 74980FBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $861320.10    | 0.03%             | 2039-01-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR 19 Ltd                                                                         | CUSIP: 74983AAL7<br>LEI: 549300RJ4N2AJDFNE876 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250286.75    | 0.01%             | 2040-04-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR 32 LTD /old                                                                    | CUSIP: 74988CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1860000 | PA      | $1863766.50   | 0.07%             | 2039-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR 38 Ltd                                                                         | CUSIP: 74988FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1620000 | PA      | $1617516.54   | 0.06%             | 2040-04-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR 12 Ltd                                                                         | CUSIP: 74989HAQ5<br>LEI: 549300RLLUH00ZYECJ34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.50    | 0.01%             | 2036-01-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                      | RAD CLO 27 Ltd                                                                    | CUSIP: 749972AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2005982.00   | 0.08%             | 2038-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                      | RAD CLO 21 Ltd                                                                    | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $329340.00    | 0.01%             | 2037-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                      | Rad Clo 25 Ltd                                                                    | CUSIP: 75009GAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      640000 | PA      | $641281.92    | 0.03%             | 2037-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                      | Rad CLO 14 Ltd                                                                    | CUSIP: 75009RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      540000 | PA      | $540144.72    | 0.02%             | 2035-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                      | Rad CLO 15 Ltd                                                                    | CUSIP: 750103AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250924.15    | 0.01%             | 2040-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                | Rakuten Group Inc                                                                 | CUSIP: 75102WAK4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $223692.08    | 0.01%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                             | Raizen Fuels Finance SA                                                           | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      312000 | PA      | $262080.00    | 0.01%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd                                        | Regatta XVIII Funding Ltd                                                         | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      200725 | PA      | $200340.41    | 0.01%             | 2038-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                          | Regatta VI Funding Ltd                                                            | CUSIP: 75887NBL2<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |      757765 | PA      | $757841.53    | 0.03%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Regatta XVII Funding Ltd                                         | Regatta XVII Funding Ltd                                                          | CUSIP: 75888BAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250955.00    | 0.01%             | 2037-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                         | Regatta XVI Funding Ltd                                                           | CUSIP: 75888TAQ8<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310295.43    | 0.01%             | 2033-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                         | Regatta XVI Funding Ltd                                                           | CUSIP: 75888TAS4<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250084.75    | 0.01%             | 2033-01-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                                        | Regatta XXIV Funding Ltd                                                          | CUSIP: 75889HAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500590.00    | 0.02%             | 2038-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                                          | Regatta 31 Funding Ltd                                                            | CUSIP: 758962AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250446.00    | 0.01%             | 2038-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Regatta XXVII Funding Ltd.                                       | Regatta XXVII Funding Ltd                                                         | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |      850000 | PA      | $851831.75    | 0.03%             | 2037-04-26      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                                         | Regatta XXV Funding Ltd                                                           | CUSIP: 758978AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      960000 | PA      | $963713.95    | 0.04%             | 2038-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                               | Regional Management Issuance Trust 2024-1                                         | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      102000 | PA      | $105065.43    | 0.00%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                                          | Regatta 30 Funding Ltd                                                            | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      530000 | PA      | $531142.68    | 0.02%             | 2038-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Regatta 35 Funding Ltd.                                          | Regatta 35 Funding Ltd                                                            | CUSIP: 75903YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      990000 | PA      | $991712.70    | 0.04%             | 2038-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                               | Regional Management Issuance Trust 2024-2                                         | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      261000 | PA      | $263025.28    | 0.01%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                               | Regional Management Issuance Trust 2021-2                                         | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      173000 | PA      | $167742.63    | 0.01%             | 2033-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| REGIONAL MGMT ISSUANCE                                           | REGIONAL MGMT ISSUANCE                                                            | CUSIP: 75907WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3710000 | PA      | $3626525.00   | 0.14%             | 2033-10-17      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| Regional Management Issuance Trust                               | Regional Management Issuance Trust 2025-2                                         | CUSIP: 75908BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1447000 | PA      | $1444600.73   | 0.06%             | 2037-11-16      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| REPSOL E&P CAP MARKETS                                           | Repsol E&P Capital Markets US LLC                                                 | CUSIP: 76026AAA5<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      410000 | PA      | $413816.03    | 0.02%             | 2028-09-16      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| REPSOL E&P CAP MARKETS                                           | Repsol E&P Capital Markets US LLC                                                 | CUSIP: 76026AAB3<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      505000 | PA      | $512145.28    | 0.02%             | 2030-09-16      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| REPSOL E&P CAP MARKETS                                           | Repsol E&P Capital Markets US LLC                                                 | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |     1045000 | PA      | $1065775.31   | 0.04%             | 2035-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                  | Republic Finance Issuance Trust 2025-A                                            | CUSIP: 76042FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1292000 | PA      | $1296165.41   | 0.05%             | 2034-11-20      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                           | Uruguay Government International Bonds                                            | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     1478733 | PA      | $1394001.60   | 0.05%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                           | Uruguay Government International Bonds                                            | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      844391 | PA      | $847431.14    | 0.03%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                         | Uruguay Government International Bond                                             | CUSIP: 760942BF8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     3280474 | PA      | $93907.82     | 0.00%             | 2033-07-20      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                         | Uruguay Government International Bond                                             | CUSIP: 760942BJ0<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    10623053 | PA      | $280284.85    | 0.01%             | 2035-10-29      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                           | Residential Asset Securitization Trust 2007-A9                                    | CUSIP: 761143AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11384250 | PA      | $2836503.27   | 0.11%             | 2037-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                           | Residential Asset Securitization Trust 2007-A9                                    | CUSIP: 761143AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11384250 | PA      | $1566532.07   | 0.06%             | 2037-09-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                           | Residential Asset Securitization Trust 2006-A14CB                                 | CUSIP: 76114BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3526776 | PA      | $2438170.44   | 0.10%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                                           | Resorts World Las Vegas LLC / RWLV Capital Inc                                    | CUSIP: 76120HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $178254.12    | 0.01%             | 2029-04-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| RESORT CMNTYS LOANCO LP                                          | RESORT CMNTYS LOANCO LP                                                           | CUSIP: 76125UAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     4335291 | PA      | $4413759.77   | 0.17%             | 2028-11-21      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC                        | Retained Vantage Data Centers Issuer LLC                                          | CUSIP: 76134KAM6<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |      945000 | PA      | $936289.56    | 0.04%             | 2050-08-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| RESURGENT TRADE + INVT LTD                                       | RESURGENT TRADE + INVT LTD                                                        | CUSIP: 76134NAA6<br>LEI: 89450041TCNTI3YL5A08 | Long             | DBT              | CORP              | MU        |     1909000 | PA      | $1909000.00   | 0.07%             | 2027-12-01      | Fixed         | 9.52%                 | No            |                  3 | On Loan: No      |
| REYNOLDS AMERICAN INC                                            | Reynolds American Inc                                                             | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      264000 | PA      | $259733.28    | 0.01%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| Riserva CLO, Ltd.                                                | Riserva Clo Ltd                                                                   | CUSIP: 76761RBG3<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500153.50    | 0.02%             | 2034-01-18      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                   | Rocket Cos Inc                                                                    | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103367.91    | 0.00%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| ROCKET COS INC                                                   | Rocket Cos Inc                                                                    | CUSIP: 77311WAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $206277.56    | 0.01%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                           | Rockford Tower CLO 2017-1 Ltd                                                     | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |      856000 | PA      | $856315.86    | 0.03%             | 2034-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                           | Rockford Tower CLO 2025-3 Ltd                                                     | CUSIP: 77340WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      380000 | PA      | $380194.94    | 0.01%             | 2038-03-31      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                           | Rockford Tower CLO 2025-3 Ltd                                                     | CUSIP: 77340WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250117.00    | 0.01%             | 2038-03-31      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                           | Rockford Tower CLO 2017-3 Ltd                                                     | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |      338159 | PA      | $338076.92    | 0.01%             | 2030-10-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                           | Rockford Tower CLO 2019-2 Ltd                                                     | CUSIP: 77341GAS9<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |      155462 | PA      | $155638.20    | 0.01%             | 2032-08-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                           | Rockford Tower CLO 2021-1 Ltd                                                     | CUSIP: 77341KAE1<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250180.75    | 0.01%             | 2034-07-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                           | Rockford Tower CLO 2019-1 Ltd                                                     | CUSIP: 77342MAY2<br>LEI: 549300GGUAM1ZV2SKK63 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249805.25    | 0.01%             | 2034-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                         | Rogers Communications Inc                                                         | CUSIP: 775109BS9<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $99956.34     | 0.00%             | 2082-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                         | Rogers Communications Inc                                                         | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $104620.10    | 0.00%             | 2055-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                   | Romark CLO II Ltd                                                                 | CUSIP: 77587EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       71407 | PA      | $71420.46     | 0.00%             | 2031-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                          | Royal Caribbean Cruises Ltd                                                       | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      640000 | PA      | $642680.16    | 0.03%             | 2036-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| SCC POWER PLC                                                    | SCC Power PLC                                                                     | CUSIP: 78397YAB8<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |      175569 | PA      | $108326.07    | 0.00%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                                    | SCC Power PLC                                                                     | CUSIP: 78397YAC6<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |      174358 | PA      | $42935.66     | 0.00%             | 2032-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                             | SCG Commercial Mortgage Trust 2025-DLFN                                           | CUSIP: 78398EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99626.28     | 0.00%             | 2035-03-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                             | SCG Commercial Mortgage Trust 2025-DLFN                                           | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      581000 | PA      | $577371.77    | 0.02%             | 2035-03-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                          | SBA Communications Corp                                                           | CUSIP: 78410GAD6<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              |  | US        |      200000 | PA      | $198493.20    | 0.01%             | 2027-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                     | SG Mortgage Securities Trust 2006-OPT2                                            | CUSIP: 78420MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      570000 | PA      | $455498.80    | 0.02%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                        | SHR Trust 2024-LXRY                                                               | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      255000 | PA      | $256549.41    | 0.01%             | 2041-10-15      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HOLDINGS INC                                           | SCIH Salt Holdings Inc                                                            | CUSIP: 78433BAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $100024.30    | 0.00%             | 2028-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                             | SCG 2024-MSP Mortgage Trust                                                       | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2258000 | PA      | $2257999.77   | 0.09%             | 2041-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SLM CORP                                                         | SLM Corp                                                                          | CUSIP: 78442PGF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103505.80    | 0.00%             | 2030-01-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Private Education Loan Trust 2010-C                                           | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |     1754307 | PA      | $1844202.03   | 0.07%             | 2041-10-15      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                 | SMB Private Education Loan Trust 2015-B                                           | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |      120423 | PA      | $120210.31    | 0.00%             | 2040-12-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                 | SMB Private Education Loan Trust 2021-A                                           | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1070599 | PA      | $946990.65    | 0.04%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                 | SMB Private Education Loan Trust 2021-A                                           | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      271688 | PA      | $247151.91    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                 | SMB Private Education Loan Trust 2021-A                                           | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      186320 | PA      | $169612.68    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                     | SM Energy Co                                                                      | CUSIP: 78454LAY6<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98306.86     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                      | SREIT Trust 2021-MFP                                                              | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      746569 | PA      | $746106.52    | 0.03%             | 2038-11-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Digital Room Holdings Inc                                        | Digital Room Holdings Inc 2021 Term Loan                                          | CUSIP: 78473KAB5<br>LEI: 549300I680V3FDWE2N30 | Long             | LON              | CORP              | US        |      497612 | PA      | $490666.82    | 0.02%             | 2028-12-21      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| SURA ASSET MANAGEMENT                                            | SURA Asset Management SA                                                          | CUSIP: 78486LAB8<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |      362000 | PA      | $386011.46    | 0.02%             | 2032-05-13      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                         | Sabine Pass Liquefaction LLC                                                      | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     3656000 | PA      | $3680573.11   | 0.14%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                         | Sabine Pass Liquefaction LLC                                                      | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30042.45     | 0.00%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                         | Sabine Pass Liquefaction LLC                                                      | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     4634000 | PA      | $4652760.47   | 0.18%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| SABINE PASS LIQUEFACTION                                         | Sabine Pass Liquefaction LLC                                                      | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     1482895 | PA      | $1557819.53   | 0.06%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                                          | Sagard-Halseypoint Clo 9 Ltd                                                      | CUSIP: 78662EAA2<br>LEI: 254900XOQCO9R6J0SO60 | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $259870.61    | 0.01%             | 2038-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                                          | Sagard-Halseypoint Clo 10 Ltd                                                     | CUSIP: 78663BAA7<br>LEI: 254900N7LSI0GVY3UO19 | Long             | ABS-CBDO         | CORP              | KY        |     2070000 | PA      | $2072340.28   | 0.08%             | 2038-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                          | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                 | CUSIP: 795935AA3<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-MBS          | CORP              | US        |      825000 | PA      | $830906.01    | 0.03%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| City of San Antonio TX Electric & Gas Systems Revenue            | SAN ANTONIO TX ELEC & GAS REVENUE                                                 | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |      875000 | PA      | $902321.00    | 0.04%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak, Ltd                                              | Sandstone Peak III Ltd                                                            | CUSIP: 799928AA4<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250639.75    | 0.01%             | 2037-04-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                                       | Sandstone Peak IV Ltd                                                             | CUSIP: 80012AAA3<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |      530000 | PA      | $530264.47    | 0.02%             | 2039-01-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                                       | Sandstone Peak IV Ltd                                                             | CUSIP: 80012AAG0<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250120.25    | 0.01%             | 2039-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                                       | Sandstone Peak IV Ltd                                                             | CUSIP: 80012AAJ4<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250113.50    | 0.01%             | 2039-01-20      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                              | Sandstone Peak Ltd                                                                | CUSIP: 800130AW6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248466.75    | 0.01%             | 2034-10-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                        | Santander Mortgage Asset Receivable Trust 2025-NQM6                               | CUSIP: 80265DAA1<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-MBS          | CORP              | US        |      512007 | PA      | $513418.73    | 0.02%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Palladyne AI Corp                                                | Palladyne AI Corp                                                                 | CUSIP: 80359A114<br>LEI: N/A                  | N/A              | DE               |  | US        |      102425 | NS      | $6278.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Palladyne AI Corp                                                | Palladyne AI Corp                                                                 | CUSIP: 80359A205<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1162 | NS      | $4950.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Saxon Asset Securities Trust                                     | Saxon Asset Securities Trust 2004-2                                               | CUSIP: 805564QE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      164114 | PA      | $127921.01    | 0.01%             | 2035-08-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Scholar Funding Trust                                            | Scholar Funding Trust 2013-A                                                      | CUSIP: 80705XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1963274 | PA      | $1939577.84   | 0.08%             | 2045-01-30      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STOR                                                | Seagate Data Storage Technology Pte Ltd                                           | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      100000 | PA      | $103086.60    | 0.00%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SEALED AIR/SEALED AIR US                                         | Sealed Air Corp/Sealed Air Corp US                                                | CUSIP: 812127AA6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101661.20    | 0.00%             | 2028-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                   | Securitized Asset Backed Receivables LLC Trust 2007-NC2                           | CUSIP: 81378GAD0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |       82000 | PA      | $62733.40     | 0.00%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                              | Select Medical Corp                                                               | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |      121000 | PA      | $118307.95    | 0.00%             | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| SENSATA TECHNOLOGIES INC                                         | Sensata Technologies Inc                                                          | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93847.60     | 0.00%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Sequoia Mortgage Trust                                           | Sequoia Mortgage Trust 2007-3                                                     | CUSIP: 81744MAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      127934 | PA      | $100156.62    | 0.00%             | 2037-07-20      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                                | Service Corp International/US                                                     | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93509.87     | 0.00%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                           | Service Experts Issuer 2024-1 LLC                                                 | CUSIP: 81758FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      447478 | PA      | $458550.28    | 0.02%             | 2035-11-20      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                           | Service Experts Issuer 2021-1 LLC                                                 | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      268021 | PA      | $264168.09    | 0.01%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                         | Service Properties Trust                                                          | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |       71000 | PA      | $69892.87     | 0.00%             | 2027-12-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                         | Service Properties Trust                                                          | CUSIP: 81761LAD4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      828000 | PA      | $832467.06    | 0.03%             | 2029-06-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: —       |
| SERVICE PROPERTIES TRUST                                         | Service Properties Trust                                                          | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      715000 | PA      | $705313.79    | 0.03%             | 2032-06-15      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                         | Service Properties Trust                                                          | CUSIP: 81761LAF9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      318000 | PA      | $287362.67    | 0.01%             | 2027-09-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                                                | 720 East CLO VII Ltd                                                              | CUSIP: 81800WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      970000 | PA      | $968807.87    | 0.04%             | 2037-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                              | SG Residential Mortgage Trust 2025-1                                              | CUSIP: 81880NAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      707393 | PA      | $708370.55    | 0.03%             | 2065-12-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                              | SG Residential Mortgage Trust 2025-1                                              | CUSIP: 81880NAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137000 | PA      | $137291.88    | 0.01%             | 2065-12-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                             | Signal Peak CLO 5 Ltd                                                             | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270691.47    | 0.01%             | 2037-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                             | Signal Peak CLO 11 Ltd                                                            | CUSIP: 82666XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      470000 | PA      | $471323.52    | 0.02%             | 2037-07-18      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                             | Signal Peak CLO 14 Ltd                                                            | CUSIP: 82667FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      560000 | PA      | $560956.48    | 0.02%             | 2038-01-22      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                             | Signal Peak CLO 9 Ltd                                                             | CUSIP: 82670QAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250748.50    | 0.01%             | 2038-01-21      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                             | Signal Peak CLO 12 Ltd                                                            | CUSIP: 82671XAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250656.75    | 0.01%             | 2037-07-18      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                            | Silver Point CLO 8 Ltd                                                            | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |     1080000 | PA      | $1080406.08   | 0.04%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                            | Silver Point Clo 3 Ltd                                                            | CUSIP: 827925AL2<br>LEI: 5493000HU7LKTSD3BK48 | Long             | ABS-CBDO         | CORP              | JE        |      570000 | PA      | $570413.25    | 0.02%             | 2039-01-18      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                            | Silver Point CLO 13 Ltd                                                           | CUSIP: 82809RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      820000 | PA      | $820139.40    | 0.03%             | 2038-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                              | Sirius XM Radio LLC                                                               | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      300000 | PA      | $300730.54    | 0.01%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                              | Sirius XM Radio LLC                                                               | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100818.21    | 0.00%             | 2029-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| SIX FLAGS ENTERTAINME                                            | Six Flags Entertainment Corp                                                      | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95951.74     | 0.00%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Six Flags Entertainment Corp                                     | Six Flags Entertainment Corp                                                      | CUSIP: 83001C108<br>LEI: 529900AS2CYWYFHRS781 | Long             | EC               | CORP              | US        |       11667 | NS      | $178971.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| 610 Funding 2 CLO Ltd                                            | 610 Funding CLO 2 Ltd                                                             | CUSIP: 83004LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250069.00    | 0.01%             | 2034-01-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                                       | Sixth Street CLO IX Ltd                                                           | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300753.90    | 0.01%             | 2037-07-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                 | SMB Private Education Loan Trust 2024-C                                           | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      484453 | PA      | $483624.22    | 0.02%             | 2052-06-17      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                 | SMB Private Education Loan Trust 2021-C                                           | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       77084 | PA      | $75276.40     | 0.00%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                 | SMB Private Education Loan Trust 2021-C                                           | CUSIP: 83208AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       68313 | PA      | $60805.65     | 0.00%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                 | SMB Private Education Loan Trust 2021-C                                           | CUSIP: 83208AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       33390 | PA      | $30331.77     | 0.00%             | 2053-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET                                         | Smyrna Ready Mix Concrete LLC                                                     | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |      200000 | PA      | $213926.56    | 0.01%             | 2031-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| SOFI PERS LN TR 2024 1                                           | SOFI PERS LN TR 2024 1                                                            | CUSIP: 83407R105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       23003 | PA      | $392298.22    | 0.02%             | 2031-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                                         | SoFi Personal Loan Trust 2024-1                                                   | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      423547 | PA      | $420570.91    | 0.02%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Solaris Energy Infrastructure Inc                                | Solaris Energy Infrastructure Inc                                                 | CUSIP: 83418M103<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | EC               | CORP              | US        |        6636 | NS      | $305056.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SOLARIS ENERGY INFRASTRU                                         | Solaris Energy Infrastructure Inc                                                 | CUSIP: 83419XAA6<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |      388000 | PA      | $773555.60    | 0.03%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOLARIS ENERGY INFRASTRU                                         | Solaris Energy Infrastructure Inc                                                 | CUSIP: 83419XAB4<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |      804000 | PA      | $869325.00    | 0.03%             | 2031-10-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                                             | Sonic Automotive Inc                                                              | CUSIP: 83545GBE1<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96581.61     | 0.00%             | 2031-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Sound Point CLO LTD                                              | Sound Point CLO II Ltd                                                            | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |       35618 | PA      | $35609.83     | 0.00%             | 2031-01-26      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                 | Soundview Home Loan Trust 2004-WMC1                                               | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       12255 | PA      | $10699.34     | 0.00%             | 2035-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                 | Soundview Home Loan Trust 2005-OPT3                                               | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      158500 | PA      | $134333.31    | 0.01%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                 | Soundview Home Loan Trust 2007-NS1                                                | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400541 | PA      | $3472386.39   | 0.14%             | 2037-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Brant Point CLO Ltd                                              | Brant Point Clo 2024-6 Ltd                                                        | CUSIP: 83617JAJ8<br>LEI: 254900XHQ73AT2SOPY37 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250572.50    | 0.01%             | 2038-01-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                      | Southern Co/The                                                                   | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      109000 | PA      | $102152.10    | 0.00%             | 2036-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                      | Southern Co/The                                                                   | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     2017000 | PA      | $2134759.42   | 0.08%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                      | Southern Co/The                                                                   | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      322000 | PA      | $330831.87    | 0.01%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                               | Expand Energy Corp                                                                | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     2423000 | PA      | $2423049.82   | 0.09%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                               | Expand Energy Corp                                                                | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     3454000 | PA      | $3407393.69   | 0.13%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| SPIRIT AIR 2015-1 PTT A                                          | Spirit Airlines Pass Through Trust 2015-1A                                        | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       11667 | PA      | $11190.42     | 0.00%             | 2028-04-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2017-1 PTT AA                                         | Spirit Airlines Pass Through Trust 2017-1AA                                       | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      139871 | PA      | $131586.27    | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2017-1 PTT A                                          | Spirit Airlines Pass Through Trust 2017-1A                                        | CUSIP: 84858XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      368587 | PA      | $338738.21    | 0.01%             | 2030-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                        | Block Inc                                                                         | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99402.93     | 0.00%             | 2026-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                        | Block Inc                                                                         | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      464000 | PA      | $436120.61    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| SREIT Trust                                                      | SREIT Trust 2021-MFP2                                                             | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342700 | PA      | $342595.17    | 0.01%             | 2036-11-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRI INC/NY                                         | Standard Industries Inc/NY                                                        | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192941.07    | 0.01%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                                  | Star Parent Inc                                                                   | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106720.81    | 0.00%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                          | Starwood Property Trust Inc                                                       | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |      100000 | PA      | $105610.20    | 0.00%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Starwood Mortgage Residential Trust                              | Starwood Mortgage Residential Trust 2021-2                                        | CUSIP: 85573HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1360000 | PA      | $1258444.58   | 0.05%             | 2065-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                                       | FIXED INC CLEARING CORP.REPO                                                      | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |    27245437 | PA      | $27245436.61  | 1.07%             |  |  |  | No            |                  2 | On Loan: No      |
| STEM INC                                                         | Stem Inc                                                                          | CUSIP: 85859NAA0<br>LEI: 549300GVWIYFILN5V546 | Long             | DBT              | CORP              | US        |      102000 | PA      | $39780.00     | 0.00%             | 2028-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| STL HOLDING CO LLC                                               | STL Holding Co LLC                                                                | CUSIP: 861036AB7<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |      178000 | PA      | $186965.86    | 0.01%             | 2029-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                | Store Capital LLC                                                                 | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |       53000 | PA      | $48252.03     | 0.00%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                | Store Capital LLC                                                                 | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |     1793000 | PA      | $1826386.41   | 0.07%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust Series 2006-3                      | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157910 | PA      | $80676.74     | 0.00%             | 2036-04-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                        | Structured Asset Mortgage Investments II Trust 2006-AR2                           | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      395011 | PA      | $372766.24    | 0.01%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                        | Structured Asset Mortgage Investments II Trust 2006-AR5                           | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117472 | PA      | $83945.96     | 0.00%             | 2046-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                        | Structured Asset Mortgage Investments II Trust 2006-AR4                           | CUSIP: 86360QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      671929 | PA      | $601290.13    | 0.02%             | 2036-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust Series 2007-3                      | CUSIP: 86363GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      499033 | PA      | $185645.84    | 0.01%             | 2047-04-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                               | Subway Funding LLC                                                                | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      828630 | PA      | $846058.41    | 0.03%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Summer Issuer, LLC                                               | Summit Issuer LLC                                                                 | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      837000 | PA      | $838808.84    | 0.03%             | 2055-11-20      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                        | Sunoco LP                                                                         | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      195000 | PA      | $200318.63    | 0.01%             | 2030-09-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                        | Sunoco LP                                                                         | CUSIP: 86765KAK5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97147.86     | 0.00%             | 2030-05-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                                           | Sunoco LP / Sunoco Finance Corp                                                   | CUSIP: 86765LAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $195305.00    | 0.01%             | 2030-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                              | Synchrony Financial                                                               | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      884000 | PA      | $879787.50    | 0.03%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                              | Synchrony Financial                                                               | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2956000 | PA      | $2995671.35   | 0.12%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                              | Synchrony Financial                                                               | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2659000 | PA      | $2385548.92   | 0.09%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                              | Synchrony Financial                                                               | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2523000 | PA      | $2710235.14   | 0.11%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| SYNCHRONY FINANCIAL                                              | Synchrony Financial                                                               | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2633000 | PA      | $2744049.83   | 0.11%             | 2030-08-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: —       |
| SYNCHRONY FINANCIAL                                              | Synchrony Financial                                                               | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     4623000 | PA      | $4739963.29   | 0.19%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| SYNCHRONY FINANCIAL                                              | Synchrony Financial                                                               | CUSIP: 87165BAX1<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1357000 | PA      | $1374076.16   | 0.05%             | 2029-07-29      | Fixed         | 5.02%                 | No            |                  2 | On Loan: —       |
| Symphony CLO Ltd                                                 | Symphony CLO XX Ltd                                                               | CUSIP: 87166VAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250014.75    | 0.01%             | 2032-01-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                 | Symphony CLO XXIX Ltd                                                             | CUSIP: 87168GAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360465.48    | 0.01%             | 2035-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                 | Symphony CLO 38 Ltd                                                               | CUSIP: 87169NAZ6<br>LEI: 254900T60KIPND298026 | Long             | ABS-CBDO         | CORP              | BM        |      250000 | PA      | $251074.00    | 0.01%             | 2038-07-24      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                 | Symphony CLO 43 Ltd                                                               | CUSIP: 87170BAA4<br>LEI: 254900QCSPTCYRSY3N68 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250555.25    | 0.01%             | 2037-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                 | Symphony CLO XXVI Ltd                                                             | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      235760 | PA      | $235930.85    | 0.01%             | 2033-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                                                 | TCI-Symphony CLO 2016-1 Ltd                                                       | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |      153158 | PA      | $153247.38    | 0.01%             | 2032-10-13      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust                        | TCO Commercial Mortgage Trust 2024-DPM                                            | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1329000 | PA      | $1331881.01   | 0.05%             | 2039-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust                        | TCO Commercial Mortgage Trust 2024-DPM                                            | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100124.88    | 0.00%             | 2039-12-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                     | TICP CLO VI 2016-2 Ltd                                                            | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |      820000 | PA      | $820718.32    | 0.03%             | 2034-01-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                     | TICP CLO VII Ltd                                                                  | CUSIP: 87248TAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      395000 | PA      | $395220.02    | 0.02%             | 2033-04-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                     | TICP CLO XI Ltd                                                                   | CUSIP: 87249QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $260677.30    | 0.01%             | 2037-04-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-Mobile USA Inc                                                                  | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2790000 | PA      | $2743616.05   | 0.11%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-Mobile USA Inc                                                                  | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1204000 | PA      | $1082424.66   | 0.04%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-Mobile USA Inc                                                                  | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2205000 | PA      | $2170302.47   | 0.08%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                                 | T-Mobile USA Inc                                                                  | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      197000 | PA      | $202727.19    | 0.01%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Tri Pointe Homes Inc                                             | Tri Pointe Homes Inc                                                              | CUSIP: 87265H109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        7336 | NS      | $230863.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Symphony CLO Ltd                                                 | Symphony CLO 36 Ltd                                                               | CUSIP: 87272HAA8<br>LEI: 54930043TEPI4UKGHU90 | Long             | ABS-CBDO         | CORP              | KY        |       13024 | PA      | $13020.80     | 0.00%             | 2031-01-16      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                                    | TYSN 2023-CRNR Mortgage Trust                                                     | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      320000 | PA      | $336865.60    | 0.01%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                           | Taco Bell Funding LLC                                                             | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1192000 | PA      | $1185314.91   | 0.05%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                          | Talen Energy Supply LLC                                                           | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105875.43    | 0.00%             | 2030-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                                          | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                      | CUSIP: 87470LAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103356.30    | 0.00%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp               | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3463000 | PA      | $3516346.96   | 0.14%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp               | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2142000 | PA      | $2155095.59   | 0.08%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                             | Targa Resources Corp                                                              | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     1047000 | PA      | $1002355.54   | 0.04%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                             | Targa Resources Corp                                                              | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      509000 | PA      | $544465.70    | 0.02%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                             | Targa Resources Corp                                                              | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     1427000 | PA      | $1502222.41   | 0.06%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                                             | Taylor Morrison Communities Inc                                                   | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100602.90    | 0.00%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TELECOM ARGENTINA SA                                             | Telecom Argentina SA                                                              | CUSIP: 879273AV2<br>LEI: 549300MKPIRSJD8SB782 | Long             | DBT              | CORP              | AR        |      119918 | PA      | $125267.67    | 0.00%             | 2033-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| TELEFLEX INC                                                     | Teleflex Inc                                                                      | CUSIP: 879369AF3<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99847.75     | 0.00%             | 2027-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TELUS CORP                                                       | TELUS Corp                                                                        | CUSIP: 87971MCL5<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $102044.30    | 0.00%             | 2055-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTL INC                                              | Somnigroup International Inc                                                      | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97428.38     | 0.00%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                            | Tenet Healthcare Corp                                                             | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200371.48    | 0.01%             | 2028-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                            | Tenet Healthcare Corp                                                             | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102329.34    | 0.00%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| TENNECO INC                                                      | Tenneco Inc                                                                       | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200639.97    | 0.01%             | 2028-11-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                                       | Terex Corp                                                                        | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99659.85     | 0.00%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                          | Teva Pharmaceutical Finance Netherlands III BV                                    | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $98845.61     | 0.00%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                          | Teva Pharmaceutical Finance Netherlands III BV                                    | CUSIP: 88167AAR2<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $230288.02    | 0.01%             | 2031-09-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| State of Texas                                                   | TEXAS ST                                                                          | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |      768594 | PA      | $787638.27    | 0.03%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Thayer Park CLO, Ltd.                                            | Thayer Park CLO Ltd                                                               | CUSIP: 883310AW4<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250074.75    | 0.01%             | 2034-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| TOUCAN FINCO LTD/CAN/US                                          | Toucan FinCo Ltd/Toucan FinCo Can Inc/Toucan FinCo US LLC                         | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      502000 | PA      | $501300.46    | 0.02%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TransDigm Inc                                                                     | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101761.59    | 0.00%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TransDigm Inc                                                                     | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      200000 | PA      | $210194.00    | 0.01%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TransDigm Inc                                                                     | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      300000 | PA      | $307838.10    | 0.01%             | 2033-05-31      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                                         | Transocean International Ltd                                                      | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      239000 | PA      | $240877.11    | 0.01%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FIN LTD                                         | Transocean Titan Financing Ltd                                                    | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      170000 | PA      | $173617.94    | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                 | Trestles CLO IX Ltd                                                               | CUSIP: 894932AC6<br>LEI: 254900TP9ZGKPKCMHR24 | Long             | ABS-CBDO         | CORP              | KY        |      610000 | PA      | $610342.21    | 0.02%             | 2039-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                 | Trestles CLO VI Ltd                                                               | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | KY        |     1240000 | PA      | $1236991.76   | 0.05%             | 2038-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                 | TRESTLES CLO III LTD                                                              | CUSIP: 89532TAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250281.75    | 0.01%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                 | Trestles Clo IV Ltd                                                               | CUSIP: 89532WAN9<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |     1170000 | PA      | $1170810.81   | 0.05%             | 2038-10-30      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                 | Trestles CLO VII Ltd                                                              | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250594.25    | 0.01%             | 2037-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                 | Trestles CLO VIII Ltd                                                             | CUSIP: 89533DAC4<br>LEI: 2549002BMO2L1UMJWE02 | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270574.29    | 0.01%             | 2035-06-11      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                               | Tricon Residential 2021-SFR1 Trust                                                | CUSIP: 89614YAG1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |      795000 | PA      | $786750.76    | 0.03%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                               | Tricon Residential 2021-SFR1 Trust                                                | CUSIP: 89614YAH9<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |      639000 | PA      | $632514.98    | 0.02%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU 2019-1 Ltd                                         | Trimaran Cavu 2021-1 Ltd                                                          | CUSIP: 89624NAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280391.72    | 0.01%             | 2037-07-23      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU 2019-1 Ltd                                         | Trimaran CAVU 2023-1 Ltd                                                          | CUSIP: 89624WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249327.25    | 0.01%             | 2038-03-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                 | Trinitas CLO XXVIII LTD                                                           | CUSIP: 89640FAA3<br>LEI: 254900DPIAGU6GHOTB83 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250413.04    | 0.01%             | 2037-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                 | Trinitas CLO XXI Ltd                                                              | CUSIP: 89640JAY3<br>LEI: 254900S6ZHFKMFCQD992 | Long             | ABS-CBDO         | CORP              | BM        |      430000 | PA      | $429437.90    | 0.02%             | 2038-04-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                 | TRINITAS CLO IV LTD                                                               | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |       76467 | PA      | $76469.86     | 0.00%             | 2031-10-18      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                 | Trinitas Clo VII Ltd                                                              | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249498.75    | 0.01%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                 | Trinitas CLO XIV Ltd                                                              | CUSIP: 89641QBC3<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |      560000 | PA      | $559185.76    | 0.02%             | 2034-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FIN                                            | Trivium Packaging Finance BV                                                      | CUSIP: 89686QAC0<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $217007.26    | 0.01%             | 2031-01-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| TRONOX INC                                                       | Tronox Inc                                                                        | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |       81000 | PA      | $56704.57     | 0.00%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Truist Bank Auto Credit-Linked Notes                             | Truist Bank Auto Credit-Linked Notes Series 2025-1                                | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1076458 | PA      | $1078196.74   | 0.04%             | 2033-09-26      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| TRUST 2401                                                       | Trust 2401                                                                        | CUSIP: 89834MAB2<br>LEI: N/A                  | Long             | DBT              |  | MX        |      288000 | PA      | $318404.16    | 0.01%             | 2032-01-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                | 1211 Avenue of the Americas Trust 2015-1211                                       | CUSIP: 90117PAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230000 | PA      | $207000.00    | 0.01%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                                | 245 Park Avenue Trust 2017-245P                                                   | CUSIP: 90187LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $10810.00     | 0.00%             | 2037-06-05      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                                | 245 Park Avenue Trust 2017-245P                                                   | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207000 | PA      | $198108.03    | 0.01%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                   | 280 Park Avenue 2017-280P Mortgage Trust                                          | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $495230.50    | 0.02%             | 2034-09-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                   | 280 Park Avenue 2017-280P Mortgage Trust                                          | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2998451 | PA      | $2962692.07   | 0.12%             | 2034-09-15      | Floating      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                    | UBS Commercial Mortgage Trust                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3914660 | PA      | $172615.37    | 0.01%             | 2052-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                    | UBS Commercial Mortgage Trust 2019-C18                                            | CUSIP: 90278PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6708435 | PA      | $185994.06    | 0.01%             | 2052-12-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                          | UKG Inc                                                                           | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102721.30    | 0.00%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LESSEN HOLDINGS INC PREF                                         | LESSEN HOLDINGS INC PREF                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       23458 | NS      | $0.23         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FREEWIRE EQUITY                                                  | FREEWIRE EQUITY                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          25 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| OCEANA A 4 YEAR                                                  | OCEANA A 4 YEAR                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |      759000 | PA      | $521714.24    | 0.02%             | 2027-07-31      | Fixed         | 12.50%                | Yes           |                  3 | On Loan: No      |
| OCEANA A 3 YEAR                                                  | OCEANA A 3 YEAR                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |      456000 | PA      | $308115.51    | 0.01%             | 2026-07-31      | Fixed         | 12.50%                | Yes           |                  3 | On Loan: No      |
| INSIGHT M INC SERIES D                                           | INSIGHT M INC SERIES D                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      481839 | NS      | $155826.73    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| WESTBAY 4A2 NOTES                                                | WESTBAY 4A2 NOTES                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3134000 | PA      | $3169414.20   | 0.12%             | 2030-02-06      | Fixed         | 11.00%                | Yes           |                  3 | On Loan: No      |
| INSIGHT M INC WARRANTS                                           | INSIGHT M INC WARRANTS                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      499269 | NS      | $4.99         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| UPG HI Issuer Trust                                              | UPG HI 2025-2 Issuer Trust                                                        | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      422000 | PA      | $421819.26    | 0.02%             | 2047-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                 | UWM Holdings LLC                                                                  | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       55000 | PA      | $55691.85     | 0.00%             | 2030-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                 | UWM Holdings LLC                                                                  | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $59904.35     | 0.00%             | 2031-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                               | Ukraine Government International Bond                                             | CUSIP: 903724BZ4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      113000 | PA      | $84209.57     | 0.00%             | 2029-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                               | Ukraine Government International Bond                                             | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       25000 | PA      | $14962.72     | 0.00%             | 2035-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                               | Ukraine Government International Bond                                             | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       17000 | PA      | $9991.91      | 0.00%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                               | Ukraine Government International Bond                                             | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |        5000 | PA      | $2962.50      | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                               | Ukraine Government International Bond                                             | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       14000 | PA      | $7910.85      | 0.00%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC RR 2014-1                                          | Union Pacific Railroad Co 2014-1 Pass Through Trust                               | CUSIP: 907825AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      517795 | PA      | $516443.98    | 0.02%             | 2026-05-14      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                            | Mexico Government International Bonds                                             | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      128000 | PA      | $127360.00    | 0.00%             | 2040-01-11      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                            | Mexico Government International Bonds                                             | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4504000 | PA      | $3407276.00   | 0.13%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Mexico Government International Bonds                            | Mexico Government International Bonds                                             | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3275000 | PA      | $2914750.00   | 0.11%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                            | Mexico Government International Bonds                                             | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      200000 | PA      | $172900.00    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                            | Mexico Government International Bonds                                             | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      200000 | PA      | $192000.00    | 0.01%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                            | Mexico Government International Bonds                                             | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      200000 | PA      | $209600.00    | 0.01%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                            | Mexico Government International Bonds                                             | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      271000 | PA      | $291867.00    | 0.01%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                          | United Rentals North America Inc                                                  | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95370.54     | 0.00%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                          | United Rentals North America Inc                                                  | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101371.33    | 0.00%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      898000 | PA      | $879689.22    | 0.03%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9665200 | PA      | $9681812.06   | 0.38%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      898000 | PA      | $885898.05    | 0.03%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      791000 | PA      | $712888.75    | 0.03%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3443000 | PA      | $2784660.73   | 0.11%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9487000 | PA      | $8189208.00   | 0.32%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9487000 | PA      | $8314095.53   | 0.33%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6418100 | PA      | $5079825.90   | 0.20%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15297000 | PA      | $10833383.13  | 0.42%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6579700 | PA      | $4940943.47   | 0.19%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13047000 | PA      | $9294458.52   | 0.36%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12026300 | PA      | $8949258.34   | 0.35%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2681000 | PA      | $2036198.56   | 0.08%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10024800 | PA      | $7384674.89   | 0.29%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2681000 | PA      | $1923303.31   | 0.08%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7927000 | PA      | $4971405.68   | 0.19%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2681000 | PA      | $1318193.25   | 0.05%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9628000 | PA      | $6046835.36   | 0.24%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9628000 | PA      | $6108890.81   | 0.24%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3942300 | PA      | $2069707.50   | 0.08%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9628000 | PA      | $6249173.75   | 0.24%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1431600 | PA      | $1000106.81   | 0.04%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5888700 | PA      | $3711031.12   | 0.15%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2681000 | PA      | $1535815.03   | 0.06%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6549100 | PA      | $3619912.73   | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14868800 | PA      | $10649197.22  | 0.42%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6526000 | PA      | $5283510.81   | 0.21%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2391500 | PA      | $2151415.83   | 0.08%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7906500 | PA      | $6395926.09   | 0.25%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1956200 | PA      | $1731695.49   | 0.07%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12928400 | PA      | $12691547.70  | 0.50%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      852000 | PA      | $770327.81    | 0.03%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3582800 | PA      | $3288198.68   | 0.13%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                               | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4210000 | PA      | $4125471.11   | 0.16%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13530500 | PA      | $13326485.50  | 0.52%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4871000 | PA      | $4474089.59   | 0.18%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13670000 | PA      | $13111986.36  | 0.51%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13446300 | PA      | $12803398.78  | 0.50%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6320000 | PA      | $5990421.86   | 0.23%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3772200 | PA      | $3590220.81   | 0.14%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8868000 | PA      | $8407972.50   | 0.33%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14128300 | PA      | $13891300.73  | 0.54%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3030000 | PA      | $2846424.60   | 0.11%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3172300 | PA      | $3056312.78   | 0.12%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7545000 | PA      | $7378184.73   | 0.29%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1552500 | PA      | $1463837.69   | 0.06%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8412600 | PA      | $8316643.78   | 0.33%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12595000 | PA      | $11740409.60  | 0.46%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10516000 | PA      | $10338542.50  | 0.40%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15032000 | PA      | $15192889.30  | 0.59%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3100000 | PA      | $3122039.08   | 0.12%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8144900 | PA      | $8098130.44   | 0.32%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15322000 | PA      | $15517116.17  | 0.61%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14800000 | PA      | $14827731.35  | 0.58%             | 2026-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7232700 | PA      | $7251629.35   | 0.28%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12977300 | PA      | $13043874.59  | 0.51%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11260900 | PA      | $11829223.55  | 0.46%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7323200 | PA      | $7380644.50   | 0.29%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12914000 | PA      | $12987145.67  | 0.51%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10412300 | PA      | $10462231.25  | 0.41%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8864000 | PA      | $8836300.00   | 0.35%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6462300 | PA      | $6517078.07   | 0.25%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12978100 | PA      | $13272135.08  | 0.52%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11385000 | PA      | $11271150.00  | 0.44%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16929000 | PA      | $17221289.68  | 0.67%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8705400 | PA      | $9008728.78   | 0.35%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                               | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13023600 | PA      | $13111102.31  | 0.51%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Inflation-Indexed Notes                                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28911662 | PA      | $29053403.23  | 1.14%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                                         | United Wholesale Mortgage LLC                                                     | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |      105000 | PA      | $104247.51    | 0.00%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| UNITED WHOLESALE MTGE LL                                         | United Wholesale Mortgage LLC                                                     | CUSIP: 913229AC4<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100266.50    | 0.00%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                                          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                   | CUSIP: 91327BAB6<br>LEI: N/A                  | Long             | DBT              |  | US        |      200000 | PA      | $198770.38    | 0.01%             | 2028-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                       | UNIV Trust 2025-APTS                                                              | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1838000 | PA      | $1840266.99   | 0.07%             | 2042-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                       | UNIV Trust 2025-APTS                                                              | CUSIP: 91336XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143000 | PA      | $143177.98    | 0.01%             | 2042-11-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| University of California                                         | UNIV OF CALIFORNIA REVENUES                                                       | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      239000 | PA      | $198333.65    | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS                                         | Univision Communications Inc                                                      | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      200000 | PA      | $208925.80    | 0.01%             | 2031-07-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS                                         | Univision Communications Inc                                                      | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      100000 | PA      | $107481.30    | 0.00%             | 2032-08-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Upland CLO Ltd                                                   | Upland CLO Ltd                                                                    | CUSIP: 915328AW8<br>LEI: 54930052JF7HYEE5CO91 | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270426.06    | 0.01%             | 2031-04-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                   | Upgrade Master Pass-Thru Trust Series 2025-ST6                                    | CUSIP: 91533QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      334206 | PA      | $334798.64    | 0.01%             | 2032-10-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                   | Upgrade Master Pass-Thru Trust Series 2025-ST7                                    | CUSIP: 91533RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      879556 | PA      | $879167.12    | 0.03%             | 2032-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                   | Upgrade Master Pass-Thru Trust Series 2025-ST7                                    | CUSIP: 91533RAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      501000 | PA      | $501668.33    | 0.02%             | 2032-11-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                   | Upgrade Master Pass-Thru Trust Series 2025-ST5                                    | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      126000 | PA      | $126506.42    | 0.00%             | 2032-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                   | Upgrade Master Pass-Thru Trust Series 2025-ST8                                    | CUSIP: 91535UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      370000 | PA      | $370771.78    | 0.01%             | 2033-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust                                      | UPX HIL 2025-1 Issuer Trust                                                       | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1166669 | PA      | $1175680.10   | 0.05%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                         | USA Compression Partners LP / USA Compression Finance Corp                        | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $103511.14    | 0.00%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                         | USA Compression Partners LP / USA Compression Finance Corp                        | CUSIP: 91740PAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       21000 | PA      | $21251.79     | 0.00%             | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VRTX Trust                                                       | VRTX Trust 2025-HQ                                                                | CUSIP: 91835XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      970000 | PA      | $980365.42    | 0.04%             | 2042-08-05      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                          | VZ Secured Financing BV                                                           | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $180990.63    | 0.01%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Highspring Holdings LLC                                          | Highspring Holdings LLC 2022 Term Loan                                            | CUSIP: 91865FAJ8<br>LEI: 54930076HTNXBP03T379 | Long             | LON              | CORP              | US        |      268360 | PA      | $219384.14    | 0.01%             | 2029-01-22      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                      | Valaris Ltd                                                                       | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      100000 | PA      | $104046.40    | 0.00%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| VALE OVERSEAS LIMITED                                            | Vale Overseas Ltd                                                                 | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |       61000 | PA      | $62250.50     | 0.00%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: —       |
| Valley Stream Park CLO, Ltd                                      | Valley Stream Park CLO LTD                                                        | CUSIP: 92013AAT6<br>LEI: 213800DEME82SWN32S20 | Long             | ABS-CBDO         | CORP              | JE        |     1510000 | PA      | $1509486.60   | 0.06%             | 2037-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                      | VEGAS 2024-GCS                                                                    | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      970000 | PA      | $976149.41    | 0.04%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                      | VEGAS 2024-GCS                                                                    | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2180000 | PA      | $2157663.72   | 0.08%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2021-4                                     | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1918295 | PA      | $1740934.12   | 0.07%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2021-4                                     | CUSIP: 92258DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      211122 | PA      | $173963.41    | 0.01%             | 2051-12-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2017-2                                     | CUSIP: 92258VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66639 | PA      | $63065.06     | 0.00%             | 2047-11-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2017-2                                     | CUSIP: 92258VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39173 | PA      | $35912.67     | 0.00%             | 2047-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2020-1                                     | CUSIP: 92259LAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87189 | PA      | $70436.69     | 0.00%             | 2050-02-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2023-1                                     | CUSIP: 92259VAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203682 | PA      | $194805.87    | 0.01%             | 2053-01-25      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2025-5                                     | CUSIP: 92262KAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      195398 | PA      | $195421.08    | 0.01%             | 2055-12-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2025-1                                     | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      313598 | PA      | $317971.64    | 0.01%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                           | Velocity Commercial Capital Loan Trust 2025-1                                     | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108573 | PA      | $109937.97    | 0.00%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                            | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $108050.10    | 0.00%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                            | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102424.00    | 0.00%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL PLAQUE                                            | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102178.27    | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Venture CDO Ltd                                                  | Venture 32 CLO Ltd                                                                | CUSIP: 92325QAC1<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |       72868 | PA      | $72859.58     | 0.00%             | 2031-07-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                         | Venture Global Calcasieu Pass LLC                                                 | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      200000 | PA      | $187488.24    | 0.01%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | Venture Global LNG Inc                                                            | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      300000 | PA      | $298327.77    | 0.01%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC                                           | Venture Global LNG Inc                                                            | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103307.24    | 0.00%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC                                           | Venture Global LNG Inc                                                            | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96242.94     | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC                                           | Venture Global LNG Inc                                                            | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      254000 | PA      | $200591.60    | 0.01%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| Verdelite Static CLO Ltd                                         | Verdelite Static CLO 2024-1 Ltd                                                   | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      271129 | PA      | $270882.54    | 0.01%             | 2032-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                           | Verizon Communications Inc                                                        | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |        2000 | PA      | $1929.64      | 0.00%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                           | Verizon Communications Inc                                                        | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      492000 | PA      | $433785.43    | 0.02%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                           | Verizon Communications Inc                                                        | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1220000 | PA      | $1201178.17   | 0.05%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                           | Verizon Communications Inc                                                        | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      931000 | PA      | $940970.18    | 0.04%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| VERIZON COMMUNICATIONS                                           | Verizon Communications Inc                                                        | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     2126000 | PA      | $2100490.87   | 0.08%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                           | Verizon Communications Inc                                                        | CUSIP: 92343VHK3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1859000 | PA      | $1834743.40   | 0.07%             | 2065-11-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2025-12                                                | CUSIP: 92490FAE0<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |      413190 | PA      | $413998.90    | 0.02%             | 2070-12-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| VERSANT MEDIA GROUP INC                                          | Versant Media Group Inc                                                           | CUSIP: 925283AA1<br>LEI: 254900D2Q5F5F229PU30 | Long             | DBT              | CORP              | US        |       23000 | PA      | $23728.85     | 0.00%             | 2031-01-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-2                                                 | CUSIP: 92539DAE8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |      484000 | PA      | $484305.84    | 0.02%             | 2068-03-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                                       | Viasat Inc                                                                        | CUSIP: 92552VAL4<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99856.07     | 0.00%             | 2027-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      347000 | PA      | $241358.45    | 0.01%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      579000 | PA      | $437068.29    | 0.02%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      570000 | PA      | $560432.36    | 0.02%             | 2026-10-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 92553PBC5<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      200000 | PA      | $179382.00    | 0.01%             | 2057-02-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                                                                  | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     1330000 | PA      | $1278961.56   | 0.05%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                           | VICI Properties LP / VICI Note Co Inc                                             | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |      645000 | PA      | $643741.22    | 0.03%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                           | VICI Properties LP / VICI Note Co Inc                                             | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              |  | US        |      786000 | PA      | $780801.44    | 0.03%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI Properties LP                                                                | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     1517000 | PA      | $1531815.64   | 0.06%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI Properties LP                                                                | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     4039000 | PA      | $4087480.80   | 0.16%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI Properties LP                                                                | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      580000 | PA      | $586104.94    | 0.02%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                               | Expand Energy Corp                                                                | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     2016000 | PA      | $2027806.78   | 0.08%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                                         | Viper Energy Partners LLC                                                         | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1593065.25   | 0.06%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| VIPER ENERGY PARTNERS LL                                         | Viper Energy Partners LLC                                                         | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     1693000 | PA      | $1727757.29   | 0.07%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| VIRGIN MEDIA SECURED FIN                                         | Virgin Media Secured Finance PLC                                                  | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $197031.32    | 0.01%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                               | Visio 2019-2 Trust                                                                | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      169000 | PA      | $158557.39    | 0.01%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                                      | Visio 2022-1 Trust                                                                | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171000 | PA      | $170279.00    | 0.01%             | 2057-08-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                 | Vista Point Securitization Trust 2020-2                                           | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $98195.50     | 0.00%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                         | Vistra Operations Co LLC                                                          | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      200000 | PA      | $211835.44    | 0.01%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                         | Vistra Operations Co LLC                                                          | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     2865000 | PA      | $3192578.37   | 0.12%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                         | Vistra Operations Co LLC                                                          | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     3336000 | PA      | $3510582.89   | 0.14%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| VISTRA OPERATIONS CO LLC                                         | Vistra Operations Co LLC                                                          | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     2839000 | PA      | $2930307.92   | 0.11%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| VISTRA OPERATIONS CO LLC                                         | Vistra Operations Co LLC                                                          | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      510000 | PA      | $509793.35    | 0.02%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                                         | Vista Energy Argentina SAU                                                        | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |       97000 | PA      | $96930.16     | 0.00%             | 2035-12-10      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                                         | Vista Energy Argentina SAU                                                        | CUSIP: 92841RAB6<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |      721000 | PA      | $740827.50    | 0.03%             | 2033-06-10      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                 | Vista Point Securitization Trust 2025-CES3                                        | CUSIP: 92842MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327493 | PA      | $327938.39    | 0.01%             | 2055-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                               | Vodafone Group PLC                                                                | CUSIP: 92857WBQ2<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $211862.48    | 0.01%             | 2079-04-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                 | Vmed O2 UK Financing I PLC                                                        | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $184642.70    | 0.01%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                            | VOLT CVI LLC                                                                      | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      864000 | PA      | $865067.49    | 0.03%             | 2051-12-26      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| VOLTAGRID LLC                                                    | VoltaGrid LLC                                                                     | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |      321000 | PA      | $318029.38    | 0.01%             | 2030-11-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                                    | Voyager OPTONE Delaware Trust                                                     | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2780770 | PA      | $603494.75    | 0.02%             | 2038-02-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                     | Voya CLO 2013-2 Ltd                                                               | CUSIP: 92916WAA7<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |       46953 | PA      | $46952.67     | 0.00%             | 2031-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                     | Voya CLO 2018-1 Ltd                                                               | CUSIP: 92917AAA4<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |       59153 | PA      | $59158.59     | 0.00%             | 2031-04-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                     | Voya CLO 2019-2 Ltd                                                               | CUSIP: 92917RAL3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |      885387 | PA      | $885919.83    | 0.03%             | 2032-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                     | Voya CLO 2021-2 Ltd                                                               | CUSIP: 92919AAN4<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249679.50    | 0.01%             | 2038-04-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                     | Voya CLO 2021-2 Ltd                                                               | CUSIP: 92919AAS3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249178.25    | 0.01%             | 2038-04-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                               | Voyager Parent LLC                                                                | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106112.10    | 0.00%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                     | Voya CLO 2025-4 Ltd                                                               | CUSIP: 92946DAE5<br>LEI: 254900U7M8PTC5C6HY46 | Long             | ABS-CBDO         | CORP              | KY        |      765000 | PA      | $766625.63    | 0.03%             | 2038-10-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                          | Mexican Bonos                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      323400 | PA      | $18108.78     | 0.00%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ACE03 MH1 B2                                                     | ACE03 MH1 B2                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60261 | PA      | $58517.65     | 0.00%             | 2030-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Lebanon Government International Bonds                           | Lebanon Government International Bonds                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |       95000 | PA      | $22132.15     | 0.00%             | 2027-03-23      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust                     | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3476094 | PA      | $3135801.26   | 0.12%             | 2037-04-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                     | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1178671 | PA      | $1012439.63   | 0.04%             | 2047-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Interface Security Systems LLC                                   | Interface Security Systems LLC Term Loan                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2038693 | PA      | $693155.50    | 0.03%             | 2028-08-07      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| SONDER SECURED NOTES BND                                         | SONDER SECURED NOTES BND                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1594921 | PA      | $0.00         | 0.00%             | 2027-01-19      | Variable      | 7.00%                 | Yes           |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-AR1 Trust  | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1603682 | PA      | $1445238.34   | 0.06%             | 2035-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                              | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE4 Trust          | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1584184 | PA      | $398868.01    | 0.02%             | 2036-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                              | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust          | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      463922 | PA      | $357725.65    | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust    | CUSIP: 93935EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      829686 | PA      | $269069.46    | 0.01%             | 2036-10-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA2 Trust  | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1936189 | PA      | $1695504.48   | 0.07%             | 2047-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust  | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115190 | PA      | $110813.83    | 0.00%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                           | WASHINGTON MUTUAL INC COMMON                                                      | CUSIP: 939ESCAY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1247000 | PA      | $0.12         | 0.00%             | 2017-09-21      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Bank                                           | WASHINGTON MUTUAL INC COMMON                                                      | CUSIP: 939ESCAZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3780000 | PA      | $0.38         | 0.00%             | 2049-09-21      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Bank                                           | WASHINGTON MUTUAL INC                                                             | CUSIP: 939ESCBE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1310000 | PA      | $0.13         | 0.00%             | 2049-09-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Bank                                           | WASHINGTON MUTUAL BANK                                                            | CUSIP: 939MMIBD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      250000 | PA      | $0.03         | 0.00%             | 2049-09-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Bank                                           | WASHINGTON MUTUAL BANK                                                            | CUSIP: 939MMIBF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2190000 | PA      | $0.22         | 0.00%             | 2049-09-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| DREAM FINDERS HOMES INC                                          | DREAM FINDERS HOMES INC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        2628 | NS      | $2605005.00   | 0.10%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Hydrofarm Holdings LLC                                           | Hydrofarm Holdings LLC 2021 Term Loan                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      346842 | PA      | $289612.82    | 0.01%             | 2028-10-25      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                      | Wayfair LLC                                                                       | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      100000 | PA      | $106546.10    | 0.00%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| SONDER HOLDINGS CLS A LEGENDED                                   | SONDER HOLDINGS CLS A LEGENDED                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        4351 | NS      | $43.51        | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| VERSA NETWORKS                                                   | VERSA NETWORKS                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      678151 | NS      | $4136721.10   | 0.16%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Versa Networks                                                   | Versa Networks                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       83584 | NS      | $402039.04    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Wealthfront Corp                                                 | Wealthfront Corp                                                                  | CUSIP: 947002101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          78 | NS      | $1060.02      | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| WEEKLEY HOMES LLC/ FINAN                                         | Weekley Homes LLC / Weekley Finance Corp                                          | CUSIP: 948565AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      177000 | PA      | $174554.75    | 0.01%             | 2028-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Alorica Inc                                                      | Alorica Inc 2022 Term Loan                                                        | CUSIP: 000000000<br>LEI: 549300I7BKCLNE05U640 | Long             | LON              | CORP              | US        |      784068 | PA      | $779206.97    | 0.03%             | 2027-12-21      | Floating      | 10.59%                | Yes           |                  3 | On Loan: No      |
| Coreweave Compute Acquisition Co II LLC                          | Coreweave Compute Acquisition Co II LLC Delayed Draw Term Loan                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1695600 | PA      | $1674405.02   | 0.07%             | 2028-07-31      | Floating      | 14.69%                | Yes           |                  3 | On Loan: No      |
| Wellington Management CLO                                        | Wellington Management Clo 5 Ltd                                                   | CUSIP: 94957NAC9<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250074.25    | 0.01%             | 2038-10-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                   | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     1430000 | PA      | $7939.82      | 0.00%             | 2049-08-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                  | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      459000 | PA      | $355996.13    | 0.01%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                  | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2157000 | PA      | $2013207.54   | 0.08%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                  | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      216000 | PA      | $185868.95    | 0.01%             | 2053-04-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                  | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |        6000 | PA      | $6093.33      | 0.00%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                  | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1362000 | PA      | $1417068.57   | 0.06%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                  | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2585000 | PA      | $2662161.97   | 0.10%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                  | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      344000 | PA      | $358919.34    | 0.01%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                  | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2219000 | PA      | $2264930.26   | 0.09%             | 2028-04-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2019-C50                                    | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4534234 | PA      | $157236.82    | 0.01%             | 2052-05-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                   | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      421000 | PA      | $424644.47    | 0.02%             | 2035-07-15      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | WELLS FARGO COMMERCIAL MORTGAG                                                    | CUSIP: 95004AAC7<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |     5050000 | PA      | $40692.90     | 0.00%             | 2043-07-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                   | CUSIP: 95004AAE3<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $664230.40    | 0.03%             | 2043-07-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                   | CUSIP: 95004AAG8<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      407000 | PA      | $418849.81    | 0.02%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                   | CUSIP: 95004AAJ2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $173383.85    | 0.01%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                           | WESCO Distribution Inc                                                            | CUSIP: 95081QAQ7<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103266.88    | 0.00%             | 2029-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| West Deptford Energy Holdings LLC                                | West Deptford Energy Holdings LLC 2025 Term Loan                                  | CUSIP: 95249CAF1<br>LEI: 549300HOEW2V8L64EU07 | Long             | LON              | CORP              | US        |      263675 | PA      | $263455.36    | 0.01%             | 2031-12-30      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| PIONEER MIDCO                                                    | PIONEER MIDCO                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1452844 | PA      | $1456476.56   | 0.06%             | 2030-11-18      | Fixed         | 11.62%                | Yes           |                  3 | On Loan: No      |
| Euro Parfums Fze                                                 | Euro Parfums Fze Term Loan B                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      164225 | PA      | $163404.17    | 0.01%             | 2028-06-23      | Floating      | 9.12%                 | No            |                  3 | On Loan: No      |
| SONDER BRIDGE NOTES                                              | SONDER BRIDGE NOTES                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      212450 | PA      | $0.00         | 0.00%             | 2027-12-10      | Fixed         | 7.00%                 | Yes           |                  3 | On Loan: No      |
| NEW GEN GAS BOND CORP                                            | NEW GEN GAS BOND CORP                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1425541 | PA      | $1434521.45   | 0.06%             | 2029-09-30      | Variable      | 9.27%                 | Yes           |                  3 | On Loan: No      |
| COHESITY GLOBAL INC                                              | COHESITY GLOBAL INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        1382 | NS      | $32822.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SONDER WARRANTS                                                  | SONDER WARRANTS                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        4323 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SONDER COMMON 5 YR WARRANTS                                      | SONDER COMMON 5 YR WARRANTS                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       43128 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| WOM NEW HOLDCO COMMON                                            | WOM NEW HOLDCO COMMON                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1032 | NS      | $23736.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| AETHON SR SEC 2L NOTES 144A                                      | AETHON SR SEC 2L NOTES 144A                                                       | CUSIP: 000000000<br>LEI: 5493003Y9J3720W2G906 | Long             | DBT              | CORP              | US        |      451536 | PA      | $449278.32    | 0.02%             | 2027-01-10      | Variable      | 10.08%                | No            |                  3 | On Loan: No      |
| COHESITY GLOBAL INC                                              | COHESITY GLOBAL INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        2000 | NS      | $47500.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCEANA A 4YR NOTE UPSIZE                                         | OCEANA A 4YR NOTE UPSIZE                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |      639000 | PA      | $425924.95    | 0.02%             | 2028-07-31      | Fixed         | 10.50%                | Yes           |                  3 | On Loan: No      |
| WHIRLPOOL CORP                                                   | Whirlpool Corp                                                                    | CUSIP: 963320BE5<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96970.61     | 0.00%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                               | Whitebox Clo II Ltd                                                               | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |     1778000 | PA      | $1779146.81   | 0.07%             | 2037-10-24      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                               | Whitebox Clo I Ltd                                                                | CUSIP: 96467CAJ6<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250126.00    | 0.01%             | 2037-01-24      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                               | Whitebox Clo I Ltd                                                                | CUSIP: 96467FBJ8<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      580000 | PA      | $580000.00    | 0.02%             | 2037-01-24      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                               | Whitebox CLO III Ltd                                                              | CUSIP: 96467HAU0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250097.75    | 0.01%             | 2035-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                               | Whitebox CLO III Ltd                                                              | CUSIP: 96467JAE2<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250380.25    | 0.01%             | 2035-10-15      | Floating      | 9.55%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                                            | Wildwood Park CLO Ltd                                                             | CUSIP: 968209AA4<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250930.75    | 0.01%             | 2037-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                            | Williams Scotsman Inc                                                             | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103358.90    | 0.00%             | 2030-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                          | Windstream Services LLC                                                           | CUSIP: 97382BAB5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | DBT              | CORP              | US        |       19000 | PA      | $19477.05     | 0.00%             | 2033-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                                      | Wireless PropCo Funding LLC                                                       | CUSIP: 97655EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2718000 | PA      | $2604159.56   | 0.10%             | 2055-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WOM CHILE HOLDCO SPA                                             | WOM Chile Holdco SpA                                                              | CUSIP: 97810KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |      561274 | PA      | $514396.40    | 0.02%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WOM MOBILE SA                                                    | WOM Mobile SA                                                                     | CUSIP: 97810LAA7<br>LEI: 549300T600VUO0QJ3063 | Long             | DBT              | CORP              | CL        |       23233 | PA      | $22826.42     | 0.00%             | 2031-04-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                                              | Travel + Leisure Co                                                               | CUSIP: 98310WAN8<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101511.98    | 0.00%             | 2027-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                   | Wynn Macau Ltd                                                                    | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      300000 | PA      | $299865.18    | 0.01%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| WYNN MACAU LTD                                                   | Wynn Macau Ltd                                                                    | CUSIP: 98313RAL0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $202573.86    | 0.01%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| XHR LP                                                           | XHR LP                                                                            | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              |  | US        |       52000 | PA      | $51268.99     | 0.00%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                                           | XPLR Infrastructure Operating Partners LP                                         | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104963.10    | 0.00%             | 2031-01-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| XEROX CORPORATION                                                | Xerox Corp                                                                        | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |      357000 | PA      | $341559.25    | 0.01%             | 2030-10-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: —       |
| XEROX CORPORATION                                                | Xerox Corp                                                                        | CUSIP: 984121CT8<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |      157000 | PA      | $127856.88    | 0.01%             | 2031-04-15      | Fixed         | 13.50%                | No            |                  2 | On Loan: —       |
| Xerox Holdings Corp                                              | Xerox Holdings Corp 2023 Term Loan B                                              | CUSIP: 98415LAY2<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | LON              | CORP              | US        |       92000 | PA      | $79235.00     | 0.00%             | 2029-11-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                             | YPF SA                                                                            | CUSIP: 984245AX8<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      118000 | PA      | $125949.31    | 0.00%             | 2031-01-17      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                                         | Yale Mortgage Loan Trust 2007-1                                                   | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      670702 | PA      | $205272.48    | 0.01%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                  | Yum! Brands Inc                                                                   | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94594.16     | 0.00%             | 2031-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                                    | ZF North America Capital Inc                                                      | CUSIP: 98877DAH8<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      200000 | PA      | $202151.40    | 0.01%             | 2031-03-24      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                          | Zayo Group Holdings Inc                                                           | CUSIP: 98919VAC9<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |       46294 | PA      | $43979.30     | 0.00%             | 2030-03-09      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                         | Republic of South Africa Government Bond                                          | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    39880911 | PA      | $2350735.29   | 0.09%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FIGEAC AERO S.A.                                                 | FIGEAC AERO S.A.                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |      980000 | PA      | $1141676.23   | 0.04%             | 2030-07-23      | Fixed         | 7.79%                 | No            |                  3 | On Loan: No      |
| INDONESIA GOVERNMENT                                             | Indonesia Treasury Bond                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   735000000 | PA      | $49479.27     | 0.00%             | 2032-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                             | Indonesia Treasury Bond                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 10713000000 | PA      | $657105.10    | 0.03%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                             | Indonesia Treasury Bond                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  3870000000 | PA      | $238703.06    | 0.01%             | 2033-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                         | Republic of South Africa Government Bond                                          | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    25230354 | PA      | $1508893.31   | 0.06%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                         | Republic of South Africa Government Bond                                          | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    29190361 | PA      | $1798936.22   | 0.07%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                             | Colombian TES                                                                     | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  6275500000 | PA      | $1361120.19   | 0.05%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                         | Brazil Notas do Tesouro Nacional Serie F                                          | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     6850000 | PA      | $1210938.88   | 0.05%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                                   | Czech Republic Government Bond                                                    | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    12390000 | PA      | $579993.59    | 0.02%             | 2029-07-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                     | KazMunayGas National Co. JSC                                                      | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      253000 | PA      | $255238.29    | 0.01%             | 2048-10-24      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | Petroleos Mexicanos                                                               | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      120000 | PA      | $141719.93    | 0.01%             | 2029-02-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| KONDOR FINANCE PLC (NAK)                                         | NAK Naftogaz Ukraine via Kondor Finance PLC                                       | CUSIP: 000000000<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |      179448 | PA      | $177461.76    | 0.01%             | 2026-07-19      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                             | Colombian TES                                                                     | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  5466900000 | PA      | $1309385.62   | 0.05%             | 2027-11-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ecuador Government International Bonds                           | Ecuador Government International Bonds                                            | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |       79000 | PA      | $69638.50     | 0.00%             | 2035-07-31      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Ecuador Government International Bonds                           | Ecuador Government International Bonds                                            | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      156000 | PA      | $122070.00    | 0.00%             | 2040-07-31      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Invesco Euro CLO                                                 | Invesco Euro CLO V DAC                                                            | CUSIP: 000000000<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |      100000 | PA      | $113197.73    | 0.00%             | 2034-01-15      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Avoca CLO                                                        | Avoca CLO XXII DAC                                                                | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |      250000 | PA      | $293228.56    | 0.01%             | 2035-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Euro Galaxy CLO DAC                                              | Euro-Galaxy III CLO DAC                                                           | CUSIP: 000000000<br>LEI: 635400H1W7SGWXGQOB43 | Long             | ABS-CBDO         | CORP              | IE        |      290000 | PA      | $340697.23    | 0.01%             | 2034-04-24      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Henley CLO                                                       | Henley CLO IV DAC                                                                 | CUSIP: 000000000<br>LEI: 6354009HFM8XXW6PPK55 | Long             | ABS-CBDO         | CORP              | IE        |      100000 | PA      | $117410.71    | 0.00%             | 2034-04-25      | Floating      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Cordatus CLO PLC                                                 | CVC Cordatus Loan Fund IV DAC                                                     | CUSIP: 000000000<br>LEI: 2138005AFEIY5AMT4165 | Long             | ABS-CBDO         | CORP              | IE        |      250000 | PA      | $293794.71    | 0.01%             | 2034-02-22      | Floating      | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Avoca CLO                                                        | Avoca CLO XXII DAC                                                                | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |      150000 | PA      | $175761.74    | 0.01%             | 2035-04-15      | Floating      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Voya Euro CLO                                                    | Voya Euro CLO V DAC                                                               | CUSIP: 000000000<br>LEI: 549300IGE7MPYA8F0423 | Long             | ABS-CBDO         | CORP              | IE        |      340000 | PA      | $399429.75    | 0.02%             | 2035-04-15      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                                    | Ares European CLO XII DAC                                                         | CUSIP: 000000000<br>LEI: 635400XCOLUI5RNVIZ11 | Long             | ABS-CBDO         | CORP              | IE        |      297000 | PA      | $349516.42    | 0.01%             | 2032-04-20      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                                             | Bluemountain Euro 2021-2 CLO DAC                                                  | CUSIP: 000000000<br>LEI: 635400FUA3XKDDGLJL55 | Long             | ABS-CBDO         | CORP              | IE        |      560000 | PA      | $656361.42    | 0.03%             | 2035-10-15      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Pakistan Global Sukuk Programme Co. Ltd.                         | Pakistan Global Sukuk Programme Co. Ltd.                                          | CUSIP: 000000000<br>LEI: 213800X5OY6CVYNY1M70 | Long             | DBT              | NUSS              | PK        |      200000 | PA      | $204498.89    | 0.01%             | 2029-01-31      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Cassia S.r.l.                                                    | Cassia 2022-1 SRL                                                                 | CUSIP: 000000000<br>LEI: 815600A9D6ADF4638276 | Long             | ABS-MBS          | CORP              | IT        |     1203614 | PA      | $1417904.72   | 0.06%             | 2034-05-22      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                             | Indonesia Treasury Bond                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  5811000000 | PA      | $366265.84    | 0.01%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                             | Indonesia Treasury Bond                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  6618000000 | PA      | $422289.10    | 0.02%             | 2038-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                          | Mexican Bonos                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    30562500 | PA      | $1578523.64   | 0.06%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                           | Brazil Letras do Tesouro Nacional                                                 | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     2124000 | PA      | $363022.57    | 0.01%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                          | Mexican Bonos                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    24777500 | PA      | $1372638.41   | 0.05%             | 2026-09-03      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                                          | Energean Israel Finance Ltd                                                       | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |      118970 | PA      | $127062.05    | 0.00%             | 2033-09-30      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                            | Philippine Government Bond                                                        | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    27290000 | PA      | $473550.86    | 0.02%             | 2030-07-27      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                          | Mexican Bonos                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    14274500 | PA      | $799530.54    | 0.03%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                                   | Czech Republic Government Bond                                                    | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    10390000 | PA      | $510014.62    | 0.02%             | 2032-11-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                              | Worldline SA/France                                                               | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |      500000 | PA      | $529280.95    | 0.02%             | 2028-09-12      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                                          | Turkiye Government Bond                                                           | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     5610000 | PA      | $127019.60    | 0.00%             | 2033-10-05      | Fixed         | 26.20%                | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                                         | Thailand Government Bond                                                          | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |      365000 | PA      | $15279.03     | 0.00%             | 2055-06-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TAV HAVALIMANLARI HOLDIN                                         | TAV Havalimanlari Holding AS                                                      | CUSIP: 000000000<br>LEI: 789000PBM9TT5D88M597 | Long             | DBT              | CORP              | TR        |      700000 | PA      | $730510.78    | 0.03%             | 2028-12-07      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                           | Brazil Letras do Tesouro Nacional                                                 | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     9232000 | PA      | $1629614.38   | 0.06%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                               | MVM Energetika Zrt                                                                | CUSIP: 000000000<br>LEI: 529900ELI5AQ9F74PF85 | Long             | DBT              | CORP              | HU        |      880000 | PA      | $928480.60    | 0.04%             | 2031-03-13      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                           | Republic of Poland Government Bond                                                | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1521000 | PA      | $431255.87    | 0.02%             | 2029-07-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                           | Republic of Poland Government Bond                                                | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1739000 | PA      | $482202.60    | 0.02%             | 2034-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                         | OCP SA                                                                            | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      708000 | PA      | $763802.02    | 0.03%             | 2034-05-02      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Miltonia Mortgage Finance                                        | Miltonia Mortgage Finance Srl                                                     | CUSIP: 000000000<br>LEI: 815600BC278905BA4594 | Long             | ABS-MBS          | CORP              | IT        |      258000 | PA      | $303741.91    | 0.01%             | 2062-04-28      | Floating      | 3.37%                 | Yes           |                  2 | On Loan: No      |
| UK Logisitics                                                    | UK Logistics 2024-1 DAC                                                           | CUSIP: 000000000<br>LEI: 635400H22JMICKOJRJ36 | Long             | ABS-MBS          | CORP              | IE        |      129959 | PA      | $175221.97    | 0.01%             | 2034-05-17      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| TRIDENT ENERGY FINANCE                                           | Trident Energy Finance PLC                                                        | CUSIP: 000000000<br>LEI: 9845004ECK3FYO64I382 | Long             | DBT              | CORP              | GB        |      303000 | PA      | $307545.06    | 0.01%             | 2029-11-30      | Fixed         | 12.50%                | Yes           |                  2 | On Loan: No      |
| TURK TELEKOMUNIKASYON AS                                         | Turk Telekomunikasyon AS                                                          | CUSIP: 000000000<br>LEI: 789000A2TXOI10JZLF90 | Long             | DBT              | CORP              | TR        |      714000 | PA      | $744071.81    | 0.03%             | 2029-05-20      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| PCL Funding II                                                   | PCL Funding IX PLC                                                                | CUSIP: 000000000<br>LEI: 213800OC928ETRJNHM43 | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $135129.34    | 0.01%             | 2029-07-16      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers Jersey Borrower SPV Limited                 | Vantage Data Centers Jersey Borrower Spv Ltd                                      | CUSIP: 000000000<br>LEI: 213800S5S638C9IBQ379 | Long             | ABS-O            | CORP              | JE        |      480000 | PA      | $661855.56    | 0.03%             | 2039-05-28      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                                          | Romanian Government International Bond                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      111000 | PA      | $133491.71    | 0.01%             | 2032-05-30      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| UZBEKISTAN INTL BOND                                             | Republic of Uzbekistan International Bond                                         | CUSIP: 000000000<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |      113000 | PA      | $135736.41    | 0.01%             | 2027-05-29      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| UZBEKISTAN INTL BOND                                             | Republic of Uzbekistan International Bond                                         | CUSIP: 000000000<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |      100000 | PA      | $120120.72    | 0.00%             | 2027-05-29      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Atlas Funding                                                    | Atlas Funding 2024-1 PLC                                                          | CUSIP: 000000000<br>LEI: 635400BMBKLDPBSN2U43 | Long             | ABS-MBS          | CORP              | GB        |       99899 | PA      | $135817.63    | 0.01%             | 2061-09-20      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Exmoor Funding PLC                                               | Exmoor Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $136526.22    | 0.01%             | 2094-03-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Exmoor Funding PLC                                               | Exmoor Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135857.91    | 0.01%             | 2094-03-25      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding PLC                                    | Stratton Mortgage Funding 2024-3 PLC                                              | CUSIP: 000000000<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134853.01    | 0.01%             | 2049-06-25      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Italian Stella Loans Srl                                         | Auto ABS Italian Stella Loans 2024-1 SRL                                          | CUSIP: 000000000<br>LEI: 81560077D223209D3A80 | Long             | ABS-O            | CORP              | IT        |       71481 | PA      | $84580.10     | 0.00%             | 2036-12-29      | Floating      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Italian Stella Loans Srl                                         | Auto ABS Italian Stella Loans 2024-1 SRL                                          | CUSIP: 000000000<br>LEI: 81560077D223209D3A80 | Long             | ABS-O            | CORP              | IT        |       71481 | PA      | $85026.15     | 0.00%             | 2036-12-29      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Brignole CO                                                      | Brignole Co                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       53074 | PA      | $62988.59     | 0.00%             | 2042-02-24      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Quarzo Srl                                                       | Quarzo Srl                                                                        | CUSIP: 000000000<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |       66327 | PA      | $78725.73     | 0.00%             | 2041-06-15      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Quarzo Srl                                                       | Quarzo Srl                                                                        | CUSIP: 000000000<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |       66327 | PA      | $78880.38     | 0.00%             | 2041-06-15      | Floating      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                   | Newday Funding Master Issuer PLC - Series 2024-2                                  | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |      246000 | PA      | $333867.59    | 0.01%             | 2032-07-15      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                   | Newday Funding Master Issuer PLC - Series 2024-2                                  | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |      111000 | PA      | $150245.53    | 0.01%             | 2032-07-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                   | Newday Funding Master Issuer PLC - Series 2024-2                                  | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $135126.51    | 0.01%             | 2032-07-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Pony                                                             | Pony SA                                                                           | CUSIP: 000000000<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |       89613 | PA      | $105769.61    | 0.00%             | 2033-01-14      | Floating      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Pony                                                             | Pony SA                                                                           | CUSIP: 000000000<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |       89613 | PA      | $105450.40    | 0.00%             | 2033-01-14      | Floating      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Hermitage Plc                                                    | Hermitage 2024 PLC                                                                | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       59656 | PA      | $81117.09     | 0.00%             | 2033-04-21      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Hermitage Plc                                                    | Hermitage 2024 PLC                                                                | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       49713 | PA      | $67434.86     | 0.00%             | 2033-04-21      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| Hermitage Plc                                                    | Hermitage 2024 PLC                                                                | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       56673 | PA      | $76583.16     | 0.00%             | 2033-04-21      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                           | Republic of Poland Government Bond                                                | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      795774 | PA      | $201575.93    | 0.01%             | 2036-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Edenbrook Mortgage Funding Plc                                   | Edenbrook Mortgage Funding PLC                                                    | CUSIP: 000000000<br>LEI: 635400URO7UOS6PWLH17 | Long             | ABS-MBS          | CORP              | GB        |      241132 | PA      | $329144.12    | 0.01%             | 2057-03-22      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Edenbrook Mortgage Funding Plc                                   | Edenbrook Mortgage Funding PLC                                                    | CUSIP: 000000000<br>LEI: 635400URO7UOS6PWLH17 | Long             | ABS-MBS          | CORP              | GB        |      138924 | PA      | $191115.54    | 0.01%             | 2057-03-22      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                                         | Thailand Government Bond                                                          | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    51224000 | PA      | $1704585.04   | 0.07%             | 2029-11-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Noria                                                            | Noria DE 2024                                                                     | CUSIP: 000000000<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |       80503 | PA      | $94686.63     | 0.00%             | 2043-02-25      | Floating      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Noria                                                            | Noria DE 2024                                                                     | CUSIP: 000000000<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |       80503 | PA      | $95612.26     | 0.00%             | 2043-02-25      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Auto1 Car Funding                                                | Auto1 Car Funding Sarl                                                            | CUSIP: 000000000<br>LEI: 984500380CAE46K6F380 | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $120927.49    | 0.00%             | 2033-12-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                                   | Asimi Funding 2024-1 PLC                                                          | CUSIP: 000000000<br>LEI: 635400ED9TX8KJO28Q39 | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $135054.13    | 0.01%             | 2031-09-16      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                                   | Asimi Funding 2024-1 PLC                                                          | CUSIP: 000000000<br>LEI: 635400ED9TX8KJO28Q39 | Long             | ABS-O            | CORP              | GB        |       28246 | PA      | $38082.49     | 0.00%             | 2031-09-16      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                         | Greensaif Pipelines Bidco Sarl                                                    | CUSIP: 000000000<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |      200000 | PA      | $208804.58    | 0.01%             | 2036-02-23      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                             | Indonesia Treasury Bond                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  2042000000 | PA      | $128595.18    | 0.01%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Cardiff Automobile Receivables Securitisation                    | Cardiff Auto Receivables Securitisation 2024-1 PLC                                | CUSIP: 000000000<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |      259000 | PA      | $350622.48    | 0.01%             | 2031-08-20      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Cardiff Automobile Receivables Securitisation                    | Cardiff Auto Receivables Securitisation 2024-1 PLC                                | CUSIP: 000000000<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |      197000 | PA      | $267349.83    | 0.01%             | 2031-08-20      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                            | China Government Bond                                                             | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     2490000 | PA      | $363781.28    | 0.01%             | 2034-08-25      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                           | Ukraine Government International Bonds                                            | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       97000 | PA      | $72277.04     | 0.00%             | 2029-02-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Ukraine Government International Bonds                           | Ukraine Government International Bonds                                            | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      131000 | PA      | $74384.94     | 0.00%             | 2036-02-01      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Ukraine Government International Bonds                           | Ukraine Government International Bonds                                            | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      107000 | PA      | $62995.69     | 0.00%             | 2036-02-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Braccan Mortgage Funding                                         | Braccan Mortgage Funding 2024-1 PLC                                               | CUSIP: 000000000<br>LEI: 635400RGKRFPCFMYJF13 | Long             | ABS-MBS          | CORP              | GB        |      316773 | PA      | $429100.96    | 0.02%             | 2067-02-15      | Floating      | 8.20%                 | Yes           |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS                                        | Fortuna Consumer Loan Abs 2024-2 DAC                                              | CUSIP: 000000000<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |       88418 | PA      | $104308.96    | 0.00%             | 2034-10-18      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS                                        | Fortuna Consumer Loan Abs 2024-2 DAC                                              | CUSIP: 000000000<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |      265254 | PA      | $316811.29    | 0.01%             | 2034-10-18      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                                        | Golden Bar Securitisation Srl                                                     | CUSIP: 000000000<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |      169784 | PA      | $200502.46    | 0.01%             | 2043-09-22      | Floating      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                                          | Turkiye Government Bond                                                           | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     4943479 | PA      | $112072.64    | 0.00%             | 2029-09-12      | Fixed         | 30.00%                | No            |                  2 | On Loan: No      |
| HILL FL                                                          | Hill FL 2024-2 BV                                                                 | CUSIP: 000000000<br>LEI: 724500H2AN902EY7W191 | Long             | ABS-O            | CORP              | NL        |       90043 | PA      | $104591.14    | 0.00%             | 2032-10-18      | Floating      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| Ghana Government International Bonds                             | Ghana Government International Bonds                                              | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |       75000 | PA      | $68533.36     | 0.00%             | 2035-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Vasco Finance                                                    | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | PT        |       77102 | PA      | $91220.50     | 0.00%             | 2042-10-27      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Vasco Finance                                                    | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | PT        |       77102 | PA      | $91701.20     | 0.00%             | 2042-10-27      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                              | SC Germany SA Compartment Consumer 2024-2                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117661.85    | 0.00%             | 2038-05-14      | Floating      | 3.63%                 | Yes           |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                              | SC Germany SA Compartment Consumer 2024-2                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117783.83    | 0.00%             | 2038-05-14      | Floating      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Thunder Logistics                                                | Thunder Logistics 2024-1 DAC                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |       71578 | PA      | $84039.20     | 0.00%             | 2036-11-17      | Floating      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Dowson                                                           | Dowson 2024-1 PLC                                                                 | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |      500000 | PA      | $670916.08    | 0.03%             | 2031-08-20      | Floating      | 7.74%                 | Yes           |                  2 | On Loan: No      |
| Dowson                                                           | Dowson 2024-1 PLC                                                                 | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |      500000 | PA      | $664591.50    | 0.03%             | 2031-08-20      | Floating      | 10.74%                | Yes           |                  2 | On Loan: No      |
| Asset-Backed European Securitisation Transaction                 | Asset-Backed European Securitisation Transaction Twenty-Three Sarl                | CUSIP: 000000000<br>LEI: 213800WQKYRCMTF4FR47 | Long             | ABS-O            | CORP              | LU        |       86431 | PA      | $102175.94    | 0.00%             | 2034-03-21      | Floating      | 3.52%                 | Yes           |                  2 | On Loan: No      |
| Consumo Santander                                                | FTA Consumo Santander                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       71375 | PA      | $84064.35     | 0.00%             | 2038-07-20      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Consumo Santander                                                | FTA Consumo Santander                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       71375 | PA      | $84127.68     | 0.00%             | 2038-07-20      | Floating      | 3.30%                 | Yes           |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                           | Republic of Poland Government Bond                                                | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1700000 | PA      | $484406.42    | 0.02%             | 2030-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mortimer BTL Plc                                                 | Mortimer 2024-Mix PLC                                                             | CUSIP: 000000000<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135249.04    | 0.01%             | 2067-09-22      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Golden Ray S.A.                                                  | Golden Ray SA - Compartment 1                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $116860.48    | 0.00%             | 2057-12-27      | Floating      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| Mortimer BTL Plc                                                 | Mortimer 2024-Mix PLC                                                             | CUSIP: 000000000<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134172.57    | 0.01%             | 2067-09-22      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Winchester PLC                                                   | Winchester 1 PLC                                                                  | CUSIP: 000000000<br>LEI: 213800AWJGG72JJNBW66 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135390.84    | 0.01%             | 2056-10-21      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Winchester PLC                                                   | Winchester 1 PLC                                                                  | CUSIP: 000000000<br>LEI: 213800AWJGG72JJNBW66 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135992.30    | 0.01%             | 2056-10-21      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| CITADEL PLC                                                      | Citadel 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135748.73    | 0.01%             | 2060-04-28      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| CITADEL PLC                                                      | Citadel 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135823.40    | 0.01%             | 2060-04-28      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| CITADEL PLC                                                      | Citadel 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $136832.75    | 0.01%             | 2060-04-28      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| CITADEL PLC                                                      | Citadel 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $136786.51    | 0.01%             | 2060-04-28      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds          | Republic of South Africa Government International Bonds                           | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      246000 | PA      | $264121.33    | 0.01%             | 2036-11-19      | Fixed         | 7.10%                 | Yes           |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                  | IHS Holding Ltd                                                                   | CUSIP: 000000000<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $208724.86    | 0.01%             | 2031-11-29      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Sri Lanka Government International Bonds                         | Sri Lanka Government International Bonds                                          | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       86000 | PA      | $65360.00     | 0.00%             | 2035-06-15      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Sri Lanka Government International Bonds                         | Sri Lanka Government International Bonds                                          | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       19710 | PA      | $18889.20     | 0.00%             | 2028-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                                                               | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     2965000 | PA      | $2972412.50   | 0.12%             | 2026-03-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                               | Japan Government Thirty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1025050000 | PA      | $5254690.05   | 0.21%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| TURKCELL ILETISIM HIZMET                                         | Turkcell Iletisim Hizmetleri AS                                                   | CUSIP: 000000000<br>LEI: 7890003EX1LTLS2FFL84 | Long             | DBT              | CORP              | TR        |      200000 | PA      | $212617.76    | 0.01%             | 2032-01-24      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                                         | Thailand Government Bond                                                          | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    15719000 | PA      | $533397.86    | 0.02%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| KASPI.KZ JSC                                                     | JSC Kaspi.kz                                                                      | CUSIP: 000000000<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |      200000 | PA      | $204880.43    | 0.01%             | 2030-03-26      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| UK Logisitics                                                    | UK Logistics 2025-1 DAC                                                           | CUSIP: 000000000<br>LEI: 635400LLQ82YFJBFFU27 | Long             | ABS-MBS          | CORP              | GB        |      576456 | PA      | $777622.50    | 0.03%             | 2035-05-17      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                               | Japan Government Thirty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   634900000 | PA      | $3329050.16   | 0.13%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                            | Philippine Government Bond                                                        | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    74980000 | PA      | $1303519.79   | 0.05%             | 2035-04-28      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                              | SC Germany SA Compartment Consumer 2025-1                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | DE        |      100000 | PA      | $117886.31    | 0.00%             | 2038-12-14      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                                   | Asimi Funding 2025-1 PLC                                                          | CUSIP: 000000000<br>LEI: 6354002PZBGQEXUI2V51 | Long             | ABS-O            | CORP              | GB        |       76927 | PA      | $103834.95    | 0.00%             | 2032-05-16      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| NAVOI MINING METALLURGIC                                         | Navoi Mining & Metallurgical Combinat                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | UZ        |      200000 | PA      | $209065.69    | 0.01%             | 2030-05-14      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                              | Worldline SA/France                                                               | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |      100000 | PA      | $102509.64    | 0.00%             | 2030-06-10      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                          | Mexican Bonos                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     5510000 | PA      | $283294.93    | 0.01%             | 2036-02-21      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                            | China Government Bond                                                             | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     1490000 | PA      | $199052.76    | 0.01%             | 2045-07-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                            | Philippine Government Bond                                                        | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    45860000 | PA      | $784197.99    | 0.03%             | 2030-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SRC SUKUK LTD                                                    | SRC Sukuk Ltd                                                                     | CUSIP: 000000000<br>LEI: 254900F2OG3526JLAV10 | Long             | DBT              | CORP              | KY        |      318000 | PA      | $318088.05    | 0.01%             | 2029-04-02      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                                          | Romanian Government International Bond                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       23000 | PA      | $26928.10     | 0.00%             | 2045-10-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                          | Romanian Government International Bond                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       28000 | PA      | $33265.62     | 0.00%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                          | Romanian Government International Bond                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       28000 | PA      | $33083.62     | 0.00%             | 2037-10-07      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                               | Japan Government Thirty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   113600000 | PA      | $703385.90    | 0.03%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ENERGEAN PLC                                                     | Energean PLC                                                                      | CUSIP: 000000000<br>LEI: 549300RVMKU0CYUZBB05 | Long             | DBT              | CORP              | GB        |      111000 | PA      | $130446.42    | 0.01%             | 2031-05-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | 3 MONTH SOFR FUT JUN26                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          16 | NC      | $2177.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | 3 MONTH SOFR FUT DEC26                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        1065 | NC      | $98867.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S+P500 EMINI FUT MAR26                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          -2 | NC      | $-381.35      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUND FUTURE MAR26                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         139 | NC      | $-28816.33    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US LONG BOND(CBT) MAR26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          89 | NC      | $-11547.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR NOTE (CBT)MAR26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -141 | NC      | $5653.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA BOND CBT MAR26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          81 | NC      | $-246606.87   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | NASDAQ 100 E-MINI MAR26                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          -2 | NC      | $394.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | E-MINI RUSS 2000 MAR26                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         -16 | NC      | $60161.59     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 5YR NOTE (CBT) MAR26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        2379 | NC      | $-292292.85   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 2YR NOTE (CBT) MAR26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         983 | NC      | $43446.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR ULTRA FUT MAR26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -131 | NC      | $-45534.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | AUST 10Y BOND FUT MAR26                                                           | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         157 | NC      | $-15030.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                   | JPN 10Y BOND(OSE) MAR26                                                           | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |           3 | NC      | $-22734.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | AUST 3YR BOND FUT MAR26                                                           | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         394 | NC      | $-19310.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | FED FUND 30DAY JUL26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           3 | NC      | $745.65       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America NA                                               | BYDVR6AK5 BLACKROCK PUT EUR CZK 23.8500000 202602                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |       44003 | OU      | $3277.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINE PESO                                                   | ARGENTINE PESO                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             |  |  | AR        |      208605 | NS      | $143.72       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CZECH REPUBLIC                                                   | Czech Republic Government Bond                                                    | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     3860000 | PA      | $181001.28    | 0.01%             | 2036-12-04      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                                 | DP World Ltd/United Arab Emirates                                                 | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |      820000 | PA      | $927561.92    | 0.04%             | 2037-07-02      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                           | Republic of Poland Government Bond                                                | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     2700000 | PA      | $788554.38    | 0.03%             | 2029-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                         | Brazil Notas do Tesouro Nacional Serie B                                          | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     1583000 | PA      | $1269413.89   | 0.05%             | 2030-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Coreweave Compute Acquisition Co., IV, LLC                       | Coreweave Compute Acquisition Co IV LLC 2024 Delayed Draw Term Loan               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1845269 | PA      | $1831429.48   | 0.07%             | 2029-05-16      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| USAVFLOW II LTD                                                  | USAVFLOW II Ltd Term Loan B                                                       | CUSIP: 000000000<br>LEI: 254900MV3KWOGGVL7L93 | Long             | LON              | CORP              | KY        |      276563 | PA      | $278304.85    | 0.01%             | 2029-08-16      | Floating      | 10.27%                | Yes           |                  3 | On Loan: No      |
| Garfunkelux Holdco 3 S.A.                                        | Garfunkelux Holdco 3 SA EUR Term Loan                                             | CUSIP: 000000000<br>LEI: 2221007QVSNJV7EWBX69 | Long             | LON              | CORP              | LU        |      868000 | PA      | $999672.12    | 0.04%             | 2028-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RUNITONETIME LLC                                                 | RunItOneTime LLC Roll-Up DIP Term Loan                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       13509 | PA      | $13205.16     | 0.00%             | 2026-04-16      | Floating      | 11.50%                | No            |                  3 | On Loan: No      |
| Euro Parfums Fze                                                 | Euro Parfums Fze 2025 Upsize Term Loan                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      108370 | PA      | $107828.15    | 0.00%             | 2028-09-01      | Floating      | 9.12%                 | No            |                  3 | On Loan: No      |
| Stakeholder Midstream LLC                                        | Stakeholder Midstream LLC Term Loan                                               | CUSIP: 000000000<br>LEI: 254900BG1PE2KGG26017 | Long             | LON              | CORP              | US        |      660345 | PA      | $658694.14    | 0.03%             | 2031-01-01      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| RUNITONETIME LLC                                                 | RunItOneTime LLC 2nd Amendment Final New Money DIP Term Loan                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      164282 | PA      | $164281.54    | 0.01%             | 2026-04-16      | Floating      | 16.22%                | No            |                  3 | On Loan: No      |
| RUNITONETIME LLC                                                 | RunItOneTime LLC 2nd Amendment Roll Up Term Loan                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      276624 | PA      | $270400.15    | 0.01%             | 2026-04-16      | Floating      | 11.50%                | No            |                  3 | On Loan: No      |
| Coreweave Compute Acquisition Co., IV, LLC                       | Coreweave Compute Acquisition Co IV LLC 2025 5th Amendment Delayed Draw Term Loan | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1098947 | PA      | $1049494.74   | 0.04%             | 2030-09-30      | Floating      | 8.13%                 | Yes           |                  3 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                                          | Banco Espirito Santo SA                                                           | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |      200000 | PA      | $51708.80     | 0.00%             | 2049-07-22      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                              | Worldline SA/France                                                               | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $213077.98    | 0.01%             | 2027-06-30      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                                          | Hungary Government Bond                                                           | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   112880000 | PA      | $349660.54    | 0.01%             | 2035-10-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTIL FIN                                            | Thames Water Utilities Finance PLC                                                | CUSIP: 000000000<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $387458.08    | 0.02%             | 2027-06-19      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                                          | Turkiye Government Bond                                                           | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     3904197 | PA      | $90025.20     | 0.00%             | 2028-11-08      | Fixed         | 31.08%                | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                              | Worldline SA/France                                                               | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |      100000 | PA      | $103719.67    | 0.00%             | 2029-11-27      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BRT7MBEL4                                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |        2619 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | BRT8DTKL6                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |       39980 | OU      | $-8795.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | BRTB78HA0                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |       31631 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | BRTBK0ZP9                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |         638 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BRTGGJVH4                                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |      370045 | OU      | $-92053.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | BRTREETG8                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |       83201 | OU      | $20697.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BRTT2EPF3                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |      396194 | OU      | $98558.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | CDS: (CMBX.NA.9.BBB-)                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |      109349 | OU      | $-27202.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (UBS)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |       37000 | OU      | $-780.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (UBS)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      112000 | OU      | $-2364.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (UBS)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      117000 | OU      | $-2469.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (DB)                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      600000 | OU      | $-10471.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Services                                  | SWAP/CDSWAP/SCDS: (UBS)                                                           | CUSIP: 000000000<br>LEI: 549300WCGB70D06XZS54 | N/A              | DCR              |  | DE        |      134000 | OU      | $-2828.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (DB)                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      352000 | OU      | $-6143.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (DB)                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      117000 | OU      | $-2041.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (DB)                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      131000 | OU      | $-2286.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (UBS)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |     1000000 | OU      | $-21107.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | SWAP/CDSWAP/SCDS: (BA)                                                            | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |      700000 | OU      | $-10716.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                            | Philippine Government Bond                                                        | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    19545000 | PA      | $338417.31    | 0.01%             | 2029-02-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                           | Republic of Poland Government Bond                                                | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     3254000 | PA      | $894797.77    | 0.04%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWAP/CDSWAP/SCDS: (BA)                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |      700000 | OU      | $-11427.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | SWAP/CDSWAP/SCDS: (AXP)                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     3000000 | OU      | $-85177.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | SWAP/CDSWAP/SCDS: (AEP)                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     5854000 | OU      | $-158881.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | SWAP/CDSWAP/SCDS: (D)                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     2879000 | OU      | $-72909.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | FSWP: OIS 3.793700 16-MAY-2026 SOF                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    50240000 | OU      | $-13927.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | FSWP: OIS 3.800000 16-MAY-2026 SOF                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    50240000 | OU      | $15087.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 0.997500 12-MAR-2027 FTO                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3395348847 | OU      | $-1329.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 1.026500 12-MAR-2027 FTO                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  8309049195 | OU      | $-18461.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 1.018460 12-MAR-2027 FTO                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  7697595372 | OU      | $-13196.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | FSWP: OIS 3.814000 16-MAY-2026 SOF                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    36611000 | OU      | $-12872.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | FSWP: OIS 3.900000 16-MAY-2026 SOF                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    36611000 | OU      | $24407.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 0.683000 21-APR-2027 FTO                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3257950188 | OU      | $75142.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 0.685000 21-APR-2027 FTO                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3296037736 | OU      | $75605.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 0.698000 11-MAY-2027 FTO                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  2601672453 | OU      | $62270.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 0.811700 12-MAR-2027 FTO                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   750000000 | OU      | $8501.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | SWP: IFS 2.429000 15-APR-2030 USC                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3673250 | OU      | $-11195.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | SWP: IFS 2.428000 15-APR-2030 USC                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7456698 | OU      | $-22372.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | SWP: IFS 2.631500 09-SEP-2030 USC                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15410000 | OU      | $-172151.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 1.007000 11-SEP-2027 FTO                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1906900000 | OU      | $-29533.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: KRW 2.690000 17-DEC-2028 KRW                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3426811763 | OU      | $-22889.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: ZAR 6.862500 17-DEC-2030 JIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    29537746 | OU      | $-18133.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: ZAR 6.658000 17-DEC-2026 JIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    39025395 | OU      | $-2921.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: ZAR 6.553800 17-DEC-2027 JIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10028611 | OU      | $-2194.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | SWP: OIS 6.975000 04-NOV-2026 TII                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     9642199 | OU      | $47.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | SWP: OIS 7.280000 30-OCT-2030 TII                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    20807855 | OU      | $-20301.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: HUF 6.250000 17-DEC-2027 BUB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   407654965 | OU      | $7008.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: HUF 6.285000 17-DEC-2030 BUB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    60048913 | OU      | $1585.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: CZK 3.890000 17-DEC-2030 PRI                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    53376586 | OU      | $7309.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: PLN 3.880216 17-DEC-2027 WIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5702215 | OU      | $-9667.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: PLN 4.004023 17-DEC-2030 WIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |       86324 | OU      | $-281.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: CNY 1.540000 17-DEC-2028 CNR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7854301 | OU      | $286.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: CNY 1.584000 17-DEC-2030 CNR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6350075 | OU      | $-252.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | SWP: EUR 2.308344 03-FEB-2030 EUR                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      851164 | OU      | $-6867.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: ZAR 6.720000 17-DEC-2026 JIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    28814000 | OU      | $-3153.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: PLN 3.950000 17-DEC-2027 WIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3255000 | OU      | $-6696.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: PLN 4.000000 17-DEC-2026 WIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2899000 | OU      | $-2300.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: PLN 4.050000 17-DEC-2030 WIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2578000 | OU      | $-9890.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | SWP: OIS 13.864000 04-JAN-2027 BZD                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      759000 | OU      | $87.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | SWP: OIS 13.238000 02-JAN-2031 BZD                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1934000 | OU      | $-1269.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: CZK 3.910000 17-DEC-2030 PRI                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    35278000 | OU      | $6379.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | SWP: OIS 13.020000 02-JAN-2029 BZD                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     3050000 | OU      | $-2621.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: ZAR 6.867500 17-DEC-2030 JIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13928000 | OU      | $-8727.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | FSWP: OIS 7.320000 05-NOV-2030 TII                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     3885900 | OU      | $-3465.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | SWP: OIS 13.883000 04-JAN-2027 BZD                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     6462281 | OU      | $518.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: CNY 1.535000 17-DEC-2028 CNR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5269000 | OU      | $83.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: CNY 1.583000 17-DEC-2030 CNR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4584000 | OU      | $-213.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 5.714000 17-DEC-2030 INR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    61326000 | OU      | $-5192.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: KRW 2.940000 17-DEC-2030 KRW                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1440815000 | OU      | $-9647.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 9.310000 17-DEC-2027 IBR                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  1042182329 | OU      | $-7691.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 9.310000 17-DEC-2027 IBR                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   960907531 | OU      | $-7091.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 9.360000 17-DEC-2029 IBR                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   578593750 | OU      | $7141.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 9.360000 17-DEC-2029 IBR                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   532989171 | OU      | $6578.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: KRW 2.914000 17-DEC-2030 KRW                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1019038527 | OU      | $-7676.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | SWAP/CDSWAP/SCDS: (ARGENT)                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |       26000 | OU      | $310.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 9.420000 17-DEC-2029 IBR                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   576897151 | OU      | $6830.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 9.370000 17-DEC-2027 IBR                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  1034550982 | OU      | $-7347.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 9.370000 17-DEC-2027 IBR                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   953870264 | OU      | $-6774.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 9.420000 17-DEC-2029 IBR                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   531426014 | OU      | $6291.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | FSWP: OIS 9.540000 17-DEC-2027 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  1893784825 | OU      | $-11960.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | FSWP: OIS 9.540000 17-DEC-2027 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  2053966406 | OU      | $-12972.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | FSWP: OIS 9.540000 17-DEC-2029 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  1042170220 | OU      | $11288.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | FSWP: OIS 9.540000 17-DEC-2029 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  1131343140 | OU      | $12254.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 3.789000 28-JAN-2026 FED                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   402544000 | OU      | $-46089.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 3.682000 28-JAN-2026 FED                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   200836000 | OU      | $-6370.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | FSWP: OIS 4.435000 17-DEC-2027 CLI                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   951049000 | OU      | $-210.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | FSWP: OIS 4.435000 17-DEC-2027 CLI                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   956824096 | OU      | $-211.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | SWP: GBP 4.450000 04-DEC-2055 SON                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1740300 | OU      | $-2795.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | FSWP: OIS 3.228000 11-DEC-2027 SOF                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    54003000 | OU      | $28825.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 3.591000 18-MAR-2026 FED                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   200910000 | OU      | $-548.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | TRSWAP: IBOXIG INDEX                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     1750000 | OU      | $3916.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | FSWP: OIS 8.270000 05-DEC-2035 TII                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     5979595 | OU      | $2057.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: IBOXHY INDEX                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     6785000 | OU      | $30124.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                           | TRSWAP: IBOXHY INDEX                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |    38837000 | OU      | $209819.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | TRSWAP: IBOXHY INDEX                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     1422000 | OU      | $6222.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | TRSWAP: IBOXHY INDEX                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |    25900000 | OU      | $113331.08    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 3.592500 18-MAR-2026 FED                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   393864000 | OU      | $-277.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 3.617500 18-MAR-2026 FED                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   228402000 | OU      | $7548.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                                                | Lebanon Government International Bond                                             | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      240000 | PA      | $56208.00     | 0.00%             | 2028-11-03      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FLEXSYS HOLDINGS INC                                             | Flexsys Holdings Inc 2025 Second Out Refinancing Term Loan                        | CUSIP: 000000000<br>LEI: 984500KE15B085F09569 | Long             | LON              | CORP              | US        |      341198 | PA      | $34119.75     | 0.00%             | 2029-08-01      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| Genius Sports Ltd                                                | Genius Sports Ltd                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GG        |       82693 | NS      | $911276.86    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MELCO RESORTS FINANCE                                            | Melco Resorts Finance Ltd                                                         | CUSIP: 000000000<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $197961.27    | 0.01%             | 2029-12-04      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                                | Vedanta Resources Finance II PLC                                                  | CUSIP: 000000000<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $211039.00    | 0.01%             | 2029-09-17      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| Connect Finco Sarl                                               | Connect Finco Sarl 2024 Extended Term Loan B                                      | CUSIP: 000000000<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |      517108 | PA      | $517161.96    | 0.02%             | 2029-09-27      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                             | Raizen Fuels Finance SA                                                           | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      206000 | PA      | $168021.13    | 0.01%             | 2034-03-05      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDSC82C1 BLACKROCK SWAPTION 4.3 PUT USD 20270920                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -117148000 | NC      | $-317178.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDSHZFC2 BLACKROCK SWAPTION 4.05 PUT USD 20271004                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -157239000 | NC      | $-607757.04   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | BYDTGCWR0 BLACKROCK SWAPTION 4.0 PUT USD 20260423                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -20516000 | NC      | $-142891.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                              | BYDTSDQN1 BLACKROCK PUT USD CAD 1.3600000 20260127                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |       32000 | OU      | $7681.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDTTSTX2 BLACKROCK SWAPTION 3.55 CALL USD 2026043                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    22014000 | NC      | $49594.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDTTSTY0 BLACKROCK SWAPTION 3.25 CALL USD 2026043                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -22014000 | NC      | $-14770.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BYDU69UH9 BLACKROCK SWAPTION 3.77 CALL USD 2026020                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |     2908530 | NC      | $1682.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BYDU69UJ5 BLACKROCK SWAPTION 3.57 CALL USD 2026020                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | KY        |     4367760 | NC      | $5182.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDUAGU13 BLACKROCK SWAPTION 3.872 PUT USD 2027110                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -3855000 | NC      | $-155569.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDUAGU21 BLACKROCK SWAPTION 3.872 CALL USD 202711                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -3855000 | NC      | $-103421.55   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BYDUCQGU1 BLACKROCK FXVAN CALL EUR HUF 388.0000000                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |      391000 | OU      | $578.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BYDUCQGZ0 BLACKROCK FXVAN CALL EUR HUF 395.0000000                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |     -558000 | OU      | $-78.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDUH0EM3 BLACKROCK FXVAN PUT USD MXN 18.3000000                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | LU        |      387000 | OU      | $6175.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BYDUP7RC7 BLACKROCK FXVAN PUT USD CLP 920.0000000                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |     -128730 | OU      | $-3091.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BYDUP7QD6 BLACKROCK FXVAN CALL USD CLP 940.0000000                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |     -128730 | OU      | $-74.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BYDUP7QW4 BLACKROCK FXVAN PUT USD CLP 920.0000000                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |     -129000 | OU      | $-3097.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BYDUP7PE5 BLACKROCK FXVAN CALL USD CLP 940.0000000                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |     -129000 | OU      | $-74.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BYDUTHCV5 BLACKROCK SWAPTION 3.4 CALL USD 20260218                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -8714000 | NC      | $-5481.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDUZ0P58 BLACKROCK SWAPTION 3.58 PUT USD 20260220                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -19942667 | NC      | $-3975.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | BYDV15K99 BLACKROCK FXVAN CALL USD TRY 46.0000000                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | LU        |      -96000 | OU      | $-344.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | BYDV15JN0 BLACKROCK FXVAN PUT USD TRY 44.0000000                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | US        |      192000 | OU      | $2410.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDV74EJ1 BLACKROCK SWAPTION 2.9 CALL USD 20260225                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   -34390000 | NC      | $-10134.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDV74EH5 BLACKROCK SWAPTION 3.25 CALL USD 2026022                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | KY        |   -18473000 | NC      | $-6249.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank AG                                           | BYDV8ZG59 BLACKROCK CDSOPT PUT EUR 2.875 20260121                                 | CUSIP: 000000000<br>LEI: 7CPI4ZQUQVBDH8SA1F44 | N/A              | DCR              |  | KY        |      797000 | NC      | $494.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank AG                                           | BYDV8ZG42 BLACKROCK CDSOPT PUT EUR 3.25 20260121                                  | CUSIP: 000000000<br>LEI: 7CPI4ZQUQVBDH8SA1F44 | N/A              | DCR              |  | LU        |    -1139000 | NC      | $-316.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BYDV993K7 BLACKROCK SWAPTION 3.855 PUT USD 2027112                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |     -386000 | NC      | $-16126.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BYDV993J0 BLACKROCK SWAPTION 3.855 CALL USD 202711                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |     -386000 | NC      | $-10160.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | BYDV9RJ79 BLACKROCK FXVAN CALL USD COP 4200.000000                                | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | US        |     -643000 | OU      | $-9639.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | BYDV9ZXF7 BLACKROCK FXVAN CALL USD COP 4200.000000                                | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | US        |     -579001 | OU      | $-8679.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | BYDV9RFD0 BLACKROCK FXVAN CALL USD COP 3920.000000                                | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | US        |      836001 | OU      | $30198.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDVJF3Z9 BLACKROCK SWAPTION 3.96 PUT USD 20260202                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -7795000 | NC      | $-14776.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDVJAU80 BLACKROCK PUT USD INR 88.1500000 2026022                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KY        |       77040 | OU      | $5077.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDVJH0R6 BLACKROCK SWAPTION 4.3 PUT USD 20260202                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -3447000 | NC      | $-15240.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | BYDVP8SG3 BLACKROCK SWAPTION 4.2 CALL GBP 20260304                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |    -1740300 | NC      | $-11137.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDVR6E88 BLACKROCK PUT USD CZK 20.0000000 2026020                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |       38480 | OU      | $3345.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Asset Management USA, Inc.                                | BYDVT1L30 BLACKROCK SWAPTION 4.0 PUT USD 20271208                                 | CUSIP: 000000000<br>LEI: 549300ZN36E1MEF7S595 | N/A              | DIR              |  | US        |   -45852102 | NC      | $-214544.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDVT1W95 BLACKROCK SWAPTION 3.5 PUT USD 20260608                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -108898743 | NC      | $-70159.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDVT1W79 BLACKROCK SWAPTION 3.0 CALL USD 20260608                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   108898743 | NC      | $113615.15    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                          | BYDVT1W87 BLACKROCK SWAPTION 2.5 CALL USD 20260608                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -108898743 | NC      | $-35723.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BYDVT2CC8 BLACKROCK FXVAN CALL USD BRL 5.7500000                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    -1151879 | OU      | $-7670.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BYDVT2CD6 BLACKROCK FXVAN CALL USD BRL 5.5500000                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KY        |      767919 | OU      | $12532.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BYDVWS3H6 BLACKROCK FXVAN CALL AUD USD 0.6715000                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | KY        |     1060505 | OU      | $1251.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDW1GGB3 BLACKROCK FXVAN PUT USD MXN 17.6500000                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -4610000 | OU      | $-14885.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BYDW10QX9 BLACKROCK SWAPTION 3.5 CALL USD 20260311                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -8580000 | NC      | $-18097.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDW1BMP6 BLACKROCK FXVAN PUT USD ZAR 16.3500000                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -4610000 | OU      | $-34012.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                               | BYDW2PD25 BLACKROCK FXVAN PUT USD BRL 5.2500000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -6140000 | OU      | $-18229.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | BYDW2PEG3 BLACKROCK FXVAN CALL GBP USD 1.3450000                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |      196000 | OU      | $2582.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | BYDW2PLJ9 BLACKROCK FXVAN PUT GBP USD 1.3150000                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |     -196000 | OU      | $-470.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank AG                                           | BYDW33555 BLACKROCK FXVAN PUT EUR USD 1.1685000                                   | CUSIP: 000000000<br>LEI: 7CPI4ZQUQVBDH8SA1F44 | N/A              | DFE              |  | US        |      547000 | OU      | $1102.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Asset Management USA, Inc.                                | BYDW8VCR2 BLACKROCK SWAPTION 3.6 CALL USD 20260217                                | CUSIP: 000000000<br>LEI: 549300ZN36E1MEF7S595 | N/A              | DIR              |  | US        |    -5687000 | NC      | $-12757.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Asset Management USA, Inc.                                | BYDW8VCQ4 BLACKROCK SWAPTION 4.0 PUT USD 20260217                                 | CUSIP: 000000000<br>LEI: 549300ZN36E1MEF7S595 | N/A              | DIR              |  | US        |    -5687000 | NC      | $-13381.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BYDW8YPH4 BLACKROCK FXVAN CALL EUR USD 1.1800000                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |      432994 | OU      | $1615.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | BYDW92K54 BLACKROCK SWAPTION 4.5 PUT USD 20271216                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -69005000 | NC      | $-184366.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BYDW8VRC9 BLACKROCK SWAPTION 4.6 PUT USD 20261216                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -4277000 | NC      | $-31604.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | BYDW8VRD7 BLACKROCK SWAPTION 3.2 CALL USD 20261216                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -4277000 | NC      | $-25457.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                              | BYDW996B2 BLACKROCK SWAPTION 4.03 PUT USD 20271216                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -1666000 | NC      | $-59199.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                              | BYDW996C0 BLACKROCK SWAPTION 4.03 CALL USD 2027121                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -1666000 | NC      | $-54988.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                              | BYDWF0HH9 BLACKROCK PUT USD JPY 158.0000000 202601                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |     4994900 | OU      | $1333.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AES ANDES SA                                                     | AES Andes SA                                                                      | CUSIP: 000000000<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |      200000 | PA      | $206921.60    | 0.01%             | 2029-03-15      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                            | Venezuela Government International Bond                                           | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      171000 | PA      | $55575.00     | 0.00%             | 2031-08-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                | Corp. Nacional del Cobre de Chile                                                 | CUSIP: 000000000<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |      200000 | PA      | $216875.04    | 0.01%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Costa Rica Government International Bonds                        | Costa Rica Government International Bonds                                         | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      200000 | PA      | $221100.00    | 0.01%             | 2045-03-12      | Fixed         | 7.16%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                 | Peruvian Government International Bond                                            | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      349000 | PA      | $113248.62    | 0.00%             | 2039-08-12      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                 | Peruvian Government International Bond                                            | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1093000 | PA      | $349767.58    | 0.01%             | 2035-08-12      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                         | Petroleos de Venezuela SA                                                         | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      151000 | PA      | $38882.50     | 0.00%             | 2035-05-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                         | Petroleos de Venezuela SA                                                         | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      133000 | PA      | $31587.50     | 0.00%             | 2026-11-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                                             | Samarco Mineracao SA                                                              | CUSIP: 000000000<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |      197042 | PA      | $199594.68    | 0.01%             | 2031-06-30      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| SURA ASSET MANAGEMENT                                            | SURA Asset Management SA                                                          | CUSIP: 000000000<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |      341000 | PA      | $363618.53    | 0.01%             | 2032-05-13      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| TRUST FIBRAUNO                                                   | Trust Fibra Uno                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              |  | MX        |      576000 | PA      | $630911.21    | 0.02%             | 2032-01-23      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC                                          | Sasol Financing USA LLC                                                           | CUSIP: 000000000<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |      200000 | PA      | $203044.78    | 0.01%             | 2029-05-03      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: —       |
| STILLWATER MINING CO                                             | Stillwater Mining Co                                                              | CUSIP: 000000000<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |      337000 | PA      | $318376.16    | 0.01%             | 2029-11-16      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS MU                                         | Greenko Wind Projects Mauritius Ltd                                               | CUSIP: 000000000<br>LEI: 254900MSUXE1FF83DP82 | Long             | DBT              | CORP              | MU        |      200000 | PA      | $202126.98    | 0.01%             | 2028-09-27      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                  | SWAP/CDSWAP/ICE: (BRAZIL)                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1219000 | OU      | $20696.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                  | SWAP/CDSWAP/ICE: (COLOM)                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |      137000 | OU      | $6492.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                  | SWAP/CDSWAP/ICE: (MEX)                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |      601000 | OU      | $-2762.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.44.V1)                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     6579297 | OU      | $523093.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                  | SWAP/CDSWAP/ICE: (ITRAXX.EUR.44.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     2890000 | OU      | $-78373.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                  | SWAP/CDSWAP/ICE: (ITRAXX.FINSR.44.V1)                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     9090000 | OU      | $-227506.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                  | SWAP/CDSWAP/ICE: (ITRAXX.XO.44.V1)                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    35775000 | OU      | $4650141.64   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.45.V1)                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1838000 | OU      | $-140432.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Brighthouse Funds Trust II

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer