# EDGAR Filing Document

**Accession Number:** 0001217286
**File Stem:** 0002071691-26-004929
**Filing Date:** 2026-2
**Character Count:** 381857
**Document Hash:** 4003ef903e0b0e5c09ca9c62d15aaec4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-004929.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0002071691-26-004929

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Trust I
- **CENTRAL INDEX KEY:** 0001217286

**ORGANIZATION NAME:**
- **EIN:** 331043149
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21295
- **FILM NUMBER:** 26683620

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JP MORGAN MUTUAL FUND SERIES
- **DATE OF NAME CHANGE:** 20030204

## Series and Classes Contracts Data

### JPMorgan SmartRetirement* Blend 2035 Fund (Series ID: S000037367)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000115346 | Class I      | JPSRX           |
| C000115347 | Class R2     | JPRRX           |
| C000115348 | Class R5     | JPBRX           |
| C000115349 | Class R6     | JPYRX           |
| C000186793 | Class R4     | JPTKX           |
| C000186794 | Class R3     | JPTLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust I

- **b. Investment Company Act file number:** 811-21295

- **c. CIK number of Registrant:** 0001217286

- **d. LEI of Registrant:** 549300DM5WZMCZZ70R78

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan SmartRetirement Blend 2035 Fund

- **b. EDGAR series identifier (if any):** S000037367

- **c. LEI of Series:** 5493004TZUXVOYD73Y24

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

- **a. Date of fiscal year-end:** 2026-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3575367356.88

**Total Liabilities:** $106431202.62

**Net Assets:** $3468936154.26

**Cash Not Reported:** $320348.30

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000115346 | 1.50%                | 0.50%                | 0.56%                |
| Class ID C000115347 | 1.48%                | 0.47%                | 0.51%                |
| Class ID C000115348 | 1.54%                | 0.53%                | 0.54%                |
| Class ID C000115349 | 1.57%                | 0.53%                | 0.56%                |
| Class ID C000186793 | 1.54%                | 0.51%                | 0.53%                |
| Class ID C000186794 | 1.50%                | 0.50%                | 0.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $8230260.51              | $40092825.15                               |
| Month 2  | $2394912.97              | $11044318.37                               |
| Month 3  | $4711210.23              | $-12131062.57                              |

**Designated Index Information**

- **Index Name:** 36.375% SP500GRUSD0, 26.875% 1TRUSD0, 17.2375% EAFERNRUSD0, 6.3625% EMGLRNRUSD0, 4.8% SP400GRUSD0, 3.45% 5273TRUSD0, 2.6125% RU2000GRUSD0, 1.3625% RMZGRUSD0, 0.925% EMBIGDTRUSD0

- **Index Identifier:** IBXUSD008616

### Schedule of Portfolio Investments

| Name                                                    | Title                                                                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                        | ABN AMRO Bank NV                                                                           | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $206530.58     | 0.01%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                | AEP Transmission Co. LLC                                                                   | CUSIP: 00115AAQ2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58337.29      | 0.00%             | 2053-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AHS Hospital Corp.                                      | AHS Hospital Corp.                                                                         | CUSIP: 001306AB5<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37462.01      | 0.00%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                         | AES Corp. (The)                                                                            | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143568.44     | 0.00%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                           | AIB Group plc                                                                              | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $212392.99     | 0.01%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                           | AIB Group plc                                                                              | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $206389.32     | 0.01%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                               | Corebridge Global Funding                                                                  | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45270.82      | 0.00%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2024-SFR1, Class D                                                      | CUSIP: 00179CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $320789.30     | 0.01%             | 2041-07-17      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2024-SFR2, Class D                                                      | CUSIP: 00179UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240000 | PA      | $230948.47     | 0.01%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2021-SFR2, Class E2                                                     | CUSIP: 00179VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $98299.78      | 0.00%             | 2038-08-17      | Fixed         | 2.58%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2025-SFR2, Class C                                                      | CUSIP: 00180BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $415354.89     | 0.01%             | 2042-11-17      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                                 | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    128000 | PA      | $100684.14     | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                                 | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     76000 | PA      | $50588.81      | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                               | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    300000 | PA      | $267799.30     | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                               | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    255000 | PA      | $262060.07     | 0.01%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Accelerated LLC                                         | Accelerated LLC, Series 2021-1H, Class B                                                   | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27654 | PA      | $25970.98      | 0.00%             | 2040-10-20      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    300000 | PA      | $295922.40     | 0.01%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    400000 | PA      | $407562.48     | 0.01%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                          | Aircastle Ltd.                                                                             | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    150000 | PA      | $153130.86     | 0.00%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                         | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2                                  | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $166954.65     | 0.00%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial, Inc.                                    | Ally Financial, Inc.                                                                       | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    150000 | PA      | $159149.86     | 0.00%             | 2030-01-03      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                      | Altria Group, Inc.                                                                         | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61899.72      | 0.00%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                        | Amazon.com, Inc.                                                                           | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    150000 | PA      | $117065.78     | 0.00%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2016-2, Class AA                              | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101118 | PA      | $98863.66      | 0.00%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2021-1, Class B                               | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134320 | PA      | $129549.48     | 0.00%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2016-3, Class AA                              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69415 | PA      | $67087.37      | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2017-2, Class A                               | CUSIP: 02377CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    594081 | PA      | $566185.60     | 0.02%             | 2029-10-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust            | American Credit Acceptance Receivables Trust, Series 2023-1, Class D                       | CUSIP: 02530UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100841.23     | 0.00%             | 2029-04-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust            | American Credit Acceptance Receivables Trust, Series 2024-1, Class D                       | CUSIP: 02531AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $207659.65     | 0.01%             | 2030-05-13      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                    | American Express Co.                                                                       | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124640.36     | 0.00%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                    | American Express Co.                                                                       | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55973.30      | 0.00%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                    | American Express Co.                                                                       | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69120.68      | 0.00%             | 2036-10-24      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                    | American Tower Corp.                                                                       | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    205000 | PA      | $205044.46     | 0.01%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                            | American Water Capital Corp.                                                               | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    230000 | PA      | $222993.76     | 0.01%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                           | Cencora, Inc.                                                                              | CUSIP: 03073EAN5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84602.94      | 0.00%             | 2045-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                           | Cencora, Inc.                                                                              | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    290000 | PA      | $297462.18     | 0.01%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                             | Amgen, Inc.                                                                                | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    314000 | PA      | $247485.32     | 0.01%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                             | Amgen, Inc.                                                                                | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    335000 | PA      | $328031.22     | 0.01%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Amphenol Corp.                                          | Amphenol Corp.                                                                             | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    130000 | PA      | $124190.84     | 0.00%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                    | Analog Devices, Inc.                                                                       | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     46000 | PA      | $33928.16      | 0.00%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                   | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                          | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $130688.05     | 0.00%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                              | Anglo American Capital plc                                                                 | CUSIP: 034863BE9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $210062.00     | 0.01%             | 2034-04-05      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Aon North America, Inc.                                 | Aon North America, Inc.                                                                    | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $64670.11      | 0.00%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                             | Apple, Inc.                                                                                | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    120000 | PA      | $74689.18      | 0.00%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust, Series 2021-A, Class A                                                 | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302578 | PA      | $278380.53     | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                      | Atmos Energy Corp.                                                                         | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     45000 | PA      | $27878.80      | 0.00%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                              | Aviation Capital Group LLC                                                                 | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101533.91     | 0.00%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A                          | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $159817.17     | 0.00%             | 2030-06-20      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC, Series 2024-2A, Class B                          | CUSIP: 05377RJH8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $290057.10     | 0.01%             | 2028-10-20      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    112000 | PA      | $108729.60     | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    145000 | PA      | $147040.15     | 0.00%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    150000 | PA      | $152704.53     | 0.00%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     45000 | PA      | $45230.40      | 0.00%             | 2030-10-10      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     80000 | PA      | $79477.60      | 0.00%             | 2031-01-30      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                       | BAT Capital Corp.                                                                          | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     55000 | PA      | $50663.81      | 0.00%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                    | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $257523.16     | 0.01%             | 2029-05-30      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                    | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $260716.41     | 0.01%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                             | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    275000 | PA      | $281656.98     | 0.01%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                               | BXP Trust, Series 2017-GM, Class A                                                         | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $166918.95     | 0.00%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                    | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $256617.75     | 0.01%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                    | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $262172.30     | 0.01%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                          | Baltimore Gas and Electric Co.                                                             | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    185000 | PA      | $177868.44     | 0.01%             | 2053-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                          | Baltimore Gas and Electric Co.                                                             | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79436.46      | 0.00%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                         | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $207279.84     | 0.01%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                         | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $200212.10     | 0.01%             | 2030-11-06      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                         | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $199930.43     | 0.01%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                      | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    610000 | PA      | $557847.68     | 0.02%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                      | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $85372.30      | 0.00%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                      | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    130000 | PA      | $135537.72     | 0.00%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                               | Bank of Ireland Group plc                                                                  | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $207719.23     | 0.01%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                     | Bank of New York Mellon Corp. (The)                                                        | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     60000 | PA      | $67122.29      | 0.00%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                   | Banque Federative du Credit Mutuel SA                                                      | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $207781.19     | 0.01%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                               | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $203109.58     | 0.01%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                               | CUSIP: 06738ECS2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    216000 | PA      | $226972.58     | 0.01%             | 2055-03-12      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                               | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $206713.78     | 0.01%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                               | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $209357.35     | 0.01%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Co.                           | Berkshire Hathaway Energy Co.                                                              | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     44000 | PA      | $27294.11      | 0.00%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                        | Berkshire Hathaway Finance Corp.                                                           | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     40000 | PA      | $30780.11      | 0.00%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health, Inc.                          | Beth Israel Lahey Health, Inc., Series L                                                   | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     25000 | PA      | $16361.36      | 0.00%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                            | Biogen, Inc.                                                                               | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     80000 | PA      | $84202.95      | 0.00%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                             | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $206892.07     | 0.01%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                             | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    280000 | PA      | $288217.92     | 0.01%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                             | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $209946.95     | 0.01%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                           | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    664000 | PA      | $654320.87     | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                           | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $181814.25     | 0.01%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                           | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $55317.95      | 0.00%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                 | Boston Scientific Corp.                                                                    | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17138.67      | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                        | BP Capital Markets America, Inc.                                                           | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     44000 | PA      | $27089.37      | 0.00%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D                      | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $173545.93     | 0.01%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class C                      | CUSIP: 10805MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $621108.41     | 0.02%             | 2030-02-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class C                      | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $577805.35     | 0.02%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge Trust, Series 2024-SFR1, Class C                                                    | CUSIP: 10806DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $433360.14     | 0.01%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge Trust, Series 2024-SFR1, Class D                                                    | CUSIP: 10806DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $493653.94     | 0.01%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D                      | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $620482.42     | 0.02%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class C                      | CUSIP: 10807UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506000 | PA      | $508694.45     | 0.01%             | 2031-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    113000 | PA      | $92327.52      | 0.00%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     84000 | PA      | $61719.27      | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     13000 | PA      | $12766.96      | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                        | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38406.08      | 0.00%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                        | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17976.75      | 0.00%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                             | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    148000 | PA      | $125517.69     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                             | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    250000 | PA      | $257394.33     | 0.01%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                             | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    151000 | PA      | $151421.00     | 0.00%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                             | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     52000 | PA      | $51310.82      | 0.00%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                | Brookfield Finance, Inc.                                                                   | CUSIP: 11271LAF9<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     62000 | PA      | $43042.75      | 0.00%             | 2051-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                     | Brown & Brown, Inc.                                                                        | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    292000 | PA      | $261810.85     | 0.01%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                | Bunge Ltd. Finance Corp.                                                                   | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    127000 | PA      | $124609.69     | 0.00%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                | Bunge Ltd. Finance Corp.                                                                   | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    125000 | PA      | $126975.35     | 0.00%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2024-2A, Class A                                       | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525427 | PA      | $529554.98     | 0.02%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2022-1A, Class A                                       | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72434 | PA      | $72019.70      | 0.00%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                | CFMT LLC, Series 2024-HB13, Class A                                                        | CUSIP: 12530VAA3<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |    362493 | PA      | $358201.55     | 0.01%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CGI, Inc.                                               | CGI, Inc.                                                                                  | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $66467.64      | 0.00%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                       | Cigna Group (The)                                                                          | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    205000 | PA      | $208691.24     | 0.01%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                    | Coterra Energy, Inc.                                                                       | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116724.28     | 0.00%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                            | Cadence Design Systems, Inc.                                                               | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    164000 | PA      | $163942.05     | 0.00%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                            | CaixaBank SA                                                                               | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $223055.07     | 0.01%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                            | CaixaBank SA                                                                               | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $205489.97     | 0.01%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                            | Canadian Pacific Railway Co.                                                               | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |     37000 | PA      | $32566.12      | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                             | Capital One Financial Corp.                                                                | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62382.08      | 0.00%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                             | Capital One Financial Corp.                                                                | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114419.93     | 0.00%             | 2036-09-11      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                 | CarMax Auto Owner Trust, Series 2024-1, Class B                                            | CUSIP: 14318WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254014.93     | 0.01%             | 2029-08-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                          | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183632 | PA      | $167588.12     | 0.00%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust, Series 2024-MH1, Class A1                                          | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252097 | PA      | $259527.57     | 0.01%             | 2056-11-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                                       | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    392000 | PA      | $352727.39     | 0.01%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                                       | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96000 | PA      | $60425.46      | 0.00%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                                       | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $24280.93      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                                       | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $69830.20      | 0.00%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                             | Cheniere Energy Partners LP                                                                | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     55000 | PA      | $56230.80      | 0.00%             | 2035-10-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                   | Cheniere Energy, Inc.                                                                      | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72616.60      | 0.00%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                             | Cherry Securitization Trust, Series 2024-1A, Class A                                       | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $231844.09     | 0.01%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Children's Hospital of Philadelphia (The)               | Children's Hospital of Philadelphia (The), Series 2020                                     | CUSIP: 16877PAA8<br>LEI: 254900N2KNSY5WTR1Q61 | Long             | DBT              | CORP              | US        |     70000 | PA      | $43500.52      | 0.00%             | 2050-07-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                            | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396416.36     | 0.01%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                            | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    630000 | PA      | $646475.26     | 0.02%             | 2030-02-13      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                            | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    268000 | PA      | $245505.25     | 0.01%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                            | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    684000 | PA      | $689439.26     | 0.02%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                      | Columbia Pipelines Holding Co. LLC                                                         | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    192000 | PA      | $197823.17     | 0.01%             | 2034-01-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                      | Columbia Pipelines Holding Co. LLC                                                         | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     44000 | PA      | $44742.55      | 0.00%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                    | Columbia Pipelines Operating Co. LLC                                                       | CUSIP: 19828TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     93000 | PA      | $88011.81      | 0.00%             | 2054-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                              | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    334000 | PA      | $260963.44     | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                              | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    130000 | PA      | $75310.44      | 0.00%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                              | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    180000 | PA      | $161687.92     | 0.00%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                              | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    123000 | PA      | $121274.15     | 0.00%             | 2037-01-15      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                               | Commercial Mortgage Trust, Series 2018-HOME, Class A                                       | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $231411.69     | 0.01%             | 2033-04-10      | Variable      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                     | CommonSpirit Health                                                                        | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     74000 | PA      | $68865.31      | 0.00%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2                            | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $195262.89     | 0.01%             | 2043-07-25      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips Co.                                      | ConocoPhillips Co.                                                                         | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     95000 | PA      | $90872.38      | 0.00%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.               | Consolidated Edison Co. of New York, Inc.                                                  | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     70000 | PA      | $46480.05      | 0.00%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                              | Constellation Brands, Inc.                                                                 | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    210000 | PA      | $175569.48     | 0.01%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                    | Consumers Energy Co.                                                                       | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21679.80      | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC               | Consumers 2023 Securitization Funding LLC, Series A2                                       | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    217000 | PA      | $223699.74     | 0.01%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| COPT Defense Properties LP                              | COPT Defense Properties LP                                                                 | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     54000 | PA      | $49255.42      | 0.00%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                  | Consumer Portfolio Services Auto Trust, Series 2025-D, Class C                             | CUSIP: 223936AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423000 | PA      | $424925.92     | 0.01%             | 2032-02-17      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust, Series 2025-2A, Class B                                 | CUSIP: 224940AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    605000 | PA      | $610302.52     | 0.02%             | 2036-01-15      | Fixed         | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class B                                 | CUSIP: 22535PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $158069.74     | 0.00%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                         | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $255276.49     | 0.01%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                         | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $249673.04     | 0.01%             | 2033-09-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C                                 | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $657367.56     | 0.02%             | 2034-10-16      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                                  | Crossroads Asset Trust, Series 2025-A, Class A2                                            | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181494 | PA      | $182825.26     | 0.01%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle, Inc.                                      | Crown Castle, Inc.                                                                         | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36692.52      | 0.00%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                               | DH Europe Finance II SARL                                                                  | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    230000 | PA      | $188389.13     | 0.01%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                          | DTE Energy Co.                                                                             | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204949.05     | 0.01%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                        | DTE Electric Co., Series B                                                                 | CUSIP: 23338VAP1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    100000 | PA      | $68508.77      | 0.00%             | 2051-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                        | DTE Electric Co., Series B                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     45000 | PA      | $33129.07      | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                            | DNB Bank ASA                                                                               | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    305000 | PA      | $311011.11     | 0.01%             | 2030-11-05      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                     | DT Auto Owner Trust, Series 2023-2A, Class D                                               | CUSIP: 23346CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $132488.77     | 0.00%             | 2029-02-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                         | Danske Bank A/S                                                                            | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $201664.61     | 0.01%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                         | Danske Bank A/S                                                                            | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $204250.01     | 0.01%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Darden Restaurants, Inc.                                | Darden Restaurants, Inc.                                                                   | CUSIP: 237194AQ8<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151380.30     | 0.00%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer                                         | DataBank Issuer, Series 2021-1A, Class A2                                                  | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $263802.04     | 0.01%             | 2051-02-27      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| DBSG Mortgage Trust                                     | DBSG ALTA Mortgage Trust, Series 2024-ALTA, Class A                                        | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $715822.88     | 0.02%             | 2037-06-10      | Variable      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                  | Dell International LLC                                                                     | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $287985.52     | 0.01%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    300000 | PA      | $295136.27     | 0.01%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $209387.91     | 0.01%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    155000 | PA      | $158807.78     | 0.00%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    170000 | PA      | $171718.64     | 0.00%             | 2031-08-04      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $147517.75     | 0.00%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $153070.62     | 0.00%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                      | Devon Energy Corp.                                                                         | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     36000 | PA      | $33080.27      | 0.00%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                 | DuPont de Nemours, Inc.                                                                    | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    304000 | PA      | $304636.26     | 0.01%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                            | Drive Auto Receivables Trust, Series 2024-1, Class C                                       | CUSIP: 26208WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $126747.68     | 0.00%             | 2031-11-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                            | Drive Auto Receivables Trust, Series 2025-2, Class D                                       | CUSIP: 262103AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $494953.52     | 0.01%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| EIDP, Inc.                                              | EIDP, Inc.                                                                                 | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |    155000 | PA      | $159032.55     | 0.00%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                       | Duke Energy Corp.                                                                          | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72508.08      | 0.00%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                       | Duke Energy Corp.                                                                          | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77732.41      | 0.00%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                | Duke Energy Progress LLC                                                                   | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     40000 | PA      | $25171.21      | 0.00%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                 | Duke Energy Florida LLC                                                                    | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     62000 | PA      | $64086.01      | 0.00%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress SC Storm Funding LLC               | Duke Energy Progress SC Storm Funding LLC, Series A                                        | CUSIP: 26445CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    513098 | PA      | $527040.48     | 0.02%             | 2044-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                           | Duquesne Light Holdings, Inc.                                                              | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17773.02      | 0.00%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Electricite de France SA                                | Electricite de France SA                                                                   | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |    250000 | PA      | $265715.09     | 0.01%             | 2034-04-22      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Eagle Funding Luxco Sarl                                | Eagle Funding Luxco SARL                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    460000 | PA      | $467820.00     | 0.01%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                         | Eastern Energy Gas Holdings LLC                                                            | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62006.04      | 0.00%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                     | Kinder Morgan, Inc.                                                                        | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    300000 | PA      | $347368.41     | 0.01%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                          | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class B                                     | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48545 | PA      | $46565.63      | 0.00%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                          | Element Fleet Management Corp.                                                             | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $210930.70     | 0.01%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                          | Element Fleet Management Corp.                                                             | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $97091.41      | 0.00%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Emera US Finance LP                                     | Emera US Finance LP                                                                        | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    172000 | PA      | $146804.41     | 0.00%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                         | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    105000 | PA      | $91014.47      | 0.00%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                          | Enbridge, Inc.                                                                             | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $63197.30      | 0.00%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                          | Enbridge, Inc.                                                                             | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $156588.61     | 0.00%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                         | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154361.47     | 0.00%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                           | Enel Finance International NV                                                              | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $198656.83     | 0.01%             | 2035-09-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                         | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53337.71      | 0.00%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                | Engie SA                                                                                   | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    290000 | PA      | $304653.12     | 0.01%             | 2034-04-10      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                                      | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38555.74      | 0.00%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                                      | CUSIP: 29364WBN7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99327.58      | 0.00%             | 2054-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                    | Entergy Arkansas LLC                                                                       | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70550.25      | 0.00%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                 | Entergy Mississippi LLC                                                                    | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101633.83     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                          | Enterprise Fleet Financing LLC, Series 2024-1, Class A3                                    | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101912.76     | 0.00%             | 2030-09-20      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Essex Portfolio LP                                      | Essex Portfolio LP                                                                         | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41430.61      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                      | Evergy Metro, Inc.                                                                         | CUSIP: 30037DAB1<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     89000 | PA      | $90452.05      | 0.00%             | 2033-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Evergy Missouri West Storm Funding I LLC                | Evergy Missouri West Storm Funding I LLC, Series A-1                                       | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    219903 | PA      | $225513.24     | 0.01%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                       | Eversource Energy                                                                          | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    290000 | PA      | $268169.53     | 0.01%             | 2032-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                     | Constellation Energy Generation LLC                                                        | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40772.58      | 0.00%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2025-3A, Class C                               | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    535000 | PA      | $543284.90     | 0.02%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2025-4A, Class C                               | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $601595.16     | 0.02%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2024-1A, Class D                               | CUSIP: 30167PAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254034.28     | 0.01%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                               | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $121535.59     | 0.00%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                              | F&G Annuities & Life, Inc.                                                                 | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $57297.92      | 0.00%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                       | Exxon Mobil Corp.                                                                          | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    146000 | PA      | $116835.49     | 0.00%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                            | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $145294.58     | 0.00%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2016-K56, Class B                                             | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90000 | PA      | $89513.65      | 0.00%             | 2049-06-25      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2020-K737, Class B                                            | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120000 | PA      | $118712.74     | 0.00%             | 2053-01-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2017-K67, Class C                                             | CUSIP: 30300YAU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $370130.59     | 0.01%             | 2049-09-25      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                    | Meta Platforms, Inc.                                                                       | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93031.53      | 0.00%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                    | Meta Platforms, Inc.                                                                       | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    180000 | PA      | $174783.41     | 0.01%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                    | Meta Platforms, Inc.                                                                       | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189745.40     | 0.01%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                    | Meta Platforms, Inc.                                                                       | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    145000 | PA      | $139166.79     | 0.00%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2017-KGX1, Class BFX                                          | CUSIP: 30305QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $119306.86     | 0.00%             | 2027-10-25      | Variable      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                               | FHF Trust, Series 2023-1A, Class A2                                                        | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34819 | PA      | $34983.81      | 0.00%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FARM Mortgage Trust                                     | FARM Mortgage Trust, Series 2024-2, Class A                                                | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    202717 | PA      | $199856.90     | 0.01%             | 2054-08-01      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132DNQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454047 | PA      | $403142.35     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132DSJL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451942 | PA      | $389280.47     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804923 | PA      | $719048.63     | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132E0CV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    719464 | PA      | $707720.23     | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    837351 | PA      | $720626.51     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132E0SG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384390 | PA      | $344817.17     | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132WVA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471626 | PA      | $448174.39     | 0.01%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335000 | PA      | $316516.95     | 0.01%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132XHSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $190292.70     | 0.01%             | 2034-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133AFNU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206836 | PA      | $176496.65     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133AUP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459130 | PA      | $395130.81     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133B5NM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789788 | PA      | $678575.52     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133BAZA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52085 | PA      | $50046.62      | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133BBA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75008 | PA      | $74581.30      | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    718704 | PA      | $618398.38     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133WCG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    664413 | PA      | $699233.76     | 0.02%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 31346Y2X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407602 | PA      | $348734.34     | 0.01%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2011-126, Class JB                                                     | CUSIP: 3136A2WH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421471 | PA      | $398464.66     | 0.01%             | 2041-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2012-108, Class PL                                                     | CUSIP: 3136A8P53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115653 | PA      | $105514.66     | 0.00%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2017-35, Class VA                                                      | CUSIP: 3136AWMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62002 | PA      | $61858.46      | 0.00%             | 2028-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2017-M11, Class A2                                                       | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123742 | PA      | $119763.84     | 0.00%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2018-72, Class VB                                                      | CUSIP: 3136B27G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215791 | PA      | $212345.54     | 0.01%             | 2031-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2018-56, Class VN                                                      | CUSIP: 3136B2SX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $168151.91     | 0.00%             | 2038-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2019-7, Class CA                                                       | CUSIP: 3136B32G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233206 | PA      | $227245.34     | 0.01%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2018-75, Class UZ                                                      | CUSIP: 3136B3CA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906722 | PA      | $871674.71     | 0.03%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M38, Class X2                                                       | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1488959 | PA      | $56184.22      | 0.00%             | 2028-11-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M50, Class A2                                                       | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116620 | PA      | $112419.36     | 0.00%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M50, Class X1                                                       | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1974519 | PA      | $66855.04      | 0.00%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M3, Class X1                                                        | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577519 | PA      | $35352.63      | 0.00%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-22, Class BI                                                      | CUSIP: 3136BFSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1616689 | PA      | $353067.91     | 0.01%             | 2051-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M3, Class A2                                                        | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $160341.91     | 0.00%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2022-4, Class TA                                                       | CUSIP: 3136BLZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198164 | PA      | $163288.77     | 0.00%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M1S, Class A2                                                       | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365000 | PA      | $321809.48     | 0.01%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M2S, Class A1                                                       | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       387 | PA      | $385.90        | 0.00%             | 2032-05-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2024-M2, Class A2                                                        | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875000 | PA      | $830028.50     | 0.02%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2025-18, Class MA                                                      | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598232 | PA      | $510929.56     | 0.01%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4065, Class QB                                                        | CUSIP: 3137ARAZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $175908.25     | 0.01%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4116, Class UC                                                        | CUSIP: 3137AVNQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188000 | PA      | $139320.05     | 0.00%             | 2042-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5054, Class PB                                                        | CUSIP: 3137F75W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387971 | PA      | $309757.78     | 0.01%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5052, Class KI                                                        | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1571754 | PA      | $321872.11     | 0.01%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4941, Class IA                                                        | CUSIP: 3137FQSN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614705 | PA      | $139585.43     | 0.00%             | 2049-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4941, Class KG                                                        | CUSIP: 3137FQT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474330 | PA      | $407662.06     | 0.01%             | 2047-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5171, Class NI                                                        | CUSIP: 3137H4PZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1217193 | PA      | $160002.46     | 0.00%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5174, Class IG                                                        | CUSIP: 3137H4QT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1680920 | PA      | $215246.50     | 0.01%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K136, Class A2            | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259000 | PA      | $231618.29     | 0.01%             | 2031-11-25      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5190, Class LM                                                        | CUSIP: 3137H5GQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320651 | PA      | $295137.71     | 0.01%             | 2048-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K140, Class A2            | CUSIP: 3137H6LZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262000 | PA      | $234890.99     | 0.01%             | 2032-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2           | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $178801.69     | 0.01%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138L3KY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99575 | PA      | $102043.86     | 0.00%             | 2028-03-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138L54D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86808 | PA      | $87832.59      | 0.00%             | 2029-01-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157444 | PA      | $149855.41     | 0.00%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138LJTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95575 | PA      | $89488.99      | 0.00%             | 2032-07-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130000 | PA      | $121774.57     | 0.00%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138LNZS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308077 | PA      | $294522.55     | 0.01%             | 2033-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A1                                 | CUSIP: 31392A5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97875 | PA      | $99053.69      | 0.00%             | 2041-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A1                                  | CUSIP: 31392B6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11432 | PA      | $11850.48      | 0.00%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC Trust, Whole Loan, Series 2002-W3, Class A4                                    | CUSIP: 31392CT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111706 | PA      | $114161.74     | 0.00%             | 2041-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA Trust, Whole Loan, Series 2002-W8, Class A1                                           | CUSIP: 31392DP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56688 | PA      | $59607.15      | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 2893, Class PE                                                        | CUSIP: 31395HWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183559 | PA      | $188599.90     | 0.01%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2011-41, Class KA                                                      | CUSIP: 31397SU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1065 | PA      | $1056.72       | 0.00%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 3674, Class HZ                                                        | CUSIP: 31398Q4R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373972 | PA      | $397927.01     | 0.01%             | 2040-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140A0PK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146901 | PA      | $152423.68     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140A8TK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71143 | PA      | $72972.59      | 0.00%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140A8TL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619894 | PA      | $644123.10     | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140ADJ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615314 | PA      | $646535.80     | 0.02%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140ADJE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417685 | PA      | $431454.20     | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49171 | PA      | $48137.63      | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214049 | PA      | $196908.88     | 0.01%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97716 | PA      | $94815.86      | 0.00%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130849 | PA      | $114500.15     | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526188 | PA      | $482737.45     | 0.01%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195543 | PA      | $204461.75     | 0.01%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112787 | PA      | $98122.74      | 0.00%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457374 | PA      | $400155.97     | 0.01%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    609021 | PA      | $526044.31     | 0.02%             | 2061-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932490 | PA      | $767815.30     | 0.02%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102538 | PA      | $93966.45      | 0.00%             | 2061-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603730 | PA      | $501598.38     | 0.01%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551295 | PA      | $476175.97     | 0.01%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140HFK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171743 | PA      | $146635.76     | 0.00%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HSTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $796126.06     | 0.02%             | 2029-02-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HT2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290000 | PA      | $287767.44     | 0.01%             | 2026-08-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HUKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770939 | PA      | $735308.79     | 0.02%             | 2031-06-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HVBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99409 | PA      | $92887.77      | 0.00%             | 2031-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HVDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97828 | PA      | $91721.34      | 0.00%             | 2031-08-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HVFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99431 | PA      | $92490.62      | 0.00%             | 2031-08-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HXJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360246 | PA      | $324080.97     | 0.01%             | 2032-03-01      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HY4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150110 | PA      | $124554.69     | 0.00%             | 2035-06-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140J2H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107912 | PA      | $96957.40      | 0.00%             | 2030-03-01      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140J2RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $65912.86      | 0.00%             | 2030-12-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140J2WN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374886 | PA      | $334605.59     | 0.01%             | 2030-12-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671879 | PA      | $563646.17     | 0.02%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    849111 | PA      | $714485.61     | 0.02%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140JVQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67114 | PA      | $65242.98      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KFQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276688 | PA      | $238248.96     | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KGR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117791 | PA      | $100833.96     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KHH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625039 | PA      | $537850.21     | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KT3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348558 | PA      | $336109.95     | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KT3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198704 | PA      | $192060.45     | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140L2YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150229 | PA      | $135486.07     | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LAE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73144 | PA      | $65381.65      | 0.00%             | 2030-04-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LDGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59566 | PA      | $52937.58      | 0.00%             | 2031-05-01      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LEXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $462146.08     | 0.01%             | 2029-10-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LF5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169000 | PA      | $158112.10     | 0.00%             | 2033-03-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231793 | PA      | $208274.80     | 0.01%             | 2032-03-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LFVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130000 | PA      | $118832.27     | 0.00%             | 2033-09-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LG3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145291 | PA      | $144538.69     | 0.00%             | 2031-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGDR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219161 | PA      | $205023.20     | 0.01%             | 2033-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422000 | PA      | $397562.10     | 0.01%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $222190.34     | 0.01%             | 2032-01-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208326 | PA      | $205944.75     | 0.01%             | 2031-02-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345000 | PA      | $345583.76     | 0.01%             | 2029-01-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505110 | PA      | $507096.38     | 0.01%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LH4F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $415370.52     | 0.01%             | 2031-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115000 | PA      | $111826.69     | 0.00%             | 2032-08-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHRY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298889 | PA      | $306415.84     | 0.01%             | 2031-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $271001.27     | 0.01%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220000 | PA      | $213165.83     | 0.01%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85000 | PA      | $85165.06      | 0.00%             | 2032-10-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHVW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90000 | PA      | $91139.53      | 0.00%             | 2032-10-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174710 | PA      | $179996.17     | 0.01%             | 2032-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJ6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $419496.93     | 0.01%             | 2032-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538192 | PA      | $567729.03     | 0.02%             | 2031-02-01      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520000 | PA      | $532948.04     | 0.02%             | 2030-01-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264564 | PA      | $268078.97     | 0.01%             | 2027-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJVF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204768 | PA      | $210019.61     | 0.01%             | 2031-06-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $309316.93     | 0.01%             | 2029-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165000 | PA      | $166844.17     | 0.00%             | 2033-05-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKLJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355000 | PA      | $354438.41     | 0.01%             | 2033-01-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308307 | PA      | $314798.18     | 0.01%             | 2031-04-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519254 | PA      | $515810.34     | 0.01%             | 2032-10-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215508 | PA      | $183492.17     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140MDKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183203 | PA      | $171478.05     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140MLP53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72215 | PA      | $71290.32      | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140MPSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91240 | PA      | $94939.38      | 0.00%             | 2052-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279237 | PA      | $279227.96     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NU6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    939566 | PA      | $985781.77     | 0.03%             | 2032-09-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NU7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792232 | PA      | $830220.99     | 0.02%             | 2030-07-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NUG37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344128 | PA      | $358384.22     | 0.01%             | 2035-08-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $446491.93     | 0.01%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NWHG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850000 | PA      | $837313.77     | 0.02%             | 2034-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NWV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135158 | PA      | $1168326.17    | 0.03%             | 2032-03-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QDJC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54950 | PA      | $46958.97      | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101871 | PA      | $88122.69      | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104984 | PA      | $94074.52      | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548953 | PA      | $468689.44     | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QLNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266716 | PA      | $229836.77     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515296 | PA      | $443804.95     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836821 | PA      | $717609.44     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QMMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196463 | PA      | $174342.68     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166476 | PA      | $143261.08     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QPAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    614904 | PA      | $570043.07     | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QQ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290185 | PA      | $290586.36     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QUHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876442 | PA      | $891502.06     | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140X6PC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120493 | PA      | $109020.83     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XBYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101441 | PA      | $87308.83      | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022782 | PA      | $880407.05     | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XCEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145947 | PA      | $125660.97     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XDRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568571 | PA      | $489514.54     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444285 | PA      | $396460.25     | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XLD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134608 | PA      | $114533.61     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XPTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477234 | PA      | $426600.71     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XTB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377954 | PA      | $321149.29     | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 20 Year                                                                         | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370928 | PA      | $338119.14     | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                                    | CUSIP: 3142GGNW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293760 | PA      | $285755.90     | 0.01%             | 2036-09-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                               | Fells Point Funding Trust                                                                  | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $212402.11     | 0.01%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                        | FHF Issuer Trust, Series 2024-1A, Class A2                                                 | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79235 | PA      | $79719.05      | 0.00%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Fifth Third Bancorp                                     | Fifth Third Bancorp                                                                        | CUSIP: 316773DL1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    316000 | PA      | $331669.51     | 0.01%             | 2032-01-29      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                            | FirstEnergy Transmission LLC                                                               | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    274000 | PA      | $232743.20     | 0.01%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                    | FirstKey Homes Trust, Series 2021-SFR2, Class E1                                           | CUSIP: 33767TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $254722.96     | 0.01%             | 2038-09-17      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                    | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                           | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99189.93      | 0.00%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                            | Fiserv, Inc.                                                                               | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297680.73     | 0.01%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                               | Florida Power & Light Co.                                                                  | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47881.33      | 0.00%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust, Series 2024-2A, Class A                                          | CUSIP: 35040VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163942 | PA      | $164101.90     | 0.00%             | 2050-03-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust, Series 2024-2A, Class B                                          | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84702 | PA      | $84972.15      | 0.00%             | 2050-03-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust, Series 2023-2A, Class A                                          | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139144 | PA      | $145203.53     | 0.00%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                        | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71900 | PA      | $62699.48      | 0.00%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class MT                         | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    206300 | PA      | $177080.22     | 0.01%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C                       | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    147476 | PA      | $137996.56     | 0.00%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D                       | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    247913 | PA      | $235837.60     | 0.01%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M55D                       | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    192431 | PA      | $181964.06     | 0.01%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class M55D                       | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    118962 | PA      | $114098.37     | 0.00%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                         | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73282 | PA      | $65721.75      | 0.00%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                       | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    292432 | PA      | $280387.39     | 0.01%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M55D                       | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217314 | PA      | $207016.26     | 0.01%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                         | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $190333.15     | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                       | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    206244 | PA      | $195201.00     | 0.01%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                       | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75957 | PA      | $71550.73      | 0.00%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MT                         | CUSIP: 35563PSB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    615259 | PA      | $493025.87     | 0.01%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                         | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    395848 | PA      | $347548.21     | 0.01%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust             | Seasoned Loans Structured Transaction Trust, Series 2025-2, Class A1                       | CUSIP: 35564C2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    663346 | PA      | $623056.46     | 0.02%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust             | Seasoned Loans Structured Transaction Trust, Series 2025-1, Class A1                       | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    706349 | PA      | $657032.11     | 0.02%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2016-K58, Class B                                             | CUSIP: 35690AAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    465000 | PA      | $462164.20     | 0.01%             | 2049-09-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617F25S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108432 | PA      | $107072.69     | 0.00%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617F2PL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128999 | PA      | $129173.95     | 0.00%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226373 | PA      | $193481.24     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UA5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249454 | PA      | $229878.98     | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UA6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256702 | PA      | $233769.24     | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UGL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342652 | PA      | $310414.85     | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UHAE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294967 | PA      | $273550.26     | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617ULV54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573567 | PA      | $526577.93     | 0.02%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617ULWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253809 | PA      | $228165.91     | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245641 | PA      | $220822.99     | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UP4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389055 | PA      | $344219.85     | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UXC59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29795 | PA      | $28446.92      | 0.00%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UXCF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41328 | PA      | $37969.23      | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UXCZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15623 | PA      | $14847.86      | 0.00%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7V70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60102 | PA      | $54122.65      | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7V88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243037 | PA      | $218782.23     | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7V96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199467 | PA      | $179313.76     | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7VQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639029 | PA      | $581940.58     | 0.02%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7VT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50945 | PA      | $45892.69      | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7VU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81678 | PA      | $73425.55      | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7WL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42828 | PA      | $38501.36      | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617VQ2T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265170 | PA      | $241478.81     | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617W0AL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125928 | PA      | $113206.57     | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617W0AN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72127 | PA      | $64840.12      | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617W0AP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66583 | PA      | $59857.65      | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617W0AQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119625 | PA      | $108868.86     | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617XRCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200376 | PA      | $182456.59     | 0.01%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189041 | PA      | $173100.09     | 0.00%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617XXAR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169744 | PA      | $152515.22     | 0.00%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617Y4GC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136580 | PA      | $136042.88     | 0.00%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618BB6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166761 | PA      | $150178.41     | 0.00%             | 2062-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618BB6U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205710 | PA      | $209274.89     | 0.01%             | 2063-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618BJF98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111402 | PA      | $113332.73     | 0.00%             | 2063-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618BJGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82372 | PA      | $83076.36      | 0.00%             | 2063-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3618BQP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260641 | PA      | $268508.87     | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618F3MV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130071 | PA      | $129440.86     | 0.00%             | 2062-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618F8C83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146188 | PA      | $148721.78     | 0.00%             | 2063-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3618GSAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110104 | PA      | $112331.89     | 0.00%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3618H2QX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733773 | PA      | $743709.75     | 0.02%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3622AAAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60781 | PA      | $59765.95      | 0.00%             | 2038-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228030 | PA      | $204842.80     | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 36241L4J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11940 | PA      | $11996.16      | 0.00%             | 2031-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                       | GLS Auto Receivables Issuer Trust, Series 2025-4A, Class C                                 | CUSIP: 36273HAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435000 | PA      | $436755.53     | 0.01%             | 2031-08-15      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                             | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696606 | PA      | $702622.43     | 0.02%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                            | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659384 | PA      | $644824.69     | 0.02%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                   | Gilead Sciences, Inc.                                                                      | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    182000 | PA      | $134638.23     | 0.00%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                       | CUSIP: 378272BK3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76933.64      | 0.00%             | 2028-05-08      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                       | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    240000 | PA      | $247685.77     | 0.01%             | 2029-04-04      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                       | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    100000 | PA      | $104479.17     | 0.00%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                   | Global Payments, Inc.                                                                      | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    255000 | PA      | $253452.71     | 0.01%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $84838.90      | 0.00%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    175000 | PA      | $182826.33     | 0.01%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    185000 | PA      | $189553.53     | 0.01%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    385000 | PA      | $395571.28     | 0.01%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    295000 | PA      | $292852.79     | 0.01%             | 2036-10-21      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Six LLC                              | Goodman US Finance Six LLC                                                                 | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $60242.80      | 0.00%             | 2034-10-07      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2012-H31, Class FD                                                            | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28376 | PA      | $28301.63      | 0.00%             | 2062-12-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2015-H16, Class FG                                                            | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20332 | PA      | $20321.65      | 0.00%             | 2065-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-H26, Class FC                                                            | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88663 | PA      | $89256.71      | 0.00%             | 2066-12-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-H13, Class FT                                                            | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2438 | PA      | $2440.91       | 0.00%             | 2066-05-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2013-82, Class WI                                                             | CUSIP: 38378TEH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    901075 | PA      | $99535.28      | 0.00%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-61, Class A                                                              | CUSIP: 38379WH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337508 | PA      | $288765.96     | 0.01%             | 2042-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2019-85, Class QY                                                             | CUSIP: 38381XMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $214902.57     | 0.01%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-32, Class IA                                                             | CUSIP: 38382DPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2494590 | PA      | $456654.95     | 0.01%             | 2047-03-16      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-185, Class PE                                                            | CUSIP: 38382LT84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228616 | PA      | $179535.79     | 0.01%             | 2050-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-83, Class KB                                                             | CUSIP: 38382QQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265305 | PA      | $208496.60     | 0.01%             | 2051-05-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-H14, Class YD                                                            | CUSIP: 38382YFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201578 | PA      | $177462.74     | 0.01%             | 2071-06-20      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-105, Class SG                                                            | CUSIP: 38383TKF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1068154 | PA      | $112112.91     | 0.00%             | 2052-06-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-151, Class B                                                             | CUSIP: 38383YP22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150226 | PA      | $123522.47     | 0.00%             | 2052-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2024-64, Class YH                                                             | CUSIP: 38384MRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    715000 | PA      | $696924.59     | 0.02%             | 2054-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2024-57, Class PT                                                             | CUSIP: 38384NCN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580028 | PA      | $569112.05     | 0.02%             | 2064-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Graphic Packaging International LLC                     | Graphic Packaging International LLC                                                        | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     49000 | PA      | $48552.89      | 0.00%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC            | GreatAmerica Leasing Receivables Funding LLC, Series 2024-1, Class A4                      | CUSIP: 39154TCK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785000 | PA      | $799883.21     | 0.02%             | 2030-12-16      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23625.21      | 0.00%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     23000 | PA      | $15589.48      | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     48000 | PA      | $45337.45      | 0.00%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    310000 | PA      | $323305.12     | 0.01%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    140000 | PA      | $138684.92     | 0.00%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    112000 | PA      | $117556.21     | 0.00%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19726.52      | 0.00%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72033.15      | 0.00%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54334.34      | 0.00%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                       | HSBC Holdings plc                                                                          | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    650000 | PA      | $627330.55     | 0.02%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                       | HSBC Holdings plc                                                                          | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $252786.00     | 0.01%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                       | HSBC Holdings plc                                                                          | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $200547.00     | 0.01%             | 2036-11-06      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                               | HINNT LLC, Series 2024-A, Class B                                                          | CUSIP: 40472QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161851 | PA      | $165223.37     | 0.00%             | 2043-03-15      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                               | HINNT LLC, Series 2024-A, Class C                                                          | CUSIP: 40472QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194221 | PA      | $198399.21     | 0.01%             | 2043-03-15      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                               | HINNT LLC, Series 2022-A, Class B                                                          | CUSIP: 40486JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160293 | PA      | $160615.38     | 0.00%             | 2041-05-15      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2022-2A, Class B                                      | CUSIP: 43283GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147535 | PA      | $147382.74     | 0.00%             | 2037-01-25      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2024-2A, Class B                                      | CUSIP: 43283JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253742 | PA      | $258321.99     | 0.01%             | 2038-03-25      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2024-1B, Class B                                      | CUSIP: 43283YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199713 | PA      | $204240.50     | 0.01%             | 2039-09-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2024-1B, Class C                                      | CUSIP: 43283YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67176 | PA      | $69020.29      | 0.00%             | 2039-09-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                  | Home Depot, Inc. (The)                                                                     | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     45000 | PA      | $32843.62      | 0.00%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America Trust, Series 2021-3, Class D                                     | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139267 | PA      | $131050.39     | 0.00%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America Trust, Series 2021-2, Class C                                     | CUSIP: 43732VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220684 | PA      | $215534.63     | 0.01%             | 2026-12-17      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                       | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                             | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $401411.16     | 0.01%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Honeywell International, Inc.                           | Honeywell International, Inc.                                                              | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    110000 | PA      | $103960.58     | 0.00%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                             | Huntington Bancshares, Inc.                                                                | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82316.16      | 0.00%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                                    | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    198000 | PA      | $192100.04     | 0.01%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Indiana Michigan Power Co.                              | Indiana Michigan Power Co.                                                                 | CUSIP: 454889AU0<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |     55000 | PA      | $36496.28      | 0.00%             | 2051-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                             | Intel Corp.                                                                                | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35579.67      | 0.00%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                             | Intel Corp.                                                                                | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     70000 | PA      | $44718.93      | 0.00%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                             | Intel Corp.                                                                                | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     70000 | PA      | $43045.25      | 0.00%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                | International Flavors & Fragrances, Inc.                                                   | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    200000 | PA      | $180460.43     | 0.01%             | 2030-11-01      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Interstate Power and Light Co.                          | Interstate Power and Light Co.                                                             | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54755.93      | 0.00%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                  | Invitation Homes Trust, Series 2024-SFR1, Class B                                          | CUSIP: 46188DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $165558.95     | 0.00%             | 2041-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                      | ITC Holdings Corp.                                                                         | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205993.16     | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                | JBS USA Holding Lux SARL                                                                   | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    100000 | PA      | $89765.28      | 0.00%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                | JBS USA Holding Lux SARL                                                                   | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     25000 | PA      | $25773.25      | 0.00%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders U.S. Small Cap Equity ETF         | JPMorgan BetaBuilders U.S. Small Cap Equity ETF                                            | CUSIP: 46641Q290<br>LEI: 549300LKK9I7ORHNOS29 | Long             |  | RF                | US        |    873746 | NS      | $64936802.72   | 1.87%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan BetaBuilders U.S. Mid Cap Equity ETF           | JPMorgan BetaBuilders U.S. Mid Cap Equity ETF                                              | CUSIP: 46641Q340<br>LEI: 549300S2VYDS8QJGW220 | Long             |  | RF                | US        |   1259938 | NS      | $134334589.56  | 3.87%             |  |  |  | No            |                  1 | On Loan: —       |
| JPMorgan BetaBuilders International Equity ETF          | JPMorgan BetaBuilders International Equity ETF                                             | CUSIP: 46641Q373<br>LEI: 549300BU8GZGI7U5FB20 | Long             |  | RF                | US        |   8652004 | NS      | $625712929.28  | 18.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan BetaBuilders MSCI US REIT ETF                  | JPMorgan BetaBuilders MSCI US REIT ETF                                                     | CUSIP: 46641Q738<br>LEI: 549300UDD0DL9T2E4I67 | Long             |  | RF                | US        |    502514 | NS      | $46527771.26   | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6                          | CUSIP: 46645V626<br>LEI: 549300RH6H0TG40PHS83 | Long             |  | RF                | US        |   5493309 | NS      | $115359493.47  | 3.33%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities Lending Money Market Fund           | JPMorgan Securities Lending Money Market Fund, Class Agency SL Shares                      | CUSIP: 46645V642<br>LEI: 5493002FD4HXUJXMRO62 | Long             | STIV             | RF                | US        |    240800 | NS      | $240800.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan BetaBuilders Emerging Markets Equity ETF       | JPMorgan BetaBuilders Emerging Markets Equity ETF                                          | CUSIP: 46654Q807<br>LEI: 549300WEJ5UQZ8KRFS08 | Long             |  | RF                | US        |   1831412 | NS      | $116532745.56  | 3.36%             |  |  |  | No            |                  1 | On Loan: —       |
| JBS USA LUX SARL                                        | JBS USA LUX SARL                                                                           | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $52574.43      | 0.00%             | 2035-04-20      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                | JBS USA Holding Lux SARL                                                                   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $111777.35     | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                | JBS USA Holding Lux SARL                                                                   | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $109524.42     | 0.00%             | 2066-04-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                | JBS USA Holding Lux SARL                                                                   | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    260000 | PA      | $287248.05     | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                        | Jersey Central Power & Light Co.                                                           | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45505.43      | 0.00%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Emerging Markets Debt Fund                     | JPMorgan Emerging Markets Debt Fund, Class R6                                              | CUSIP: 48121A134<br>LEI: 8KLDAXM5A9FOP50PQD10 | Long             |  | RF                | US        |   4926522 | NS      | $32859900.47   | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan High Yield Fund                                | JPMorgan High Yield Fund, Class R6                                                         | CUSIP: 4812C0126<br>LEI: 15QB5UY3VV3GNSMNPX63 | Long             |  | RF                | US        |  21331636 | NS      | $140575478.93  | 4.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Core Plus Bond Fund                            | JPMorgan Core Plus Bond Fund, Class R6                                                     | CUSIP: 4812C0134<br>LEI: JW89OQCNJOLWVS3KT374 | Long             |  | RF                | US        |  95119038 | NS      | $696271355.48  | 20.07%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Equity Index Fund                              | JPMorgan Equity Index Fund, Class R6                                                       | CUSIP: 4812C2213<br>LEI: 549300FO80ME045UVK10 | Long             |  | RF                | US        |  12640402 | NS      | $1296399637.12 | 37.37%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund              | JPMorgan U.S. Government Money Market Fund, Class IM                                       | CUSIP: 4812C2270<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |  73189373 | NS      | $73189373.30   | 2.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                            | KBC Group NV                                                                               | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    400000 | PA      | $398975.74     | 0.01%             | 2031-09-23      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                               | KLA Corp.                                                                                  | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    130000 | PA      | $90246.21      | 0.00%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                            | Kenvue, Inc.                                                                               | CUSIP: 49177JAR3<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63487.66      | 0.00%             | 2063-03-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                 | KeyCorp                                                                                    | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    330000 | PA      | $338914.57     | 0.01%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                   | Kraft Heinz Foods Co.                                                                      | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     29000 | PA      | $23957.47      | 0.00%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                   | Kraft Heinz Foods Co.                                                                      | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     55000 | PA      | $50229.91      | 0.00%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                        | Kroger Co. (The)                                                                           | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50276.21      | 0.00%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                        | Kroger Co. (The)                                                                           | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38092.04      | 0.00%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                           | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $325610.71     | 0.01%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                             | L3Harris Technologies, Inc.                                                                | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     61000 | PA      | $63534.24      | 0.00%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                             | L3Harris Technologies, Inc.                                                                | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    230000 | PA      | $239294.99     | 0.01%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                     | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68901 | PA      | $68918.83      | 0.00%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Leidos, Inc.                                            | Leidos, Inc.                                                                               | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52978.86      | 0.00%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                  | Lendmark Funding Trust, Series 2024-1A, Class B                                            | CUSIP: 52603DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202876.34     | 0.01%             | 2032-06-21      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Eli Lilly & Co.                                         | Eli Lilly & Co.                                                                            | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $196168.37     | 0.01%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                | Lloyds Banking Group plc                                                                   | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $247342.44     | 0.01%             | 2036-11-04      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                                    | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122422.93     | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                                    | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65415.28      | 0.00%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                 | MVW LLC, Series 2021-2A, Class C                                                           | CUSIP: 55400KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66452 | PA      | $63367.28      | 0.00%             | 2039-05-20      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                    | Macquarie Group Ltd.                                                                       | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    150000 | PA      | $135658.18     | 0.00%             | 2033-01-14      | Variable      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                      | Macquarie Airfinance Holdings Ltd.                                                         | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $76028.98      | 0.00%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                      | Macquarie Airfinance Holdings Ltd.                                                         | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     95000 | PA      | $96434.35      | 0.00%             | 2028-03-27      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust, Series 2024-AA, Class C                                    | CUSIP: 567928AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199000 | PA      | $203252.85     | 0.01%             | 2036-09-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust, Series 2021-AA, Class A                                    | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $191986.22     | 0.01%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                              | Mars, Inc.                                                                                 | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    205000 | PA      | $206643.09     | 0.01%             | 2045-05-01      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                | Marvell Technology, Inc.                                                                   | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $268593.10     | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                | Marvell Technology, Inc.                                                                   | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    259000 | PA      | $266851.39     | 0.01%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                              | Massachusetts Electric Co.                                                                 | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     13000 | PA      | $10254.26      | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                       | Merck & Co., Inc.                                                                          | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40011.69      | 0.00%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                       | Merck & Co., Inc.                                                                          | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     55000 | PA      | $31966.92      | 0.00%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                               | MFA Trust, Series 2024-RTL3, Class A1                                                      | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $404071.92     | 0.01%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                  | MidAmerican Energy Co.                                                                     | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41148.24      | 0.00%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                    | Mitsubishi UFJ Financial Group, Inc.                                                       | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $203201.72     | 0.01%             | 2036-09-12      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                            | Mizuho Financial Group, Inc.                                                               | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    250000 | PA      | $263150.16     | 0.01%             | 2031-05-27      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                            | Mizuho Financial Group, Inc.                                                               | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $202582.26     | 0.01%             | 2031-07-08      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                            | Mizuho Financial Group, Inc.                                                               | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $205452.43     | 0.01%             | 2036-07-08      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co.                                   | Monongahela Power Co.                                                                      | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $31704.52      | 0.00%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    550000 | PA      | $493272.41     | 0.01%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    105000 | PA      | $107363.50     | 0.00%             | 2029-04-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20638.98      | 0.00%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41579.01      | 0.00%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    140000 | PA      | $145855.60     | 0.00%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71770.03      | 0.00%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     95000 | PA      | $97793.17      | 0.00%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley, Series I                                                                   | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29901.52      | 0.00%             | 2031-10-22      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley, Series I                                                                   | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64424.59      | 0.00%             | 2036-10-22      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31340.26      | 0.00%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust        | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                 | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |    195104 | PA      | $200899.15     | 0.01%             | 2053-11-25      | Floating      | 7.87%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust        | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                 | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |    149717 | PA      | $151559.29     | 0.00%             | 2054-07-25      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                 | MVW LLC, Series 2024-1A, Class B                                                           | CUSIP: 62847RAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80534 | PA      | $81925.59      | 0.00%             | 2043-02-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                 | MVW LLC, Series 2024-1A, Class C                                                           | CUSIP: 62847RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99325 | PA      | $101706.41     | 0.00%             | 2043-02-20      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                              | Utah Acquisition Sub, Inc.                                                                 | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     37000 | PA      | $36916.32      | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NMABS Issuer I LLC                                      | NMABS Issuer LLC, Series 2025-1A, Class A                                                  | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514893 | PA      | $514262.84     | 0.01%             | 2055-11-22      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                         | NGPL PipeCo LLC                                                                            | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36798.39      | 0.00%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                        | NRG Energy, Inc.                                                                           | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    118000 | PA      | $114031.67     | 0.00%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                        | NRG Energy, Inc.                                                                           | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159830.53     | 0.00%             | 2035-10-15      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                                     | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $56882.25      | 0.00%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                                     | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30467.50      | 0.00%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                       | NTT Finance Corp.                                                                          | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $205206.71     | 0.01%             | 2032-07-16      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| NNN REIT, Inc.                                          | NNN REIT, Inc.                                                                             | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52223.42      | 0.00%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                          | NNN REIT, Inc.                                                                             | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62097.16      | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                             | Nationwide Building Society                                                                | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $256813.42     | 0.01%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Mutual Insurance Co.                         | Nationwide Mutual Insurance Co.                                                            | CUSIP: 638671AC1<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    200000 | PA      | $233027.97     | 0.01%             | 2031-12-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                       | NatWest Group plc                                                                          | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $280656.74     | 0.01%             | 2030-08-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                        | Nevada Power Co.                                                                           | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30737.57      | 0.00%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                   | New England Power Co.                                                                      | CUSIP: 644188BG8<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     62000 | PA      | $37923.77      | 0.00%             | 2050-10-06      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class D                             | CUSIP: 64831KAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $302332.86     | 0.01%             | 2039-02-17      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                            | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $653011.58     | 0.02%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                            | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $846262.20     | 0.02%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| New York Life Insurance Co.                             | New York Life Insurance Co.                                                                | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    156000 | PA      | $115625.45     | 0.00%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                   | NextEra Energy Capital Holdings, Inc.                                                      | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    110000 | PA      | $106248.61     | 0.00%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                              | Niagara Mohawk Power Corp.                                                                 | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45584.53      | 0.00%             | 2055-07-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                          | NiSource, Inc.                                                                             | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103097.20     | 0.00%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Norinchukin Bank (The)                                  | Norinchukin Bank (The)                                                                     | CUSIP: 656029AQ8<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $202752.51     | 0.01%             | 2035-09-09      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Northern Natural Gas Co.                                | Northern Natural Gas Co.                                                                   | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19215.05      | 0.00%             | 2054-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Northern States Power Co.                               | Northern States Power Co.                                                                  | CUSIP: 665772CX5<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92694.66      | 0.00%             | 2053-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                  | Northrop Grumman Corp.                                                                     | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     90000 | PA      | $71966.12      | 0.00%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust        | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class A                   | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $273948.02     | 0.01%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                         | NYMT Loan Trust, Series 2024-BPL3, Class A1                                                | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $185431.27     | 0.01%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust, Series 2023-1A, Class C                                          | CUSIP: 67571BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $147260.62     | 0.00%             | 2029-09-20      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust, Series 2023-3A, Class B                                          | CUSIP: 67571CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141912.64     | 0.00%             | 2029-07-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust, Series 2021-2A, Class C                                          | CUSIP: 67578AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355000 | PA      | $354267.07     | 0.01%             | 2029-05-21      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                             | Ocwen Loan Investment Trust, Series 2024-HB1, Class M2                                     | CUSIP: 675952AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $349801.63     | 0.01%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Ohio Power Co.                                          | Ohio Power Co.                                                                             | CUSIP: 677415CV1<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70924.59      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust, Series 2019-1A, Class B                             | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213498 | PA      | $213209.72     | 0.01%             | 2028-11-14      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A                             | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $191433.19     | 0.01%             | 2029-11-14      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust, Series 2022-1A, Class B                             | CUSIP: 68269DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $295897.39     | 0.01%             | 2029-06-14      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                  | Oportun Issuance Trust, Series 2021-B, Class A                                             | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83436 | PA      | $81891.78      | 0.00%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                  | Oportun Issuance Trust, Series 2025-A, Class B                                             | CUSIP: 68377TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $104983.01     | 0.00%             | 2033-02-08      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                  | Oportun Issuance Trust, Series 2025-A, Class C                                             | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99830.98      | 0.00%             | 2033-02-08      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    184000 | PA      | $148550.89     | 0.00%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    140000 | PA      | $87207.51      | 0.00%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    130000 | PA      | $94837.56      | 0.00%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57743.60      | 0.00%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    105000 | PA      | $101369.31     | 0.00%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63218.67      | 0.00%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                    | Otis Worldwide Corp.                                                                       | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     86000 | PA      | $67546.25      | 0.00%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Ovintiv, Inc.                                           | Ovintiv, Inc.                                                                              | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    150000 | PA      | $159107.93     | 0.00%             | 2033-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                      | PG&E Wildfire Recovery Funding LLC, Series A-2                                             | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $29171.77      | 0.00%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                      | PG&E Wildfire Recovery Funding LLC, Series A-5                                             | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $32609.40      | 0.00%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                | PNC Financial Services Group, Inc. (The)                                                   | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    266000 | PA      | $272151.50     | 0.01%             | 2034-01-24      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                | PNC Financial Services Group, Inc. (The)                                                   | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133703.05     | 0.00%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                            | PPL Electric Utilities Corp.                                                               | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43114.25      | 0.00%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PPL Capital Funding, Inc.                               | PPL Capital Funding, Inc.                                                                  | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71686.89      | 0.00%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    322000 | PA      | $243638.14     | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $106109.54     | 0.00%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     53000 | PA      | $55044.07      | 0.00%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    155000 | PA      | $162641.08     | 0.00%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                   | Pagaya AI Technology in Housing Trust, Series 2023-1, Class C                              | CUSIP: 69547YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $256362.84     | 0.01%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                 | Pfizer Investment Enterprises Pte. Ltd.                                                    | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    110000 | PA      | $104156.40     | 0.00%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                               | PG&E Recovery Funding LLC, Series A-3                                                      | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $65179.79      | 0.00%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                               | PG&E Recovery Funding LLC, Series A-2                                                      | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1051568.08    | 0.03%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                               | PG&E Recovery Funding LLC, Series A-3                                                      | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $169763.06     | 0.00%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                              | DOC DR LLC                                                                                 | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22476.68      | 0.00%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Piedmont Healthcare, Inc.                               | Piedmont Healthcare, Inc.                                                                  | CUSIP: 72014TAE9<br>LEI: 254900D1I6W7J0DSAY11 | Long             | DBT              | CORP              | US        |     45000 | PA      | $28467.43      | 0.00%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                           | Pioneer Natural Resources Co.                                                              | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63485.88      | 0.00%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                         | Plains All American Pipeline LP                                                            | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    125000 | PA      | $130179.12     | 0.00%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                         | Post Road Equipment Finance LLC, Series 2024-1A, Class C                                   | CUSIP: 737473AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $552350.69     | 0.02%             | 2030-10-15      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR2, Class D                                      | CUSIP: 74290XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $94790.28      | 0.00%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR2, Class E1                                     | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $117411.26     | 0.00%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR1, Class E1                                     | CUSIP: 74331QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $95519.62      | 0.00%             | 2041-02-17      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR3, Class C                                      | CUSIP: 74331VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $271969.23     | 0.01%             | 2041-06-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR3, Class D                                      | CUSIP: 74331VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $616340.27     | 0.02%             | 2041-06-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR5, Class D                                      | CUSIP: 74332HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $211887.09     | 0.01%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR5, Class E1                                     | CUSIP: 74332HAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $466178.30     | 0.01%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2025-SFR3, Class C                                      | CUSIP: 74334BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315000 | PA      | $293479.67     | 0.01%             | 2042-07-17      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2023-SFR1, Class D                                      | CUSIP: 74334FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $247934.05     | 0.01%             | 2040-03-17      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR4, Class C                                      | CUSIP: 74334JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $535313.15     | 0.02%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2025-SFR5, Class A                                      | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $774851.20     | 0.02%             | 2042-10-17      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2025-SFR5, Class B                                      | CUSIP: 74334RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $962943.40     | 0.03%             | 2042-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                             | Prologis LP                                                                                | CUSIP: 74340XCK5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    138000 | PA      | $131125.82     | 0.00%             | 2054-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Prudential Funding Asia plc                             | Prudential Funding Asia plc                                                                | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |     60000 | PA      | $57521.63      | 0.00%             | 2030-04-14      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                          | Public Service Co. of Oklahoma                                                             | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71832.27      | 0.00%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                          | Public Service Co. of Oklahoma                                                             | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30324.38      | 0.00%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                   | Public Service Enterprise Group, Inc.                                                      | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82644.89      | 0.00%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                      | Puget Energy, Inc.                                                                         | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46177.03      | 0.00%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding LLC                            | Purchasing Power Funding LLC, Series 2024-A, Class B                                       | CUSIP: 745935AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $195842.99     | 0.01%             | 2028-08-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                   | Quanta Services, Inc.                                                                      | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110235.46     | 0.00%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RPM International, Inc.                                 | RPM International, Inc.                                                                    | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     61000 | PA      | $55289.73      | 0.00%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                              | ROCK Trust, Series 2024-CNTR, Class A                                                      | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $154106.69     | 0.00%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                | Cooperatieve Rabobank UA                                                                   | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $255755.56     | 0.01%             | 2031-05-27      | Variable      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| RTX Corp.                                               | RTX Corp.                                                                                  | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     70000 | PA      | $43656.01      | 0.00%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Reach Abs Trust                                         | Reach ABS Trust, Series 2024-1A, Class B                                                   | CUSIP: 75526PAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171004 | PA      | $172191.79     | 0.00%             | 2031-02-18      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                         | Republic Finance Issuance Trust, Series 2024-A, Class A                                    | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $606076.68     | 0.02%             | 2032-08-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Roc Mortgage Trust                                      | Roc Mortgage Trust, Series 2025-RTL1, Class A1                                             | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $196038.94     | 0.01%             | 2040-02-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                | Roper Technologies, Inc.                                                                   | CUSIP: 776743AL0<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     47000 | PA      | $41227.62      | 0.00%             | 2031-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                       | NatWest Group plc                                                                          | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $401498.88     | 0.01%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | Royal Bank of Canada                                                                       | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    170000 | PA      | $172370.07     | 0.00%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                               | SCF Equipment Leasing LLC, Series 2024-1A, Class C                                         | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $149729.13     | 0.00%             | 2032-09-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                               | SCF Equipment Leasing LLC, Series 2023-1A, Class C                                         | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $176973.57     | 0.01%             | 2033-08-22      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                   | SBNA Auto Lease Trust, Series 2024-A, Class A4                                             | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $326320.41     | 0.01%             | 2029-01-22      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                | SCE Recovery Funding LLC, Series A-1                                                       | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48365 | PA      | $48098.65      | 0.00%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                | SCE Recovery Funding LLC                                                                   | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $89914.09      | 0.00%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust               | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C                         | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $332283.97     | 0.01%             | 2032-01-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                   | SBNA Auto Lease Trust, Series 2024-B, Class A3                                             | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737665 | PA      | $741588.93     | 0.02%             | 2027-11-22      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                        | SLG Office Trust, Series 2021-OVA, Class A                                                 | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $174330.62     | 0.01%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                | Safehold GL Holdings LLC                                                                   | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |     80000 | PA      | $72060.82      | 0.00%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                            | San Diego Gas & Electric Co.                                                               | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $44440.83      | 0.00%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                         | Santander UK Group Holdings plc                                                            | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $217568.07     | 0.01%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                            | Santander Holdings USA, Inc.                                                               | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     75000 | PA      | $78166.63      | 0.00%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust, Series 2024-2, Class C                             | CUSIP: 80286YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $490424.06     | 0.01%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust, Series 2023-1, Class C                             | CUSIP: 80287GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105866 | PA      | $106552.56     | 0.00%             | 2030-05-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Shell Finance US, Inc.                                  | Shell Finance US, Inc.                                                                     | CUSIP: 822905AZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     52000 | PA      | $34988.36      | 0.00%             | 2049-11-07      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Sierra Pacific Power Co.                                | Sierra Pacific Power Co.                                                                   | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59802.31      | 0.00%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                          | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58847 | PA      | $59450.95      | 0.00%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                          | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22619 | PA      | $22576.14      | 0.00%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2021-2A, Class B                          | CUSIP: 82652RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11875 | PA      | $11826.31      | 0.00%             | 2038-09-20      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class C                          | CUSIP: 82653HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87286 | PA      | $87557.52      | 0.00%             | 2044-04-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                             | Sigeco Securitization I LLC, Series A1                                                     | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45630 | PA      | $46764.08      | 0.00%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2024-1A, Class C                          | CUSIP: 826935AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66807 | PA      | $67783.69      | 0.00%             | 2043-01-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC               | South Bow USA Infrastructure Holdings LLC                                                  | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35320.14      | 0.00%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC               | South Bow USA Infrastructure Holdings LLC                                                  | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40575.23      | 0.00%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                        | Skandinaviska Enskilda Banken AB                                                           | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |    200000 | PA      | $200835.40     | 0.01%             | 2030-09-03      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                          | Smurfit Westrock Financing DAC                                                             | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $205929.41     | 0.01%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                        | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $435638.19     | 0.01%             | 2034-01-10      | Variable      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                        | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $211089.87     | 0.01%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                        | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $202272.85     | 0.01%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                        | CUSIP: 83368RCK6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $300652.25     | 0.01%             | 2036-10-03      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Solventum Corp.                                         | Solventum Corp.                                                                            | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    146000 | PA      | $151911.85     | 0.00%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Sonoco Products Co.                                     | Sonoco Products Co.                                                                        | CUSIP: 835495AS1<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99059.79      | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co., Series C                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    150000 | PA      | $113847.93     | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                             | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     67000 | PA      | $64152.12      | 0.00%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                             | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    125000 | PA      | $117192.03     | 0.00%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                             | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67579.52      | 0.00%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                             | Southern California Gas Co.                                                                | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    125000 | PA      | $135109.90     | 0.00%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                          | Southern Co. Gas Capital Corp.                                                             | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    250000 | PA      | $264909.80     | 0.01%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                      | Southern Power Co.                                                                         | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    174000 | PA      | $167536.52     | 0.00%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                         | Starbucks Corp.                                                                            | CUSIP: 855244AX7<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |     52000 | PA      | $35482.07      | 0.00%             | 2050-03-12      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                      | State Street Corp.                                                                         | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40517.91      | 0.00%             | 2034-01-26      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                      | State Street Corp.                                                                         | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59687.79      | 0.00%             | 2036-10-23      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                         | Stream Innovations Issuer Trust, Series 2025-1A, Class A                                   | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249261 | PA      | $251691.03     | 0.01%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Synopsys, Inc.                                          | Synopsys, Inc.                                                                             | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123998.66     | 0.00%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                      | T-Mobile USA, Inc.                                                                         | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91358.35      | 0.00%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                      | T-Mobile USA, Inc.                                                                         | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    185000 | PA      | $124347.50     | 0.00%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                     | Take-Two Interactive Software, Inc.                                                        | CUSIP: 874054AH2<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    500000 | PA      | $484582.99     | 0.01%             | 2032-04-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                     | Take-Two Interactive Software, Inc.                                                        | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    250000 | PA      | $258642.60     | 0.01%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                          | Takeda Pharmaceutical Co. Ltd.                                                             | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $133381.57     | 0.00%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America     | Teachers Insurance & Annuity Association of America                                        | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57451.96      | 0.00%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America     | Teachers Insurance & Annuity Association of America                                        | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     96000 | PA      | $65778.75      | 0.00%             | 2050-05-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.          | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-2 | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     55000 | PA      | $56091.76      | 0.00%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                   | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                         | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $221016.88     | 0.01%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                  | TotalEnergies Capital International SA                                                     | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     96000 | PA      | $72620.75      | 0.00%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                        | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344840 | PA      | $313195.20     | 0.01%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Trane Technologies Financing Ltd.                       | Trane Technologies Financing Ltd.                                                          | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |     40000 | PA      | $41656.71      | 0.00%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                              | TransCanada PipeLines Ltd.                                                                 | CUSIP: 89352HAB5<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $156490.10     | 0.00%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                | Tricon Residential Trust, Series 2023-SFR2, Class C                                        | CUSIP: 895978AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $104788.68     | 0.00%             | 2040-12-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                                | Tricon Residential Trust, Series 2024-SFR2, Class A                                        | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378801 | PA      | $380027.47     | 0.01%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Triton Container International Ltd.                     | Triton Container International Ltd.                                                        | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    150000 | PA      | $148528.50     | 0.00%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    185000 | PA      | $188493.53     | 0.01%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     49000 | PA      | $52860.07      | 0.00%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     62000 | PA      | $65219.03      | 0.00%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154096.42     | 0.00%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148402.09     | 0.00%             | 2036-10-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Tucson Electric Power Co.                               | Tucson Electric Power Co.                                                                  | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |     90000 | PA      | $86307.82      | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                               | CUSIP: 902613BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    310000 | PA      | $304119.19     | 0.01%             | 2045-09-06      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                               | UDR, Inc.                                                                                  | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     88000 | PA      | $75185.98      | 0.00%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                 | Uber Technologies, Inc.                                                                    | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64981.18      | 0.00%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                      | Union Electric Co.                                                                         | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    163000 | PA      | $124592.17     | 0.00%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                      | Union Electric Co.                                                                         | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48192.45      | 0.00%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                      | Union Electric Co.                                                                         | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154451.62     | 0.00%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                     | Union Pacific Corp.                                                                        | CUSIP: 907818FD5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59792.28      | 0.00%             | 2039-08-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2018-1, Class A                                 | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81324 | PA      | $77628.13      | 0.00%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2016-2, Class A                                 | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30111 | PA      | $28774.12      | 0.00%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2019-2, Class B                                 | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33629 | PA      | $32834.11      | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2024-1, Class AA                                | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326346 | PA      | $335502.13     | 0.01%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                   | United Mexican States                                                                      | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $202950.00     | 0.01%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                   | United Mexican States                                                                      | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $213500.00     | 0.01%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                   | United Mexican States                                                                      | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $205800.00     | 0.01%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                   | United Mexican States                                                                      | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    422000 | PA      | $418088.06     | 0.01%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                              | US Bancorp                                                                                 | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118541.15     | 0.00%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $768253.13     | 0.02%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4950000 | PA      | $4003505.85    | 0.12%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    147000 | PA      | $126890.86     | 0.00%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6630000 | PA      | $4909048.84    | 0.14%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2265000 | PA      | $1113654.50    | 0.03%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2599000 | PA      | $1364475.00    | 0.04%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    605000 | PA      | $544263.67     | 0.02%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2095000 | PA      | $1854566.03    | 0.05%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $650925.00     | 0.02%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    145000 | PA      | $136764.45     | 0.00%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $117918.75     | 0.00%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3690000 | PA      | $3476383.61    | 0.10%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3135796.88    | 0.09%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3355000 | PA      | $3355655.27    | 0.10%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    205000 | PA      | $199226.37     | 0.01%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7144000 | PA      | $7504548.75    | 0.22%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4780000 | PA      | $4935536.71    | 0.14%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3910000 | PA      | $3897781.25    | 0.11%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5155000 | PA      | $5075661.35    | 0.15%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1070000 | PA      | $1081243.36    | 0.03%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2620000 | PA      | $2636050.80    | 0.08%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4217000 | PA      | $4310729.40    | 0.12%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4562800 | PA      | $4591139.28    | 0.13%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2050000 | PA      | $2060650.39    | 0.06%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1040000 | PA      | $1048612.50    | 0.03%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1125000 | PA      | $1122055.66    | 0.03%             | 2032-08-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    291000 | PA      | $197060.43     | 0.01%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    755000 | PA      | $498085.97     | 0.01%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    141000 | PA      | $90732.85      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    189000 | PA      | $118268.16     | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $273915.41     | 0.01%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $209309.53     | 0.01%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2450000 | PA      | $1213227.73    | 0.03%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    210000 | PA      | $102447.71     | 0.00%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                               | RTX Corp.                                                                                  | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     80000 | PA      | $61992.15      | 0.00%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                | UnitedHealth Group, Inc.                                                                   | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25208.62      | 0.00%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| University of Miami                                     | University of Miami, Series 2022                                                           | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16019.72      | 0.00%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                                  | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     74000 | PA      | $77872.64      | 0.00%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                                  | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46447.29      | 0.00%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                                  | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    132000 | PA      | $131946.51     | 0.00%             | 2030-10-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                                  | CUSIP: 92840VAW2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    144000 | PA      | $143537.87     | 0.00%             | 2035-10-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                                      | Vodafone Group plc                                                                         | CUSIP: 92857WCA6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $145698.93     | 0.00%             | 2054-06-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                            | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                   | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15481 | PA      | $15480.92      | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                             | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     36000 | PA      | $32445.57      | 0.00%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                             | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35270.58      | 0.00%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                         | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                   | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $174689.79     | 0.01%             | 2040-07-15      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     18000 | PA      | $13960.63      | 0.00%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $103260.53     | 0.00%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     27000 | PA      | $27419.98      | 0.00%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     32000 | PA      | $33293.83      | 0.00%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     26000 | PA      | $26932.80      | 0.00%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    330000 | PA      | $345976.42     | 0.01%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30895.50      | 0.00%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $313011.05     | 0.01%             | 2035-01-23      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    365000 | PA      | $372858.81     | 0.01%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     36000 | PA      | $37732.02      | 0.00%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Western Midstream Operating LP                          | Western Midstream Operating LP                                                             | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21401.25      | 0.00%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                    | Westgate Resorts LLC, Series 2024-1A, Class B                                              | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249883 | PA      | $254046.21     | 0.01%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                    | Westgate Resorts LLC, Series 2024-1A, Class C                                              | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156177 | PA      | $158849.15     | 0.00%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                             | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101998.22     | 0.00%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust, Series 2023-1A, Class C                             | CUSIP: 96042XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160152 | PA      | $160936.22     | 0.00%             | 2028-08-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                               | Williams Cos., Inc. (The)                                                                  | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     40000 | PA      | $42067.47      | 0.00%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                               | Williams Cos., Inc. (The)                                                                  | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     85000 | PA      | $88398.40      | 0.00%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                               | Williams Cos., Inc. (The)                                                                  | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25412.46      | 0.00%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | S&P MidCap 400 E-Mini Index                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       107 | NC      | $-548362.91    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury 5 Year Note                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        29 | NC      | $-12487.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | Russell 2000 E-Mini Index                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       212 | NC      | $-792375.80    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury 2 Year Note                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        43 | NC      | $-4430.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Note                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        71 | NC      | $-34349.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury Long Bond                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        28 | NC      | $-42922.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Ultra Note                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        43 | NC      | $-28624.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury Ultra Bond                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -23 | NC      | $58334.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust, Series 2024-1A, Class B                                | CUSIP: 89616LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $245616.82     | 0.01%             | 2027-12-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Trust I

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer