# EDGAR Filing Document

**Accession Number:** 0000897111
**File Stem:** 0001145549-25-054310
**Filing Date:** 2025-8
**Character Count:** 115225
**Document Hash:** 46f7a74006bc0c0db6780b1ac9793f05
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-054310.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001145549-25-054310

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07470
- **FILM NUMBER:** 251261203

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

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

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

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

## Series and Classes Contracts Data

### Carillon Reams Core Plus Bond Fund (Series ID: S000058960)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000193364 | Class A      | SCPDX           |
| C000193365 | Class C      | SCPEX           |
| C000193366 | Class I      | SCPZX           |
| C000193369 | Class R-6    | SCPWX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** St. Petersburg

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33716

  - **Telephone number:** 7275671000

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

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

- **b. EDGAR series identifier (if any):** S000058960

- **c. LEI of Series:** 549300N9BW5L4SFJTG17

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2798997411.91

**Total Liabilities:** $940147334.73

**Net Assets:** $1858850077.18

**Delayed Delivery Securities:** $934498362.57

**Cash Not Reported:** $85655100.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 5219.390000000000 | **1-Year:** 40842.160000000000 | **5-Year:** 145957.040000000000 | **10-Year:** 335075.200000000000 | **30-Year:** 527411.680000000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 1322.870000000000 | **5-Year:** 16415.860000000000 | **10-Year:** 1585.800000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000193364 | 0.68%                | -0.54%               | 1.77%                |
| Class ID C000193365 | 0.59%                | -0.61%               | 1.72%                |
| Class ID C000193366 | 0.70%                | -0.52%               | 1.79%                |
| Class ID C000193369 | 0.71%                | -0.51%               | 1.79%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1231293.04             | $8091857.70                                |
| Month 2  | $-286236.14              | $-20017870.28                              |
| Month 3  | $-1763675.71             | $27790622.00                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg Total Return Value Unhedged USD

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PSMC Trust                     | PSMC 2021-2 Trust                                         | CUSIP: 69376CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3609173 | PA      | $3237826.79   | 0.17%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR3 Trust                      | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6590000 | PA      | $6194427.34   | 0.33%             | 2030-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru | Provident Funding Mortgage Trust 2021-INV2                | CUSIP: 74388MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1649708 | PA      | $1424001.54   | 0.08%             | 2051-11-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| PUB SVC NEW HAMP               | Public Service Co of New Hampshire                        | CUSIP: 744538AF6<br>LEI: 549300SHPFALUPKK2351 | Long             | DBT              | CORP              | US        |   9575000 | PA      | $9918571.01   | 0.53%             | 2033-10-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA           | Royal Bank of Canada                                      | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   7790000 | PA      | $7803679.79   | 0.42%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust               | SLG Office Trust 2021-OVA                                 | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6305000 | PA      | $5530082.08   | 0.30%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust           | STAR 2022-SFR3 Trust                                      | CUSIP: 78474PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9573601 | PA      | $9611196.43   | 0.52%             | 2039-05-17      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                | San Diego Gas & Electric Co                               | CUSIP: 797440CG7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   5905000 | PA      | $6029637.13   | 0.32%             | 2035-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-9                             | CUSIP: 81748CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4044296 | PA      | $3295268.29   | 0.18%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-4                             | CUSIP: 81748WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5585568 | PA      | $4551227.31   | 0.24%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO             | Sonoco Products Co                                        | CUSIP: 835495AL6<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |   6620000 | PA      | $6167171.61   | 0.33%             | 2030-05-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 Trust           | STAR 2025-SFR5 Trust                                      | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3845000 | PA      | $3849821.63   | 0.21%             | 2042-02-17      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP              | State Street Corp                                         | CUSIP: 857477CX9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   4975000 | PA      | $5033105.26   | 0.27%             | 2036-02-28      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2015-5                          | CUSIP: 89171VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2418885 | PA      | $2400367.22   | 0.13%             | 2055-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2025-B Owner Trust                | CUSIP: 89231HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4015000 | PA      | $4020988.37   | 0.22%             | 2028-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP       | Toyota Motor Credit Corp                                  | CUSIP: 89236TNJ0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   4415000 | PA      | $4485419.60   | 0.24%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-C Owner Trust                | CUSIP: 89237QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2593591 | PA      | $2598388.39   | 0.14%             | 2027-05-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-C Owner Trust                | CUSIP: 89237QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2593591 | PA      | $2594281.18   | 0.14%             | 2027-05-17      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-A Owner Trust                | CUSIP: 89238DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1308259 | PA      | $1308363.22   | 0.07%             | 2026-12-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2022-SFR1 Trust                        | CUSIP: 89616QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5840512 | PA      | $5758290.23   | 0.31%             | 2039-04-17      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                              | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1190000 | PA      | $1122917.95   | 0.06%             | 2030-08-13      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                              | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4805000 | PA      | $4717571.34   | 0.25%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                              | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4295000 | PA      | $4521395.16   | 0.24%             | 2034-01-12      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| USB Auto Owner Trust           | USB Auto Owner Trust 2025-1                               | CUSIP: 90367VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3610000 | PA      | $3617691.83   | 0.19%             | 2028-06-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO              | Union Electric Co                                         | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   6090000 | PA      | $6190414.97   | 0.33%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP             | Union Pacific Corp                                        | CUSIP: 907818GG7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   4985000 | PA      | $5070002.13   | 0.27%             | 2035-02-20      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT       | United Airlines 2018-1 Class AA Pass Through Trust        | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3602133 | PA      | $3393636.60   | 0.18%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT       | United Airlines 2019-1 Class AA Pass Through Trust        | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1085013 | PA      | $1039133.05   | 0.06%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT       | United Airlines 2016-2 Class AA Pass Through Trust        | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1265954 | PA      | $1195211.67   | 0.06%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT       | United Airlines 2015-1 Class AA Pass Through Trust        | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1993826 | PA      | $1933582.64   | 0.10%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   9090000 | PA      | $9359226.98   | 0.50%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13025000 | PA      | $13085037.17  | 0.70%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43137000 | PA      | $42117551.48  | 2.27%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8505000 | PA      | $8532907.03   | 0.46%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27770000 | PA      | $28458826.24  | 1.53%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25080000 | PA      | $25119187.50  | 1.35%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC  | UWM Mortgage Trust 2021-INV4                              | CUSIP: 918307AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2133131 | PA      | $2093268.76   | 0.11%             | 2051-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5680000 | PA      | $5727323.77   | 0.31%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO       | Virginia Electric and Power Co                            | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   6330000 | PA      | $6349382.08   | 0.34%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                   | CUSIP: 928668BF8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   3760000 | PA      | $3569935.20   | 0.19%             | 2030-05-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                   | CUSIP: 928668CF7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   7725000 | PA      | $7794504.14   | 0.42%             | 2027-03-22      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                          | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  10605000 | PA      | $10554955.01  | 0.57%             | 2031-04-04      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                          | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  13665000 | PA      | $13717565.43  | 0.74%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-C                       | CUSIP: 34532UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3449024 | PA      | $3450576.50   | 0.19%             | 2027-08-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                       | CUSIP: 34535VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2515000 | PA      | $2516346.78   | 0.14%             | 2027-10-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                       | CUSIP: 34535VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2905000 | PA      | $2902983.06   | 0.16%             | 2027-10-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2023-C22                             | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2559840 | PA      | $2848759.16   | 0.15%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                      | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  13653000 | PA      | $14038212.84  | 0.76%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP         | Bank of New York Mellon Corp/The                          | CUSIP: 06406RBR7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   4580000 | PA      | $4594301.28   | 0.25%             | 2034-04-26      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2024-C24                             | CUSIP: 07336VAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $2711591.40   | 0.15%             | 2057-02-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY       | Canadian Pacific Railway Co                               | CUSIP: 13645RBK9<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   8080000 | PA      | $8192566.36   | 0.44%             | 2035-03-30      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2023-1           | CUSIP: 14043KAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8461156 | PA      | $8482345.70   | 0.46%             | 2028-02-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2024-1           | CUSIP: 14043NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2404023 | PA      | $2404647.87   | 0.13%             | 2027-10-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2024-1           | CUSIP: 14043NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2190508 | PA      | $2190500.40   | 0.12%             | 2027-10-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291LZE8<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1517000 | PA      | $1943094.96   | 0.10%             | 2025-07-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W3Q2<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1749000 | PA      | $1983873.21   | 0.11%             | 2025-08-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W4N8<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |    861000 | PA      | $661265.22    | 0.04%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-PJ6              | CUSIP: 36267JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2791202 | PA      | $2369691.01   | 0.13%             | 2053-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC              | HSBC Holdings PLC                                         | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5690000 | PA      | $5786876.06   | 0.31%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MCT4<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  11545000 | PA      | $11583761.18  | 0.62%             | 2029-09-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC 2025-2                    | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7490000 | PA      | $7511744.97   | 0.40%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $11550312.50  | 0.62%             | 2029-12-26      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MDF3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   8440000 | PA      | $8524400.00   | 0.46%             | 2031-12-26      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2024-1 Owner Trust                 | CUSIP: 437918AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2531339 | PA      | $2534308.97   | 0.14%             | 2026-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2025-2 Owner Trust                 | CUSIP: 437921AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4085000 | PA      | $4081178.89   | 0.22%             | 2028-01-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2024-2 Owner Trust                 | CUSIP: 437930AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5438373 | PA      | $5449109.65   | 0.29%             | 2026-11-18      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2022-1 Owner Trust                 | CUSIP: 43815BAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213491 | PA      | $213058.58    | 0.01%             | 2026-05-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2023-C                     | CUSIP: 44918CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    741045 | PA      | $741257.99    | 0.04%             | 2027-01-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2024-B                     | CUSIP: 44934QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2835947 | PA      | $2842379.08   | 0.15%             | 2027-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2024-B                     | CUSIP: 44934QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2473388 | PA      | $2474201.37   | 0.13%             | 2027-06-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-A                     | CUSIP: 44935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7380000 | PA      | $7375630.30   | 0.40%             | 2027-12-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-A                     | CUSIP: 44935CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8965000 | PA      | $8963700.97   | 0.48%             | 2027-12-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust                            | CUSIP: 44935XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8060000 | PA      | $8075397.82   | 0.43%             | 2028-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| INDIANAPOLIS PWR & LIGHT       | Indianapolis Power & Light Co                             | CUSIP: 455434BV1<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |   6805000 | PA      | $7000360.73   | 0.38%             | 2032-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust         | Invitation Homes 2024-SFR1 Trust                          | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6109534 | PA      | $5948125.81   | 0.32%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC         | IPALCO Enterprises Inc                                    | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   8270000 | PA      | $7940396.50   | 0.43%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA        | JetBlue 2019-1 Class AA Pass Through Trust                | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4143802 | PA      | $3626274.27   | 0.20%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP           | JetBlue 2020-1 Class A Pass Through Trust                 | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1449872 | PA      | $1357400.61   | 0.07%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO          | MidAmerican Energy Co                                     | CUSIP: 595620AX3<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   3725000 | PA      | $3859947.44   | 0.21%             | 2034-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO           | Monongahela Power Co                                      | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5120000 | PA      | $5323201.54   | 0.29%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                            | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4195000 | PA      | $4554544.05   | 0.25%             | 2033-10-18      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                            | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  13655000 | PA      | $14017062.05  | 0.75%             | 2036-01-18      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2023-1     | CUSIP: 61774YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657671 | PA      | $602429.83    | 0.03%             | 2053-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250702                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-322702.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250702                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $735655.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20250702                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1921565.59  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20250702                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $264283.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20250903                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-403164.12   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5545000 | PA      | $5606030.49   | 0.30%             | 2029-08-20      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   9060000 | PA      | $9216413.65   | 0.50%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2024-BNK47                                           | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535000 | PA      | $3717502.15   | 0.20%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK30                                           | CUSIP: 06541UBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2016000 | PA      | $1980109.15   | 0.11%             | 2053-12-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F040685<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        | 206125000 | PA      | $191615784.98 | 10.31%            | 2055-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  96030000 | PA      | $91845154.72  | 4.94%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56720000 | PA      | $55579937.08  | 2.99%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 110365000 | PA      | $110339750.70 | 5.94%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F060683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |  51715000 | PA      | $52502329.85  | 2.82%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC       | Duke Energy Progress LLC                                  | CUSIP: 26442UAQ7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   7790000 | PA      | $8042053.08   | 0.43%             | 2033-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC          | Entergy Louisiana LLC                                     | CUSIP: 29364WBM9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   5285000 | PA      | $5421000.54   | 0.29%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                      | CUSIP: 29366MAC2<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $3677123.51   | 0.20%             | 2052-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                      | CUSIP: 29366MAE8<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   6130000 | PA      | $6291926.71   | 0.34%             | 2033-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                      | CUSIP: 29366MAF5<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   5060000 | PA      | $5210800.65   | 0.28%             | 2034-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2020-SFR2 Trust                            | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12883852 | PA      | $12720662.72  | 0.68%             | 2037-10-19      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust | FirstKey Homes 2020-SFR1 Trust                            | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5461429 | PA      | $5422248.93   | 0.29%             | 2037-08-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2021-SFR2 Trust                            | CUSIP: 33767TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1217530 | PA      | $1170962.38   | 0.06%             | 2038-09-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2021-SFR1 Trust                            | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10091177 | PA      | $9751003.41   | 0.52%             | 2038-08-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2022-SFR3 Trust                            | CUSIP: 33768EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1298826 | PA      | $1290306.35   | 0.07%             | 2038-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-3INV                         | CUSIP: 33852CAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3823018 | PA      | $3113968.68   | 0.17%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-3INV                         | CUSIP: 33852CAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2075353 | PA      | $2036624.74   | 0.11%             | 2051-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-4                            | CUSIP: 33852FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11844272 | PA      | $9666039.72   | 0.52%             | 2051-06-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-12                           | CUSIP: 33853GAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9278940 | PA      | $7560888.51   | 0.41%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2025-2 | CUSIP: 362549AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2960000 | PA      | $2963004.99   | 0.16%             | 2028-02-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2025-1 | CUSIP: 362955AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13177055 | PA      | $13174939.11  | 0.71%             | 2028-01-18      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-3 | CUSIP: 38013KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1648733 | PA      | $1648824.68   | 0.09%             | 2027-06-16      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  12905000 | PA      | $12876078.35  | 0.69%             | 2033-05-24      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2737434.01   | 0.15%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4945000 | PA      | $4922585.11   | 0.26%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  10985000 | PA      | $11071196.66  | 0.60%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | CITIGROUP MORTGAGE LOAN TRUST 2021-INV1                   | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8630097 | PA      | $7029485.92   | 0.38%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                          | FRTKL 2021-SFR1                                           | CUSIP: 30322DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2005000 | PA      | $1931839.15   | 0.10%             | 2038-09-17      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                  | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3270000 | PA      | $3301535.85   | 0.18%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-INV1             | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2282524 | PA      | $1940769.84   | 0.10%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-INV1             | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480371 | PA      | $1205345.96   | 0.06%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-PJ2              | CUSIP: 36264DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2525062 | PA      | $2057531.96   | 0.11%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-1 | CUSIP: 36268GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    507401 | PA      | $507839.50    | 0.03%             | 2027-02-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-1 | CUSIP: 36268GAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    752888 | PA      | $753051.09    | 0.04%             | 2027-02-16      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-LTV2             | CUSIP: 36268SCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6459535 | PA      | $6106185.71   | 0.33%             | 2052-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-PJ5              | CUSIP: 362925AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2479357 | PA      | $2018739.63   | 0.11%             | 2052-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                           | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   9890000 | PA      | $9708220.81   | 0.52%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                           | CUSIP: 37045XDZ6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2555000 | PA      | $2563301.73   | 0.14%             | 2025-10-10      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                           | CUSIP: 37045XEB8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  16680000 | PA      | $17179038.41  | 0.92%             | 2028-01-09      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-3 | CUSIP: 38013KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1648733 | PA      | $1652188.14   | 0.09%             | 2027-06-16      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                               | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13655000 | PA      | $14003045.47  | 0.75%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5270000 | PA      | $4743245.79   | 0.26%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-1                           | CUSIP: 46592EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4941147 | PA      | $4026449.02   | 0.22%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                           | CUSIP: 46592KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6497033 | PA      | $5297804.45   | 0.29%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-7                           | CUSIP: 46592NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1943125 | PA      | $1583878.12   | 0.09%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-8                           | CUSIP: 46592TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10146144 | PA      | $8264227.44   | 0.44%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-12                          | CUSIP: 46592WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818983 | PA      | $667087.29    | 0.04%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-13                          | CUSIP: 46592XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3851047 | PA      | $2994431.53   | 0.16%             | 2052-04-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2024-7                           | CUSIP: 465971AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4776246 | PA      | $4053532.88   | 0.22%             | 2053-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8670000 | PA      | $8720192.97   | 0.47%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5870000 | PA      | $5973442.43   | 0.32%             | 2035-07-22      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3115000 | PA      | $3124316.12   | 0.17%             | 2028-10-22      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  13655000 | PA      | $14064626.65  | 0.76%             | 2036-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-4                           | CUSIP: 46652VAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3206742 | PA      | $2610990.65   | 0.14%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-10                          | CUSIP: 46654AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11305952 | PA      | $8774131.12   | 0.47%             | 2051-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-INV4                        | CUSIP: 46654DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3024503 | PA      | $2464422.35   | 0.13%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-3                    | CUSIP: 46657QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7147185 | PA      | $6068128.14   | 0.33%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                | McDonald's Corp                                           | CUSIP: 58013MGA6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   4985000 | PA      | $4982067.08   | 0.27%             | 2035-03-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance 2021-MTG1               | CUSIP: 585495AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4635807 | PA      | $3774561.83   | 0.20%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES | Mercedes-Benz Auto Receivables Trust 2023-2               | CUSIP: 58769FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39350 | PA      | $39375.23     | 0.00%             | 2026-11-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust | Mercedes-Benz Auto Lease Trust 2024-B                     | CUSIP: 58769GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1444726 | PA      | $1444485.41   | 0.08%             | 2026-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust | Mercedes-Benz Auto Lease Trust 2024-A                     | CUSIP: 58770JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2086418 | PA      | $2086835.51   | 0.11%             | 2027-02-16      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES | Mercedes-Benz Auto Receivables Trust 2025-1               | CUSIP: 58773DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13280955 | PA      | $13272669.19  | 0.71%             | 2028-02-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES | Mercedes-Benz Auto Receivables Trust 2024-1               | CUSIP: 587918AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1508055 | PA      | $1508050.15   | 0.08%             | 2027-05-17      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                    | MetLife Inc                                               | CUSIP: 59156RCE6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   8525000 | PA      | $8875253.72   | 0.48%             | 2033-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner  | Nissan Auto Receivables 2023-B Owner Trust                | CUSIP: 65480MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115527 | PA      | $115596.22    | 0.01%             | 2026-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner  | Nissan Auto Receivables 2025-A Owner Trust                | CUSIP: 65481GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14735000 | PA      | $14772503.52  | 0.79%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-INV2 Trust                                       | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2328005 | PA      | $1895506.02   | 0.10%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2022-J2 Trust                                         | CUSIP: 67115QAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6713264 | PA      | $5698124.85   | 0.31%             | 2052-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-J1 Trust                                         | CUSIP: 67116MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2832464 | PA      | $2671935.96   | 0.14%             | 2053-01-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-INV1                                             | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5910666 | PA      | $5012753.13   | 0.27%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES         | PNC Financial Services Group Inc/The                      | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   4310000 | PA      | $4583459.76   | 0.25%             | 2033-10-28      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust      | PRMI Securitization Trust 2021-1                          | CUSIP: 69359DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3978499 | PA      | $3520869.69   | 0.19%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1        | CUSIP: 73328EAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2619208 | PA      | $2618242.28   | 0.14%             | 2028-01-24      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1        | CUSIP: 73328EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2203362 | PA      | $2202748.75   | 0.12%             | 2028-01-24      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR4                            | CUSIP: 74333EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7185852 | PA      | $7038279.34   | 0.38%             | 2038-05-17      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR3                            | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4790817 | PA      | $4721045.01   | 0.25%             | 2026-05-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                 | RIDE 2025-SHRE                                            | CUSIP: 765692AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5116637.50   | 0.28%             | 2047-02-14      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE       | Wisconsin Public Service Corp                             | CUSIP: 976843BN1<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |   3695000 | PA      | $2266049.72   | 0.12%             | 2051-12-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr | World Omni Auto Receivables Trust 2025-B                  | CUSIP: 98164TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3860000 | PA      | $3863917.90   | 0.21%             | 2028-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL       | Brazil Notas do Tesouro Nacional Serie F                  | CUSIP: ZP2084801<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        | 184533000 | PA      | $31114904.14  | 1.67%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20251002                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-247757.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20250903                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $107719.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250827                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1405186.23  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Sep25                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |      -431 | NC      | $-239843.63   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CNY/USD FWD 20250731                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-230411.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250703                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-130196.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250829                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-71015.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250910                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-27521.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250922                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-21664.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20250728                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1055.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS REC FIXED 4.079% 1/29/2035                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $739588.11    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS PAY FIXED 2.9475% 1/28/2035                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-21440.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS REC FIXED 4.097% 1/30/2035                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $775867.73    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IRS PAY FIXED 2.9675% 1/29/2035                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-62745.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CDX44IG CDS (SELL PROTECTION)                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $1145885.17   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CDX44HY CDS (SELL PROTECTION)                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $8517176.42   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Sep25                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       313 | NC      | $604331.01    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YQ9004264<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1410000 | PA      | $2081806.63   | 0.11%             | 2025-07-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YO9538845<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1560000 | PA      | $2037722.78   | 0.11%             | 2025-08-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                               | CUSIP: 912797QB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59330000 | PA      | $59185956.85  | 3.18%             | 2025-07-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                               | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75635000 | PA      | $74692621.18  | 4.02%             | 2025-10-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2021-1 Trust       | CUSIP: 95003AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988998 | PA      | $805879.49    | 0.04%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-C64            | CUSIP: 95004BAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1865000 | PA      | $1948311.04   | 0.10%             | 2058-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                              | CUSIP: 976826BP1<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   4760000 | PA      | $4078894.60   | 0.22%             | 2031-09-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                              | CUSIP: 976826BQ9<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   7150000 | PA      | $6758209.32   | 0.36%             | 2032-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                              | CUSIP: 976826BR7<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   5725000 | PA      | $5731048.12   | 0.31%             | 2033-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2022-SFR2 Trust                      | CUSIP: 74332VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9293378 | PA      | $9037549.00   | 0.49%             | 2027-04-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2022-SFR4 Trust                      | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965069 | PA      | $962778.73    | 0.05%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2024-SFR4 Trust                      | CUSIP: 74334JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5473803 | PA      | $5160717.61   | 0.28%             | 2041-07-17      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR1 Trust                      | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1075000 | PA      | $1018551.43   | 0.05%             | 2042-02-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15610000 | PA      | $11356275.00  | 0.61%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 171825000 | PA      | $156911126.09 | 8.44%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4610000 | PA      | $4393185.94   | 0.24%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner  | Nissan Auto Receivables 2024-A Owner Trust                | CUSIP: 65479UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6411088 | PA      | $6411358.98   | 0.34%             | 2026-12-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner  | Nissan Auto Receivables 2024-B Owner Trust                | CUSIP: 65479WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6603916 | PA      | $6606003.77   | 0.36%             | 2027-06-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner  | Nissan Auto Receivables 2023-B Owner Trust                | CUSIP: 65480MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167917 | PA      | $167935.84    | 0.01%             | 2026-05-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2023-SFR2 Trust                                      | CUSIP: 00178YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    945000 | PA      | $921975.36    | 0.05%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2024-SFR1 Trust                                      | CUSIP: 00179CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2080000 | PA      | $2051147.90   | 0.11%             | 2041-07-17      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2024-SFR2 Trust                                      | CUSIP: 00179UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1588636.99   | 0.09%             | 2041-11-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                      | CUSIP: 00180UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3635000 | PA      | $3492172.85   | 0.19%             | 2038-10-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2025-SFR1 Trust                                      | CUSIP: 00182MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3559816.89   | 0.19%             | 2042-06-17      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2A PTT         | Air Canada 2020-2 Class A Pass Through Trust              | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1789002 | PA      | $1805081.73   | 0.10%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR        | Alaska Airlines 2020-1 Class A Pass Through Trust         | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8174155 | PA      | $8179601.36   | 0.44%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC               | Altria Group Inc                                          | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   5725000 | PA      | $4937684.72   | 0.27%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-2 AA PTT       | American Airlines 2017-2 Class AA Pass Through Trust      | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1633610 | PA      | $1554081.81   | 0.08%             | 2029-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1AA PTT        | American Airlines 2019-1 Class AA Pass Through Trust      | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1901936 | PA      | $1746541.86   | 0.09%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO            | American Express Co                                       | CUSIP: 025816DV8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   5955000 | PA      | $6036337.68   | 0.32%             | 2028-07-26      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE         | American Honda Finance Corp                               | CUSIP: 02665WFZ9<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   4920000 | PA      | $4893203.07   | 0.26%             | 2035-03-05      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent          | American Homes 4 Rent 2015-SFR2 Trust                     | CUSIP: 02666BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5446125 | PA      | $5422257.24   | 0.29%             | 2052-10-17      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2020-SFR5 Trust                                      | CUSIP: 03217JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1368447 | PA      | $1352129.80   | 0.07%             | 2037-11-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO           | Appalachian Power Co                                      | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   7525000 | PA      | $6758994.96   | 0.36%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RDU5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2344206.57   | 0.13%             | 2026-08-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RFK5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5530000 | PA      | $5527338.41   | 0.30%             | 2027-02-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RGY4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2705000 | PA      | $2777423.13   | 0.15%             | 2029-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1960000 | PA      | $2011038.60   | 0.11%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2024-BNK48                                           | CUSIP: 06541GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1569000 | PA      | $1576622.05   | 0.08%             | 2057-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W6H9<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |    861000 | PA      | $953936.34    | 0.05%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W6W6<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1578000 | PA      | $1377104.82   | 0.07%             | 2025-09-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-J3                     | CUSIP: 17330BAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4228549 | PA      | $3442965.23   | 0.19%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trus | Citizens Auto Receivables Trust 2024-2                    | CUSIP: 17331XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2049428 | PA      | $2049886.02   | 0.11%             | 2026-11-16      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd  | Corevest American Finance 2020-4 Trust                    | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1878262 | PA      | $1857188.12   | 0.10%             | 2052-12-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg | DBJPM 20-C9 Mortgage Trust                                | CUSIP: 233063AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3426433 | PA      | $3393391.97   | 0.18%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                | DTE Electric Co                                           | CUSIP: 23338VAS5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   7305000 | PA      | $7505688.37   | 0.40%             | 2033-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA        | Delta Air Lines 2020-1 Class AA Pass Through Trust        | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7490509 | PA      | $7050352.93   | 0.38%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC            | Dominion Energy Inc                                       | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   4750000 | PA      | $4514048.55   | 0.24%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC        | Duke Energy Indiana LLC                                   | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   4450000 | PA      | $4549439.17   | 0.24%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC        | Duke Energy Florida LLC                                   | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   2230000 | PA      | $2376635.03   | 0.13%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-6INV                         | CUSIP: 33851GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2067398 | PA      | $1683314.68   | 0.09%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-7                            | CUSIP: 33852JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11466143 | PA      | $9357737.33   | 0.50%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC        | Duke Energy Florida LLC                                   | CUSIP: 341099CN7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   5606000 | PA      | $5747911.85   | 0.31%             | 2040-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-B                       | CUSIP: 34531QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2110027 | PA      | $2115497.65   | 0.11%             | 2027-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-B                       | CUSIP: 34531QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3456318 | PA      | $3456739.26   | 0.19%             | 2027-04-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2023-SFR1 Trust                                      | CUSIP: 66981XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2805000 | PA      | $2758362.39   | 0.15%             | 2040-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2022-SFR3 Trust                                      | CUSIP: 66981YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2358091.00   | 0.13%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YN2243387<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |    796000 | PA      | $985564.89    | 0.05%             | 2025-09-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YN5614816<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |    797000 | PA      | $960112.13    | 0.05%             | 2025-09-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2023-A                            | CUSIP: 05592XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249728 | PA      | $2263097.35   | 0.12%             | 2028-02-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-C9 Mortgage Trust                                | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3984000 | PA      | $4180623.55   | 0.22%             | 2057-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-C11 Mortgage Trust                               | CUSIP: 05613XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3635000 | PA      | $3801756.35   | 0.20%             | 2058-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-C12 Mortgage Trust                               | CUSIP: 05615DAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4365000 | PA      | $4621308.00   | 0.25%             | 2058-06-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-C32                             | CUSIP: 07337AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415000 | PA      | $1487079.68   | 0.08%             | 2062-02-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2018-B5 Mortgage Trust                          | CUSIP: 08160BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115631 | PA      | $1098596.40   | 0.06%             | 2051-07-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B23 Mortgage Trust                         | CUSIP: 08162RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4517913 | PA      | $4125320.64   | 0.22%             | 2054-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B24 Mortgage Trust                         | CUSIP: 08163CAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3638000 | PA      | $3495619.96   | 0.19%             | 2054-03-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B33 Mortgage Trust                         | CUSIP: 08163PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8420000 | PA      | $8113061.53   | 0.44%             | 2055-03-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2024-A                            | CUSIP: 096919AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3069182 | PA      | $3075973.20   | 0.17%             | 2027-02-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2024-A                            | CUSIP: 096919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1732637 | PA      | $1732935.97   | 0.09%             | 2027-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2025-A                            | CUSIP: 096924AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14205000 | PA      | $14204970.17  | 0.76%             | 2027-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA         | BP Capital Markets America Inc                            | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |  10310000 | PA      | $10489926.20  | 0.56%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                   | Bridge 2022-SFR1 Trust                                    | CUSIP: 10805VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3966914 | PA      | $3930944.06   | 0.21%             | 2037-11-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 21-1 A PPT         | British Airways 2021-1 Class A Pass Through Trust         | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    619255 | PA      | $557747.87    | 0.03%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 AA PTT        | British Airways 2019-1 Class AA Pass Through Trust        | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1273057 | PA      | $1182815.46   | 0.06%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 20-1 A PTT         | British Airways 2020-1 Class A Pass Through Trust         | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2283714 | PA      | $2189569.96   | 0.12%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-9                           | CUSIP: 46592DAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3405280 | PA      | $3152535.24   | 0.17%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust                                  | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10517839 | PA      | $10666142.84  | 0.57%             | 2055-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-2                           | CUSIP: 46648HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2216272 | PA      | $2014337.70   | 0.11%             | 2047-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-14                        | CUSIP: 46653QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2950951 | PA      | $2338006.19   | 0.13%             | 2052-05-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-14                        | CUSIP: 46653QBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3241518 | PA      | $3130828.86   | 0.17%             | 2052-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-INV8                      | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7435337 | PA      | $6343000.73   | 0.34%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-15                        | CUSIP: 46654TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8773599 | PA      | $7462700.89   | 0.40%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-15                        | CUSIP: 46654TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2929666 | PA      | $2390956.22   | 0.13%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-1                         | CUSIP: 46654WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4165040 | PA      | $3534811.49   | 0.19%             | 2052-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-4                         | CUSIP: 46655GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1924488 | PA      | $1632131.47   | 0.09%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                         | CUSIP: 46655KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965956 | PA      | $820372.91    | 0.04%             | 2052-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-7                         | CUSIP: 46655NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2755439 | PA      | $2341257.59   | 0.13%             | 2052-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS ISSUANCE BV        | BNP Paribas Issuance BV                                   | CUSIP: YN1762643<br>LEI: 7245009UXRIGIRYOBR48 | Long             | SN               | CORP              | NL        |   1506000 | PA      | $1596811.80   | 0.09%             | 2025-09-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2025-BNK49                                           | CUSIP: 05494FBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4195000 | PA      | $4383765.35   | 0.24%             | 2058-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                      | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4515000 | PA      | $4567862.75   | 0.25%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                      | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9110000 | PA      | $9239944.04   | 0.50%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2025-BNK50                                           | CUSIP: 064908AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2178000 | PA      | $2276167.25   | 0.12%             | 2068-05-15      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR5 Trust                      | CUSIP: 74333FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2677663 | PA      | $2607526.80   | 0.14%             | 2038-07-17      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR7 Trust                      | CUSIP: 74333PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2483362 | PA      | $2303675.19   | 0.12%             | 2040-08-17      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR9 Trust                      | CUSIP: 74333QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520368 | PA      | $1416806.26   | 0.08%             | 2040-11-17      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR8 Trust                      | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2757832 | PA      | $2674077.52   | 0.14%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES          | TransCanada PipeLines Ltd                                 | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   7540000 | PA      | $7384470.69   | 0.40%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                               | CUSIP: 912797PN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90300000 | PA      | $89824733.94  | 4.83%             | 2025-08-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                               | CUSIP: 912797PX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64060000 | PA      | $63466979.92  | 3.41%             | 2025-09-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Carillon Series Trust

**Signature:** /s/ Carolyn Gill

**Name of Signer:** Carolyn Gill

**Title:** Principal Financial Officer