# EDGAR Filing Document

**Accession Number:** 0001676326
**File Stem:** 0002071691-26-005073
**Filing Date:** 2026-2
**Character Count:** 108524
**Document Hash:** d70d9732758148bdeffc237387a542a5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-005073.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0002071691-26-005073

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Morgan Stanley ETF Trust
- **CENTRAL INDEX KEY:** 0001676326

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23820
- **FILM NUMBER:** 26692941

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 212.296.1404

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

## Series and Classes Contracts Data

### Calvert Ultra-Short Investment Grade ETF (Series ID: S000077963)

| Class ID   | Class Name                               | Ticker Symbol   |
|:---|:---|:---|
| C000238680 | Calvert Ultra-Short Investment Grade ETF | CVSB            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Morgan Stanley ETF Trust

- **b. Investment Company Act file number:** 811-23820

- **c. CIK number of Registrant:** 0001676326

- **d. LEI of Registrant:** 549300HASXQLXGOR9H31

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

  - **Street Address 1:** 1585 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

  - **Telephone number:** 800-548-7786

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

- **a. Name of Series:** Calvert Ultra-Short Investment Grade ETF

- **b. EDGAR series identifier (if any):** S000077963

- **c. LEI of Series:** 549300RQT9YNL0GPOP12

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

- **a. Date of fiscal year-end:** 2026-09-30

- **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:** $186402729.24

**Total Liabilities:** $5190051.57

**Net Assets:** $181212677.67

**Cash Not Reported:** $2597.93

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1748.17634900 | **1-Year:** 8133.61448200 | **5-Year:** 3375.36654600 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** 21.09967100 | **1-Year:** 36.88737400 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000238680 | 0.35%                | 0.38%                | 0.44%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5091.68                 | $-61153.51                                 |
| Month 2  | $23599.52                | $41576.04                                  |
| Month 3  | $53171.26                | $85373.49                                  |

### 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: 00084DAL4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $1002018.99   | 0.55%             | 2026-04-18      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: —       |
| AES Corp. (The)                                        | AES Corp. (The)                                                                           | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    730000 | PA      | $729167.36    | 0.40%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Air Canada                                             | Air Canada                                                                                | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |    950000 | PA      | $946013.80    | 0.52%             | 2026-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: —       |
| Air Lease Corp.                                        | Air Lease Corp.                                                                           | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     37000 | PA      | $36459.30     | 0.02%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                        | Air Lease Corp.                                                                           | CUSIP: 00914AAW2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    350000 | PA      | $351832.45    | 0.19%             | 2026-06-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Algonquin Power & Utilities Corp.                      | Algonquin Power & Utilities Corp.                                                         | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |   1190000 | PA      | $1195868.15   | 0.66%             | 2026-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                     | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class B                                | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275979 | PA      | $278666.50    | 0.15%             | 2032-09-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                     | Ally Bank Auto Credit-Linked Notes, Series 2025-B, Class A2                               | CUSIP: 02007G6N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432406 | PA      | $433696.78    | 0.24%             | 2033-09-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                     | Ally Bank Auto Credit-Linked Notes, Series 2025-B, Class B                                | CUSIP: 02007G6P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    534696 | PA      | $537006.71    | 0.30%             | 2033-09-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                     | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class B                                | CUSIP: 02007GZ55<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284628 | PA      | $289546.82    | 0.16%             | 2032-05-17      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| American National Group, Inc.                          | American National Group, Inc.                                                             | CUSIP: 025676AM9<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1315435.94   | 0.73%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XII LLC             | Amur Equipment Finance Receivables XII LLC, Series 2023-1A, Class A2                      | CUSIP: 03236YAB1<br>LEI: 5493000K1GV1VHEHGY40 | Long             | ABS-O            | CORP              | US        |     59216 | PA      | $59719.83     | 0.03%             | 2029-12-20      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Apollo Management Holdings LP                          | Apollo Management Holdings LP                                                             | CUSIP: 03765HAB7<br>LEI: 5493006XQW0V5K38YM64 | Long             | DBT              | CORP              | US        |   1699000 | PA      | $1699270.23   | 0.94%             | 2026-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                  | Ashtead Capital, Inc.                                                                     | CUSIP: 045054AN3<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    960000 | PA      | $943836.89    | 0.52%             | 2026-08-12      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                  | Athene Global Funding                                                                     | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     24000 | PA      | $23705.26     | 0.01%             | 2026-06-29      | Fixed         | 1.61%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                  | Athene Global Funding                                                                     | CUSIP: 04685A3S8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    247000 | PA      | $247516.27    | 0.14%             | 2026-02-23      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                  | Athene Global Funding                                                                     | CUSIP: 04685A4A6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    617000 | PA      | $619458.79    | 0.34%             | 2026-08-27      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                  | Athene Global Funding                                                                     | CUSIP: 04685A4E8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    900000 | PA      | $906732.22    | 0.50%             | 2027-01-07      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                              | Auxilior Term Funding LLC, Series 2024-1A, Class A2                                       | CUSIP: 05335FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26628 | PA      | $26682.31     | 0.01%             | 2027-03-15      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                             | Aviation Capital Group LLC                                                                | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    950000 | PA      | $934836.85    | 0.52%             | 2026-09-20      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                                   | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    450000 | PA      | $450278.67    | 0.25%             | 2027-01-18      | Variable      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                              | BPR Trust, Series 2022-SSP, Class A                                                       | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $150329.90    | 0.08%             | 2039-05-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                     | Banco Santander SA                                                                        | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1800000 | PA      | $1801006.04   | 0.99%             | 2028-03-24      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                                     | CUSIP: 060505FZ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1293000 | PA      | $936729.07    | 0.52%             | 2027-09-15      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                                     | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4373000 | PA      | $4317806.49   | 2.38%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                              | Bank of Ireland Group plc                                                                 | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1816000 | PA      | $1787672.03   | 0.99%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Bank of New York Mellon (The)                          | Bank of New York Mellon (The)                                                             | CUSIP: 06405LAF8<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |    273000 | PA      | $273500.75    | 0.15%             | 2027-04-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: —       |
| Barclays plc                                           | Barclays plc                                                                              | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    875000 | PA      | $888807.97    | 0.49%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                     | Berry Global, Inc.                                                                        | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    986000 | PA      | $985026.66    | 0.54%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                     | Berry Global, Inc.                                                                        | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1401000 | PA      | $1401302.85   | 0.77%             | 2026-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: —       |
| BHG Securitization Trust                               | BHG Securitization Trust, Series 2022-C, Class B                                          | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247416 | PA      | $248090.46    | 0.14%             | 2035-10-17      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Blue Owl Asset Leasing Trust LLC                       | Blue Owl Asset Leasing Trust LLC, Series 2024-1A, Class A2                                | CUSIP: 095921AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1064710 | PA      | $1069033.32   | 0.59%             | 2029-03-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Brunswick Corp.                                        | Brunswick Corp.                                                                           | CUSIP: 11704NA62<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | STIV             | CORP              | US        |    900000 | PA      | $899356.05    | 0.50%             | 2026-01-06      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                              | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1696000 | PA      | $1725866.53   | 0.95%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                               | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    925000 | PA      | $907800.22    | 0.50%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Centene Corp.                                          | Centene Corp.                                                                             | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1293152.08   | 0.71%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                              | Chesapeake Funding II LLC, Series 2024-1A, Class A2                                       | CUSIP: 165183DJ0<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    110509 | PA      | $110617.23    | 0.06%             | 2036-05-15      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Citadel Finance LLC                                    | Citadel Finance LLC                                                                       | CUSIP: 17287HAA8<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997798.10    | 0.55%             | 2026-03-09      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Citadel LP                                             | Citadel LP                                                                                | CUSIP: 17288XAB0<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |    876000 | PA      | $877948.08    | 0.48%             | 2027-01-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                           | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2988000 | PA      | $2981271.98   | 1.65%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Clarus Capital Funding LLC                             | Clarus Capital Funding LLC, Series 2024-1A, Class A2                                      | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131105 | PA      | $131620.07    | 0.07%             | 2032-08-20      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Cologix Data Centers US Issuer LLC                     | Cologix Data Centers US Issuer LLC, Series 2021-1A, Class A2                              | CUSIP: 19521UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580000 | PA      | $570260.41    | 0.31%             | 2051-12-26      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Concentrix Corp.                                       | Concentrix Corp.                                                                          | CUSIP: 20602DAA9<br>LEI: 5493000EAJN1KMPVA737 | Long             | DBT              | CORP              | US        |    904000 | PA      | $912988.16    | 0.50%             | 2026-08-02      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2A1                           | CUSIP: 20753CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505189 | PA      | $506722.41    | 0.28%             | 2045-07-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1                           | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24419 | PA      | $24491.89     | 0.01%             | 2041-12-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-22528.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COPT Defense Properties LP                             | COPT Defense Properties LP                                                                | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    935000 | PA      | $930955.87    | 0.51%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| UBS Group AG                                           | UBS Group AG                                                                              | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    275000 | PA      | $274233.74    | 0.15%             | 2027-02-02      | Variable      | 1.30%                 | Yes           |                  2 | On Loan: —       |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2025-A, Class A2                                           | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    686733 | PA      | $692128.52    | 0.38%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2024-A, Class A2                                           | CUSIP: 227927AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    526862 | PA      | $532601.32    | 0.29%             | 2030-08-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB Master Finance LLC, Series 2017-1A, Class A2II                                         | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    207562 | PA      | $206384.48    | 0.11%             | 2047-11-20      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB Master Finance LLC, Series 2021-1A, Class A2I                                          | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    441600 | PA      | $433359.96    | 0.24%             | 2051-11-20      | Fixed         | 2.04%                 | Yes           |                  2 | On Loan: No      |
| DLLMT LLC                                              | DLLMT LLC, Series 2024-1A, Class A2                                                       | CUSIP: 23347AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74855 | PA      | $75020.81     | 0.04%             | 2027-02-22      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                                    | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    672000 | PA      | $675217.19    | 0.37%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Driven Brands Funding LLC                              | Driven Brands Funding LLC, Series 2020-2A, Class A2                                       | CUSIP: 26209XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    799175 | PA      | $775274.16    | 0.43%             | 2051-01-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| EPR Properties                                         | EPR Properties                                                                            | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1461558.88   | 0.81%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2023-1, Class A2                                   | CUSIP: 29375CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27689 | PA      | $27731.63     | 0.02%             | 2029-01-22      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2024-2, Class A2                                   | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66031 | PA      | $66272.35     | 0.04%             | 2026-12-20      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust, Series 2025-ESH, Class A                                     | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $516500.92    | 0.29%             | 2042-10-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                       | FHF Issuer Trust, Series 2023-2A, Class A2                                                | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64094 | PA      | $64577.56     | 0.04%             | 2029-10-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                       | FHF Issuer Trust, Series 2024-2A, Class A2                                                | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36404 | PA      | $36637.54     | 0.02%             | 2030-06-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Strips, Series 406, Class F12                                                      | CUSIP: 3133Q3GP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272250 | PA      | $274599.76    | 0.15%             | 2053-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-33, Class KF                                                     | CUSIP: 3136BSFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381999 | PA      | $383705.71    | 0.21%             | 2054-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-88, Class FN                                                     | CUSIP: 3136BT6U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758056 | PA      | $759260.64    | 0.42%             | 2054-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-84, Class JF                                                     | CUSIP: 3136BTUE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615371 | PA      | $620136.82    | 0.34%             | 2054-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-63, Class FA                                                     | CUSIP: 3136BWXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410294 | PA      | $411835.68    | 0.23%             | 2055-08-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-75, Class FA                                                     | CUSIP: 3136BXHG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753249 | PA      | $754851.45    | 0.42%             | 2055-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-109, Class FC                                                    | CUSIP: 3136BYEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630000 | PA      | $630315.16    | 0.35%             | 2054-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3990, Class TF                                                       | CUSIP: 3137AL5L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195857 | PA      | $194808.63    | 0.11%             | 2042-01-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5370, Class FB                                                       | CUSIP: 3137HBFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532089 | PA      | $537021.47    | 0.30%             | 2054-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5391, Class FA                                                       | CUSIP: 3137HBUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1910750 | PA      | $1922264.36   | 1.06%             | 2054-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5391, Class HF                                                       | CUSIP: 3137HBUT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487924 | PA      | $492613.69    | 0.27%             | 2054-03-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5397, Class FE                                                       | CUSIP: 3137HCFS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    520314 | PA      | $524821.28    | 0.29%             | 2054-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5410, Class FD                                                       | CUSIP: 3137HCUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    849780 | PA      | $856351.18    | 0.47%             | 2054-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5410, Class FE                                                       | CUSIP: 3137HCV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619465 | PA      | $623679.33    | 0.34%             | 2054-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5460, Class FA                                                       | CUSIP: 3137HFS63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488310 | PA      | $490103.87    | 0.27%             | 2054-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5461, Class FA                                                       | CUSIP: 3137HFW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    653466 | PA      | $654880.39    | 0.36%             | 2054-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5483, Class FB                                                       | CUSIP: 3137HHNE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1706829 | PA      | $1717871.04   | 0.95%             | 2054-12-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5499, Class FQ                                                       | CUSIP: 3137HJX44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    518524 | PA      | $521191.14    | 0.29%             | 2055-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5513, Class FA                                                       | CUSIP: 3137HKE42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322673 | PA      | $323664.82    | 0.18%             | 2055-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5529, Class AF                                                       | CUSIP: 3137HKU51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749269 | PA      | $751654.41    | 0.41%             | 2055-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5556, Class FA                                                       | CUSIP: 3137HMBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575338 | PA      | $577092.63    | 0.32%             | 2055-07-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-46, Class FG                                                     | CUSIP: 31395D6P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146913 | PA      | $146092.43    | 0.08%             | 2036-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3136, Class FA                                                       | CUSIP: 31396NGM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167582 | PA      | $166905.66    | 0.09%             | 2036-04-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2008-3, Class FA                                                      | CUSIP: 31396YHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189198 | PA      | $189018.53    | 0.10%             | 2038-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bank NA                                    | Fifth Third Bank NA                                                                       | CUSIP: 31677AAB0<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |    625000 | PA      | $624563.24    | 0.34%             | 2026-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1182715.26   | 0.65%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    350000 | PA      | $352003.36    | 0.19%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    775000 | PA      | $775053.69    | 0.43%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    350000 | PA      | $349609.50    | 0.19%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Fortitude Global Funding                               | Fortitude Global Funding                                                                  | CUSIP: 34967GAA2<br>LEI: 635400TKBOGEHNO5RT68 | Long             | DBT              | CORP              | US        |    658000 | PA      | $658944.32    | 0.36%             | 2028-10-06      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class M1                                       | CUSIP: 35564NAX1<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |     62878 | PA      | $63153.44     | 0.03%             | 2044-02-25      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| GA Global Funding Trust                                | GA Global Funding Trust                                                                   | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    304000 | PA      | $303724.65    | 0.17%             | 2026-01-15      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| GA Global Funding Trust                                | GA Global Funding Trust                                                                   | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    230000 | PA      | $225891.70    | 0.12%             | 2027-01-06      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: —       |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2025-HE1, Class A1                            | CUSIP: 36272NAA2<br>LEI: 254900RIVK2GCJ08H839 | Long             | ABS-MBS          | CORP              | US        |    408253 | PA      | $409525.38    | 0.23%             | 2055-10-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                                        | CUSIP: 37045XDH6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    275000 | PA      | $264972.56    | 0.15%             | 2028-04-10      | Fixed         | 2.40%                 | No            |                  2 | On Loan: —       |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                                        | CUSIP: 37045XEF9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1116000 | PA      | $1119979.14   | 0.62%             | 2026-04-06      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Genpact Luxembourg SARL                                | Genpact Luxembourg SARL                                                                   | CUSIP: 37190AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     69000 | PA      | $68554.64     | 0.04%             | 2026-04-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| Genuine Parts Co.                                      | Genuine Parts Co.                                                                         | CUSIP: 37255GA73<br>LEI: 549300D46DQVEU651W04 | Long             | STIV             | CORP              | US        |    900000 | PA      | $899291.25    | 0.50%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class A2                               | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55628 | PA      | $56010.39     | 0.03%             | 2030-03-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                           | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    719000 | PA      | $715366.54    | 0.39%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                           | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1267140.82   | 0.70%             | 2027-06-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs Bank USA                                 | Goldman Sachs Bank USA                                                                    | CUSIP: 38151LAG5<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    105000 | PA      | $105562.03    | 0.06%             | 2027-05-21      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class FM                                                           | CUSIP: 38384CBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    774464 | PA      | $775999.16    | 0.43%             | 2053-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-149, Class NF                                                           | CUSIP: 38384DGY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281567 | PA      | $282922.04    | 0.16%             | 2053-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-116, Class DF                                                           | CUSIP: 38384EDX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391376 | PA      | $393208.02    | 0.22%             | 2053-08-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class LF                                                            | CUSIP: 38384JNF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264799 | PA      | $265449.81    | 0.15%             | 2054-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-177, Class FB                                                           | CUSIP: 38384VPZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191467 | PA      | $191925.71    | 0.11%             | 2054-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-146, Class FE                                                           | CUSIP: 38384W3E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474317 | PA      | $476206.04    | 0.26%             | 2064-09-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-2, Class FB                                                             | CUSIP: 38385BP53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    724073 | PA      | $727823.00    | 0.40%             | 2054-12-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| HILT Commercial Mortgage Trust                         | HILT Commercial Mortgage Trust, Series 2024-ORL, Class B                                  | CUSIP: 403956AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505000 | PA      | $506665.89    | 0.28%             | 2037-05-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                                 | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    900000 | PA      | $902090.55    | 0.50%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                                 | CUSIP: 40412DAD1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | STIV             | CORP              | US        |    920000 | PA      | $918671.70    | 0.51%             | 2026-01-13      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust                         | HLTN Commercial Mortgage Trust, Series 2024-DPLO, Class A                                 | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760600 | PA      | $762962.88    | 0.42%             | 2041-06-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                         | CUSIP: 404280BH1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    970000 | PA      | $972551.12    | 0.54%             | 2026-11-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| HA Sustainable Infrastructure Capital, Inc.            | HA Sustainable Infrastructure Capital, Inc.                                               | CUSIP: 40460KAM6<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | STIV             | CORP              | US        |    925000 | PA      | $922656.79    | 0.51%             | 2026-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC                                     | HAT Holdings I LLC                                                                        | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1028618.33   | 0.57%             | 2026-06-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| HAT Holdings I LLC                                     | HAT Holdings I LLC                                                                        | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    684000 | PA      | $710377.28    | 0.39%             | 2027-06-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Hexcel Corp.                                           | Hexcel Corp.                                                                              | CUSIP: 428291AN8<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |    675000 | PA      | $673907.50    | 0.37%             | 2027-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Hyundai Capital America                                | Hyundai Capital America                                                                   | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44486.46     | 0.02%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                                   | CUSIP: 44891ADU8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1764000 | PA      | $1783966.75   | 0.98%             | 2027-06-23      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| HYT Commercial Mortgage Trust                          | HYT Commercial Mortgage Trust, Series 2024-RGCY, Class A                                  | CUSIP: 449173AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $280941.84    | 0.16%             | 2041-09-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| ING Groep NV                                           | ING Groep NV                                                                              | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1700000 | PA      | $1722973.26   | 0.95%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: —       |
| Intel Corp.                                            | Intel Corp.                                                                               | CUSIP: 458140AU4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    975000 | PA      | $969360.41    | 0.53%             | 2026-05-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| Intel Corp.                                            | Intel Corp.                                                                               | CUSIP: 458140CD0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     37000 | PA      | $37024.74     | 0.02%             | 2026-02-10      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Intesa Sanpaolo SpA                                    | Intesa Sanpaolo SpA                                                                       | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1775000 | PA      | $1775885.97   | 0.98%             | 2026-01-15      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: —       |
| INTOWN Mortgage Trust                                  | INTOWN Mortgage Trust, Series 2025-STAY, Class B                                          | CUSIP: 46117WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865000 | PA      | $866936.04    | 0.48%             | 2042-03-15      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                         | Chase Auto Credit Linked Notes, Series 2025-1, Class B                                    | CUSIP: 46591HCS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    729454 | PA      | $735379.63    | 0.41%             | 2033-02-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-HE2, Class A1                                     | CUSIP: 46593HAA6<br>LEI: 529900ELA1S09AZO9Q54 | Long             | ABS-O            | CORP              | US        |    124202 | PA      | $124363.88    | 0.07%             | 2054-10-20      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class B          | CUSIP: 466330AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100013.40    | 0.06%             | 2038-04-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                                      | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2725000 | PA      | $2717532.79   | 1.50%             | 2027-02-04      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                                      | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    875000 | PA      | $888994.18    | 0.49%             | 2027-10-22      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Jabil, Inc.                                            | Jabil, Inc.                                                                               | CUSIP: 46652MA54<br>LEI: 5493000CGCQY2OQU7669 | Long             | STIV             | CORP              | US        |    915000 | PA      | $914443.77    | 0.50%             | 2026-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2023-HE2, Class A1                                     | CUSIP: 46657FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246798 | PA      | $247920.30    | 0.14%             | 2054-03-20      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-HE1, Class A1                                     | CUSIP: 46658AAA3<br>LEI: 529900PFHUFMSHU0UV97 | Long             | ABS-O            | CORP              | US        |   1068751 | PA      | $1071471.96   | 0.59%             | 2054-08-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| JDE Peet's NV                                          | JDE Peet's NV                                                                             | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $484563.42    | 0.27%             | 2027-01-15      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                        | Jefferies Financial Group, Inc.                                                           | CUSIP: 47233WKM0<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    905000 | PA      | $905828.90    | 0.50%             | 2026-08-11      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                        | Jefferies Financial Group, Inc.                                                           | CUSIP: 47233WKS7<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    995000 | PA      | $995095.04    | 0.55%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Jersey Mike's Funding                                  | Jersey Mike's Funding, Series 2021-1A, Class A2I                                          | CUSIP: 476681AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458025 | PA      | $451691.52    | 0.25%             | 2052-02-15      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Kyndryl Holdings, Inc.                                 | Kyndryl Holdings, Inc.                                                                    | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |    990000 | PA      | $974062.17    | 0.54%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust, Series 2023-3A, Class A2                                   | CUSIP: 525931AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352117 | PA      | $358536.38    | 0.20%             | 2028-12-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust, Series 2024-1A, Class A2                                   | CUSIP: 525935AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56761 | PA      | $57086.76     | 0.03%             | 2029-08-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust, Series 2023-1A, Class A2                                   | CUSIP: 52608LAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    319503 | PA      | $322822.86    | 0.18%             | 2028-08-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust, Series 2023-2A, Class A2                                   | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355542 | PA      | $360275.24    | 0.20%             | 2028-10-16      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust, Series 2024-3A, Class A2                                   | CUSIP: 52609YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150085 | PA      | $150149.07    | 0.08%             | 2029-10-15      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust, Series 2025-2A, Class A2                                   | CUSIP: 52611JAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186218 | PA      | $187156.15    | 0.10%             | 2030-05-15      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Liberty Mutual Insurance Co.                           | Liberty Mutual Insurance Co.                                                              | CUSIP: 53079QAC1<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |    775000 | PA      | $794570.51    | 0.44%             | 2026-10-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| MMP Capital LLC                                        | MMP Capital LLC, Series 2025-A, Class A                                                   | CUSIP: 55317QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237711 | PA      | $239947.69    | 0.13%             | 2031-12-15      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Marex Group plc                                        | Marex Group plc                                                                           | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |    590000 | PA      | $600096.20    | 0.33%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: —       |
| Marlette Funding Trust                                 | Marlette Funding Trust, Series 2024-1A, Class C                                           | CUSIP: 57108VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $496483.34    | 0.27%             | 2034-07-17      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                       | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207000 | PA      | $208173.01    | 0.11%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                         | CUSIP: 949746SZ5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $942785.33    | 0.52%             | 2027-02-18      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                               | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   2539246 | NS      | $2539245.91   | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| NRG Energy, Inc.                                       | NRG Energy, Inc.                                                                          | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145087.38    | 0.08%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                          | NYO Commercial Mortgage Trust, Series 2021-1290, Class A                                  | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $294779.52    | 0.16%             | 2038-11-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| National Bank of Canada                                | National Bank of Canada                                                                   | CUSIP: 63307A3G8<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   1465000 | PA      | $1466405.80   | 0.81%             | 2027-03-05      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                    | NatWest Markets plc                                                                       | CUSIP: 63906YAT5<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    970000 | PA      | $973077.57    | 0.54%             | 2028-11-06      | Fixed         | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust II   | Navistar Financial Dealer Note Master Owner Trust II, Series 2025-1, Class A              | CUSIP: 63938PBZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186000 | PA      | $186884.24    | 0.10%             | 2030-09-25      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                       | Newtek Small Business Loan Trust, Series 2023-1, Class A                                  | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84752 | PA      | $85599.49     | 0.05%             | 2050-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                  | NextEra Energy Capital Holdings, Inc.                                                     | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1295899.39   | 0.72%             | 2027-09-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| NRTH Commercial Mortgage Trust                         | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class A                                 | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $125297.98    | 0.07%             | 2040-10-15      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| ORL Trust                                              | ORL Trust, Series 2024-GLKS, Class A                                                      | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    637000 | PA      | $638806.53    | 0.35%             | 2039-12-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-HE1, Class A1                                                      | CUSIP: 67121CAA4<br>LEI: 2549002GJHC7CO92J583 | Long             | ABS-O            | CORP              | US        |    776517 | PA      | $782168.24    | 0.43%             | 2055-02-25      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                             | Occidental Petroleum Corp.                                                                | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    275000 | PA      | $272629.78    | 0.15%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                             | Occidental Petroleum Corp.                                                                | CUSIP: 674599DQ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    265000 | PA      | $278640.88    | 0.15%             | 2027-10-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2023-1A, Class A                                         | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        34 | PA      | $34.35        | 0.00%             | 2029-05-21      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2024-3A, Class A2                                        | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1206419 | PA      | $1213410.16   | 0.67%             | 2030-05-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2024-2A, Class A2                                        | CUSIP: 67578YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198430 | PA      | $200134.64    | 0.11%             | 2032-07-20      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2024-RVM1, Class A                                       | CUSIP: 67579FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333406 | PA      | $338567.46    | 0.19%             | 2046-01-22      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                               | Oceanview Mortgage Trust, Series 2025-3, Class AF1                                        | CUSIP: 67648CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205211 | PA      | $1208428.83   | 0.67%             | 2055-05-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                       | OneMain Financial Issuance Trust, Series 2021-1A, Class B                                 | CUSIP: 68269MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277000 | PA      | $262558.97    | 0.14%             | 2036-06-16      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Trust                                  | Oportun Funding Trust, Series 2024-3, Class A                                             | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106435 | PA      | $106479.24    | 0.06%             | 2029-08-15      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-A, Class A                                            | CUSIP: 68377TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $525015.75    | 0.29%             | 2033-02-08      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                              | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1324302.47   | 0.73%             | 2026-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Oscar US Funding XVI LLC                               | Oscar US Funding XVI LLC, Series 2024-1A, Class A2                                        | CUSIP: 68784GAB9<br>LEI: 3538004TGTV49T7RNL88 | Long             | ABS-O            | CORP              | JP        |      8736 | PA      | $8749.07      | 0.00%             | 2027-02-10      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| PNC Bank NA                                            | PNC Bank NA                                                                               | CUSIP: 69353RFX1<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1700478.13   | 0.94%             | 2027-01-15      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| PNC Bank NA                                            | PNC Bank NA                                                                               | CUSIP: 69353RFY9<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    990000 | PA      | $991592.84    | 0.55%             | 2027-05-13      | Variable      | 4.54%                 | No            |                  2 | On Loan: —       |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2024-2A, Class A2                                  | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131581 | PA      | $131898.85    | 0.07%             | 2027-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2024-1A, Class A2                                  | CUSIP: 69433BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229892 | PA      | $231740.94    | 0.13%             | 2027-06-21      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Grantor Trust                           | Pagaya AI Debt Grantor Trust, Series 2025-1, Class A2                                     | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    706485 | PA      | $712762.37    | 0.39%             | 2032-07-15      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Grantor Trust                           | Pagaya Ai Debt Grantor Trust, Series 2024-9, Class A                                      | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124889 | PA      | $125243.82    | 0.07%             | 2032-03-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Prodigy Finance DAC                                    | Prodigy Finance DAC, Series 2021-1A, Class A                                              | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    358740 | PA      | $358179.73    | 0.20%             | 2051-07-25      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Prodigy Finance DAC                                    | Prodigy Finance DAC, Series 2021-1A, Class B                                              | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    449507 | PA      | $447721.74    | 0.25%             | 2051-07-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Prodigy Finance DAC                                    | Prodigy Finance DAC, Series 2021-1A, Class D                                              | CUSIP: 742857AA3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    146190 | PA      | $146509.43    | 0.08%             | 2051-07-25      | Floating      | 9.74%                 | Yes           |                  2 | On Loan: No      |
| PRMI Securitization Trust                              | PRMI Securitization Trust, Series 2025-CMG1, Class A1                                     | CUSIP: 74291CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $269642.87    | 0.15%             | 2055-12-25      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| RCKTL                                                  | RCKTL, Series 2025-2A, Class A                                                            | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396704 | PA      | $397173.71    | 0.22%             | 2034-11-27      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                             | RCKT Trust, Series 2025-1A, Class A                                                       | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275811 | PA      | $276604.31    | 0.15%             | 2034-07-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Radian Group, Inc.                                     | Radian Group, Inc.                                                                        | CUSIP: 750236AW1<br>LEI: 54930005OUP720S5U385 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003956.51   | 0.55%             | 2027-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2024-2A, Class A                                                  | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233639 | PA      | $234617.95    | 0.13%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2025-1A, Class A                                                  | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209325 | PA      | $209987.08    | 0.12%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                    | Rocket Mortgage LLC                                                                       | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    655000 | PA      | $645891.24    | 0.36%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                   | Royal Bank of Canada                                                                      | CUSIP: 78016HZX1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      2000 | PA      | $2011.40      | 0.00%             | 2027-07-23      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                              | SHR Trust, Series 2024-LXRY, Class A                                                      | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $607235.72    | 0.34%             | 2041-10-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2025-LOC5, Class A1A                      | CUSIP: 79581XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    532481 | PA      | $533810.34    | 0.29%             | 2055-10-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2025-A, Class B                           | CUSIP: 80290CCR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264712 | PA      | $265498.19    | 0.15%             | 2034-01-16      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Sealed Air Corp.                                       | Sealed Air Corp.                                                                          | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    225000 | PA      | $220307.27    | 0.12%             | 2026-10-15      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO Master Issuer LLC, Series 2021-1A, Class A2                                       | CUSIP: 817743AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401100 | PA      | $379748.24    | 0.21%             | 2051-04-25      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Silgan Holdings, Inc.                                  | Silgan Holdings, Inc.                                                                     | CUSIP: 827048AX7<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |    375000 | PA      | $371857.94    | 0.21%             | 2026-04-01      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                  | Delta Air Lines, Inc.                                                                     | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    924000 | PA      | $929765.51    | 0.51%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: —       |
| Skyworks Solutions, Inc.                               | Skyworks Solutions, Inc.                                                                  | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    920000 | PA      | $910046.85    | 0.50%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: —       |
| Smithfield Foods, Inc.                                 | Smithfield Foods, Inc.                                                                    | CUSIP: 832248AZ1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   1767000 | PA      | $1761538.40   | 0.97%             | 2027-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                       | CUSIP: 83368RBV3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    225000 | PA      | $227969.56    | 0.13%             | 2028-01-19      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                       | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    849000 | PA      | $858926.97    | 0.47%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                       | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                  | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235366 | PA      | $236284.47    | 0.13%             | 2034-02-27      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Sonoco Products Co.                                    | Sonoco Products Co.                                                                       | CUSIP: 835495AQ5<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    925000 | PA      | $927063.70    | 0.51%             | 2026-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                        | Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2                                 | CUSIP: 85236KAE2<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |   1365000 | PA      | $1355078.91   | 0.75%             | 2046-03-26      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                            | Stellantis Finance US, Inc.                                                               | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    560000 | PA      | $544489.70    | 0.30%             | 2027-01-29      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Financial Services US Corp.                 | Stellantis Financial Services US Corp.                                                    | CUSIP: 85855FAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $405589.18    | 0.22%             | 2028-09-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: —       |
| Swedbank AB                                            | Swedbank AB                                                                               | CUSIP: 87020PAX5<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    200000 | PA      | $202965.42    | 0.11%             | 2026-09-12      | Fixed         | 6.14%                 | Yes           |                  2 | On Loan: No      |
| TD SYNNEX Corp.                                        | TD SYNNEX Corp.                                                                           | CUSIP: 87162WAM2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    444000 | PA      | $443287.92    | 0.24%             | 2029-01-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC        | Tesla Lease Electric Vehicle Securitization LLC, Series 2025-A, Class A2                  | CUSIP: 88162VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895000 | PA      | $897046.60    | 0.50%             | 2028-06-20      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                                  | Theorem Funding Trust, Series 2022-3A, Class B                                            | CUSIP: 882925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394483 | PA      | $396930.80    | 0.22%             | 2029-04-15      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                                  | Theorem Funding Trust, Series 2022-2A, Class B                                            | CUSIP: 88339FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    942119 | PA      | $943390.84    | 0.52%             | 2028-12-15      | Fixed         | 9.27%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                            | Toronto-Dominion Bank (The)                                                               | CUSIP: 89115KAE0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    960000 | PA      | $962527.64    | 0.53%             | 2028-10-13      | Fixed         | 4.11%                 | No            |                  2 | On Loan: —       |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2025-HE2, Class A1A                                     | CUSIP: 89183PAA4<br>LEI: 254900HCCXAYNB40M417 | Long             | ABS-O            | CORP              | US        |    581555 | PA      | $583006.78    | 0.32%             | 2065-09-25      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2024-2A, Class A                               | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39491 | PA      | $38052.14     | 0.02%             | 2027-12-15      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2024-3A, Class A                               | CUSIP: 89617AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250783 | PA      | $230068.01    | 0.13%             | 2028-06-15      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Truist Bank                                            | Truist Bank                                                                               | CUSIP: 89788JAF6<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1223000 | PA      | $1230808.92   | 0.68%             | 2028-07-24      | Variable      | 4.42%                 | No            |                  2 | On Loan: —       |
| Truist Financial Corp.                                 | Truist Financial Corp.                                                                    | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    875000 | PA      | $882162.28    | 0.49%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: —       |
| Truist Bank Auto Credit-Linked Notes                   | Truist Bank Auto Credit-Linked Notes, Series 2025-1, Class B                              | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    638677 | PA      | $640038.55    | 0.35%             | 2033-09-26      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| TX Trust                                               | TX Trust, Series 2024-HOU, Class A                                                        | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $510951.66    | 0.28%             | 2039-06-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                              | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    473000 | PA      | $465542.19    | 0.26%             | 2027-08-10      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                              | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    480000 | PA      | $481752.15    | 0.27%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: —       |
| UBS Group AG                                           | UBS Group AG                                                                              | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1450000 | PA      | $1450567.36   | 0.80%             | 2027-01-12      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                             | US Bank NA                                                                                | CUSIP: 90331HPS6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |    560000 | PA      | $565704.80    | 0.31%             | 2028-05-15      | Variable      | 4.73%                 | No            |                  2 | On Loan: —       |
| United States of America                               | U.S. Treasury Notes                                                                       | CUSIP: 9128287B0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9990000 | PA      | $9911587.49   | 5.47%             | 2026-06-30      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                       | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $693314.45    | 0.38%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                       | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16411000 | PA      | $16482436.92  | 9.10%             | 2026-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                | Volkswagen Group of America Finance LLC                                                   | CUSIP: 928668CK6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401709.54    | 0.22%             | 2026-08-14      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                | Volkswagen Group of America Finance LLC                                                   | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200707.65    | 0.11%             | 2027-09-11      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Vontier Corp.                                          | Vontier Corp.                                                                             | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   1808000 | PA      | $1796664.36   | 0.99%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                         | CUSIP: 95000U2F9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2695000 | PA      | $2684518.09   | 1.48%             | 2027-06-17      | Variable      | 3.20%                 | No            |                  2 | On Loan: —       |
| Wingspire Equipment Finance LLC                        | Wingspire Equipment Finance LLC, Series 2024-1A, Class A2                                 | CUSIP: 97415AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106097 | PA      | $106747.66    | 0.06%             | 2032-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                        | Wingspire Equipment Finance LLC, Series 2025-1A, Class A2                                 | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $305695.37    | 0.17%             | 2033-09-20      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                       | Bank of Montreal                                                                          | CUSIP: 06368D3U6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1250000 | PA      | $927088.27    | 0.51%             | 2027-06-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Notes                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -11 | NC      | $-1307.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                               | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   5127954 | NS      | $5127954.50   | 2.83%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

**Name of Applicant:** Morgan Stanley ETF Trust

**Signature:** Francis J. Smith

**Name of Signer:** Francis J. Smith

**Title:** Principal Financial Officer