# EDGAR Filing Document

**Accession Number:** 0001676326
**File Stem:** 0002071691-26-011927
**Filing Date:** 2026-5
**Character Count:** 110082
**Document Hash:** 3dbf6ad405cbc7f07221799a14c20135
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-011927.hdr.sgml**: 20260527

**ACCESSION NUMBER**: 0002071691-26-011927

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260527

**DATE AS OF CHANGE**: 20260527

**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:** 261022375

**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:** 2026-03-31

**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:** $201239948.11

**Total Liabilities:** $2712153.97

**Net Assets:** $198527794.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3282.24566800 | **1-Year:** 8510.28212300 | **5-Year:** 6110.39143500 | **10-Year:** 97.74633800 | **30-Year:** 0.00000000

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

- **3-Month:** 27.43805300 | **1-Year:** 16.88495600 | **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 | 0.39%                | 0.29%                | 0.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $31903.25                | $76387.57                                  |
| Month 2  | $58834.45                | $-78321.87                                 |
| Month 3  | $53830.25                | $-695807.40                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Weir Group plc (The)                                 | Weir Group plc (The)                                                                      | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1195946.78   | 0.60%             | 2026-05-13      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-116, Class DF                                                           | CUSIP: 38384EDX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358824 | PA      | $361292.27    | 0.18%             | 2053-08-20      | Floating      | 4.77%                 | No            |                  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        |    974680 | PA      | $977379.08    | 0.49%             | 2054-08-25      | Floating      | 5.17%                 | Yes           |                  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        |    286690 | PA      | $291421.93    | 0.15%             | 2028-12-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                | INTOWN Mortgage Trust, Series 2025-STAY, Class B                                          | CUSIP: 46117WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865000 | PA      | $864750.10    | 0.44%             | 2042-03-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-109, Class FC                                                    | CUSIP: 3136BYEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537357 | PA      | $537201.31    | 0.27%             | 2054-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                   | General Motors Financial Co., Inc.                                                        | CUSIP: 37045XDH6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    349000 | PA      | $334803.69    | 0.17%             | 2028-04-10      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Genpact Luxembourg SARL                              | Genpact Luxembourg SARL                                                                   | CUSIP: 37190AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     69000 | PA      | $68920.04     | 0.03%             | 2026-04-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| EPR Properties                                       | EPR Properties                                                                            | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6997.34      | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  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      | $637795.61    | 0.32%             | 2039-12-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                         | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1115000 | PA      | $1127704.98   | 0.57%             | 2028-05-17      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| DLLMT LLC                                            | DLLMT LLC, Series 2024-1A, Class A2                                                       | CUSIP: 23347AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19682 | PA      | $19694.75     | 0.01%             | 2027-02-22      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Truist Bank                                          | Truist Bank                                                                               | CUSIP: 89788JAF6<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1338000 | PA      | $1338245.74   | 0.67%             | 2028-07-24      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                                                | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    275000 | PA      | $271793.64    | 0.14%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EFMT                                                 | EFMT, Series 2026-INV2, Class A1F                                                         | CUSIP: 26846TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560847 | PA      | $561646.13    | 0.28%             | 2071-02-25      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5397, Class FE                                                       | CUSIP: 3137HCFS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477181 | PA      | $481302.77    | 0.24%             | 2054-04-25      | Floating      | 4.92%                 | No            |                  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      | $263695.94    | 0.13%             | 2036-06-16      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                     | ABN AMRO Bank NV                                                                          | CUSIP: 00084DAL4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $999585.69    | 0.50%             | 2026-04-18      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5370, Class FB                                                       | CUSIP: 3137HBFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466762 | PA      | $471508.60    | 0.24%             | 2054-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                       | EPR Properties                                                                            | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |   1765000 | PA      | $1758015.15   | 0.89%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                                      | CUSIP: 78016HZX1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      2000 | PA      | $2004.02      | 0.00%             | 2027-07-23      | Variable      | 5.07%                 | No            |                  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      | $218234.54    | 0.11%             | 2028-06-15      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-48, Class FC                                                     | CUSIP: 3136BSLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552109 | PA      | $555736.97    | 0.28%             | 2054-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3990, Class TF                                                       | CUSIP: 3137AL5L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183761 | PA      | $183128.55    | 0.09%             | 2042-01-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                              | CUSIP: 68389XDW2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1372707.34   | 0.69%             | 2029-02-04      | Fixed         | 4.55%                 | No            |                  2 | On Loan: —       |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2024-A, Class A2                                           | CUSIP: 227927AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    411457 | PA      | $414923.89    | 0.21%             | 2030-08-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                                       | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1064000 | PA      | $1070793.96   | 0.54%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| TD SYNNEX Corp.                                      | TD SYNNEX Corp.                                                                           | CUSIP: 87162WAM2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    444000 | PA      | $439168.11    | 0.22%             | 2029-01-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                              | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    480000 | PA      | $480158.72    | 0.24%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Skyworks Solutions, Inc.                             | Skyworks Solutions, Inc.                                                                  | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    920000 | PA      | $915686.87    | 0.46%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: —       |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                                 | CUSIP: 06418GAX5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    915000 | PA      | $913540.25    | 0.46%             | 2030-02-02      | Floating      | 4.38%                 | No            |                  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        |    199320 | PA      | $200801.17    | 0.10%             | 2031-12-15      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| National Bank of Canada                              | National Bank of Canada                                                                   | CUSIP: 63307A3D5<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   1240000 | PA      | $1245151.72   | 0.63%             | 2028-02-01      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                               | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    925000 | PA      | $909805.57    | 0.46%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-84, Class JF                                                     | CUSIP: 3136BTUE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524891 | PA      | $529418.19    | 0.27%             | 2054-11-25      | Floating      | 5.13%                 | No            |                  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      | $304829.66    | 0.15%             | 2033-09-20      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5483, Class FB                                                       | CUSIP: 3137HHNE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1429817 | PA      | $1439593.24   | 0.73%             | 2054-12-25      | Floating      | 5.09%                 | No            |                  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        |    136855 | PA      | $137143.49    | 0.07%             | 2051-07-25      | Floating      | 9.69%                 | 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        |    440450 | PA      | $433721.73    | 0.22%             | 2051-11-20      | Fixed         | 2.04%                 | 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      | $294547.68    | 0.15%             | 2038-11-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Centene Corp.                                        | Centene Corp.                                                                             | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    706000 | PA      | $693913.07    | 0.35%             | 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        |     96556 | PA      | $96669.15     | 0.05%             | 2036-05-15      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                | NextEra Energy Capital Holdings, Inc.                                                     | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1402169.91   | 0.71%             | 2027-09-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                           | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1554703.04   | 0.78%             | 2027-09-10      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                            | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    725000 | PA      | $726633.61    | 0.37%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                                        | CUSIP: 13607QWA6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    917000 | PA      | $915049.58    | 0.46%             | 2030-01-29      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust, Series 2025-HE2, Class A1A                                     | CUSIP: 89183PAA4<br>LEI: 254900HCCXAYNB40M417 | Long             | ABS-O            | CORP              | US        |    545796 | PA      | $546394.54    | 0.28%             | 2065-09-25      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| JDE Peet's NV                                        | JDE Peet's NV                                                                             | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    550000 | PA      | $536500.83    | 0.27%             | 2027-01-15      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                  | Rocket Mortgage LLC                                                                       | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    855000 | PA      | $846225.56    | 0.43%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: —       |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                         | CUSIP: 404280BH1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    970000 | PA      | $970803.81    | 0.49%             | 2026-11-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Hyundai Capital America                              | Hyundai Capital America                                                                   | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44730.71     | 0.02%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                | Delta Air Lines, Inc.                                                                     | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1396999 | PA      | $1395482.23   | 0.70%             | 2028-10-20      | Fixed         | 4.75%                 | 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        |    419012 | PA      | $417395.81    | 0.21%             | 2051-07-25      | Floating      | 6.29%                 | Yes           |                  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        |    764922 | PA      | $765035.61    | 0.39%             | 2028-06-20      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                | Athene Global Funding                                                                     | CUSIP: 04685A4E8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1023051.45   | 0.52%             | 2027-01-07      | Fixed         | 4.95%                 | 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        |    987294 | PA      | $990551.66    | 0.50%             | 2030-05-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5410, Class FD                                                       | CUSIP: 3137HCUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771924 | PA      | $777807.13    | 0.39%             | 2054-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                   | Crown Castle, Inc.                                                                        | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $1049369.18   | 0.53%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  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        |     43234 | PA      | $43435.55     | 0.02%             | 2029-08-15      | Fixed         | 6.19%                 | Yes           |                  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        |    124881 | PA      | $125141.04    | 0.06%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                           | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1265204.90   | 0.64%             | 2027-06-15      | Variable      | 4.39%                 | 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        |    242361 | PA      | $244022.53    | 0.12%             | 2032-09-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                             | BHG Securitization Trust, Series 2022-C, Class B                                          | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112176 | PA      | $112309.42    | 0.06%             | 2035-10-17      | Fixed         | 5.93%                 | 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      | $-3736.98     | -0.00%            |  |  |  | No            |                  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        |    253929 | PA      | $254368.46    | 0.13%             | 2055-12-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3136, Class FA                                                       | CUSIP: 31396NGM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158374 | PA      | $158238.94    | 0.08%             | 2036-04-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-177, Class FB                                                           | CUSIP: 38384VPZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164299 | PA      | $164701.40    | 0.08%             | 2054-10-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                           | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3003744.75   | 1.51%             | 2028-02-24      | Variable      | 3.07%                 | 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        |    453702 | PA      | $453983.24    | 0.23%             | 2045-07-25      | Floating      | 4.66%                 | Yes           |                  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        |     93481 | PA      | $93710.85     | 0.05%             | 2032-08-20      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-101, Class FM                                                           | CUSIP: 38384CBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    657863 | PA      | $659646.62    | 0.33%             | 2053-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $72221.05     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-75, Class FA                                                     | CUSIP: 3136BXHG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628595 | PA      | $630315.54    | 0.32%             | 2055-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5529, Class AF                                                       | CUSIP: 3137HKU51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    635128 | PA      | $637716.02    | 0.32%             | 2055-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                     | NRG Energy, Inc.                                                                          | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1132205.22   | 0.57%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2025-FL2, Class A1                                                    | CUSIP: 31684TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250594 | PA      | $249963.86    | 0.13%             | 2055-11-25      | Variable      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5461, Class FA                                                       | CUSIP: 3137HFW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610065 | PA      | $611440.95    | 0.31%             | 2054-10-25      | Floating      | 4.61%                 | 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        |    219533 | PA      | $220102.02    | 0.11%             | 2054-03-20      | Floating      | 5.37%                 | 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      | $273025.32    | 0.14%             | 2027-04-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: —       |
| FNMA                                                 | FNMA, REMIC, Series 2024-95, Class FA                                                     | CUSIP: 3136BTP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285095 | PA      | $286928.13    | 0.14%             | 2054-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Air Canada                                           | Air Canada                                                                                | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |    950000 | PA      | $945806.32    | 0.48%             | 2026-08-15      | Fixed         | 3.88%                 | 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        |    485247 | PA      | $487877.93    | 0.25%             | 2055-10-25      | Floating      | 5.28%                 | 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      | $515676.30    | 0.26%             | 2042-10-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers Issuer LLC                      | Vantage Data Centers Issuer LLC, Series 2021-1A, Class A2                                 | CUSIP: 92212KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $167147.47    | 0.08%             | 2046-10-15      | Fixed         | 2.17%                 | Yes           |                  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        |     40578 | PA      | $40819.80     | 0.02%             | 2029-12-20      | Fixed         | 6.09%                 | 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        |    123711 | PA      | $123832.12    | 0.06%             | 2029-10-15      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-46, Class FG                                                     | CUSIP: 31395D6P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140635 | PA      | $140189.72    | 0.07%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                      | Reach ABS Trust, Series 2026-1A, Class A                                                  | CUSIP: 75526XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264956 | PA      | $265024.97    | 0.13%             | 2033-02-15      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                              | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    473000 | PA      | $467929.31    | 0.24%             | 2027-08-10      | Variable      | 1.49%                 | 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        |     14313 | PA      | $14357.17     | 0.01%             | 2041-12-25      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| CDW LLC                                              | CDW LLC                                                                                   | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1013236.30   | 0.51%             | 2026-12-01      | Fixed         | 2.67%                 | 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      | $400643.10    | 0.20%             | 2026-08-14      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5517, Class FJ                                                       | CUSIP: 3137HKNA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538305 | PA      | $541287.58    | 0.27%             | 2055-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| PNC Bank NA                                          | PNC Bank NA                                                                               | CUSIP: 69353RFY9<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    990000 | PA      | $990064.62    | 0.50%             | 2027-05-13      | Variable      | 4.54%                 | No            |                  2 | On Loan: —       |
| FNMA                                                 | FNMA, REMIC, Series 2024-88, Class FN                                                     | CUSIP: 3136BT6U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684092 | PA      | $685746.47    | 0.35%             | 2054-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-2, Class FB                                                             | CUSIP: 38385BP53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    620575 | PA      | $625053.59    | 0.31%             | 2054-12-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2025-HE1, Class A1                                                      | CUSIP: 67121CAA4<br>LEI: 2549002GJHC7CO92J583 | Long             | ABS-O            | CORP              | US        |    718540 | PA      | $721297.67    | 0.36%             | 2055-02-25      | Floating      | 5.26%                 | 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        |    162738 | PA      | $163361.52    | 0.08%             | 2030-05-15      | Fixed         | 5.18%                 | 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        |    660263 | PA      | $662969.96    | 0.33%             | 2033-02-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GA Global Funding Trust                              | GA Global Funding Trust                                                                   | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    345000 | PA      | $339313.25    | 0.17%             | 2027-01-06      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2026-FL1, Class A1                                                    | CUSIP: 31684XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $431247.40    | 0.22%             | 2056-03-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                                     | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4373000 | PA      | $4336676.99   | 2.18%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                          | Toronto-Dominion Bank (The)                                                               | CUSIP: 89115KAE0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    960000 | PA      | $955119.78    | 0.48%             | 2028-10-13      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                         | ING Groep NV                                                                              | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1700000 | PA      | $1710681.64   | 0.86%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | Goldman Sachs Bank USA                                                                    | CUSIP: 38151LAG5<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    105000 | PA      | $105132.93    | 0.05%             | 2027-05-21      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                              | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    875000 | PA      | $882121.91    | 0.44%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  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        |    275022 | PA      | $278002.72    | 0.14%             | 2028-10-16      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-146, Class FE                                                           | CUSIP: 38384W3E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    440316 | PA      | $442918.54    | 0.22%             | 2064-09-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                  | Intesa Sanpaolo SpA                                                                       | CUSIP: 46115HBB2<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1070000 | PA      | $1062549.08   | 0.54%             | 2027-07-14      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Sealed Air Corp.                                     | Sealed Air Corp.                                                                          | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224596.66    | 0.11%             | 2026-10-15      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: —       |
| General Motors Financial Co., Inc.                   | General Motors Financial Co., Inc.                                                        | CUSIP: 37045XEF9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1116000 | PA      | $1116108.85   | 0.56%             | 2026-04-06      | Fixed         | 5.40%                 | No            |                  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        |    248440 | PA      | $252153.88    | 0.13%             | 2032-05-17      | Fixed         | 5.83%                 | 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      | $150306.11    | 0.08%             | 2039-05-15      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                      | Wingspire Equipment Finance LLC, Series 2024-1A, Class A2                                 | CUSIP: 97415AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90155 | PA      | $90574.59     | 0.05%             | 2032-09-20      | Fixed         | 4.99%                 | 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: 254900NKIE3UX6A74K45 | Long             | ABS-O            | CORP              | US        |    773924 | PA      | $776572.55    | 0.39%             | 2029-03-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                      | Air Lease Corp.                                                                           | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     37000 | PA      | $36627.34     | 0.02%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  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        |    248102 | PA      | $250551.67    | 0.13%             | 2028-08-15      | Fixed         | 6.92%                 | Yes           |                  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      | $505387.34    | 0.25%             | 2037-05-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Sonoco Products Co.                                  | Sonoco Products Co.                                                                       | CUSIP: 835495AQ5<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    925000 | PA      | $925627.18    | 0.47%             | 2026-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Avtech Equipment Receivables Funding LLC             | Avtech Equipment Receivables Funding LLC, Series 2026-1A, Class A                         | CUSIP: 05452AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260853 | PA      | $260549.20    | 0.13%             | 2033-02-15      | Fixed         | 4.55%                 | 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        |     75935 | PA      | $76712.50     | 0.04%             | 2050-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak OP LLC                                    | Healthpeak OP LLC                                                                         | CUSIP: 42250PAC7<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1919684.55   | 0.97%             | 2027-02-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-160, Class FT                                                           | CUSIP: 38384YQU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736797 | PA      | $738831.33    | 0.37%             | 2054-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                      | Jefferies Financial Group, Inc.                                                           | CUSIP: 47233WKS7<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    995000 | PA      | $991908.99    | 0.50%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Apollo Management Holdings LP                        | Apollo Management Holdings LP                                                             | CUSIP: 03765HAB7<br>LEI: 5493006XQW0V5K38YM64 | Long             | DBT              | CORP              | US        |   1699000 | PA      | $1698968.89   | 0.86%             | 2026-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Driven Brands Funding LLC                            | Driven Brands Funding LLC, Series 2020-2A, Class A2                                       | CUSIP: 26209XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1334553 | PA      | $1253237.17   | 0.63%             | 2051-01-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                               | Marlette Funding Trust, Series 2024-1A, Class C                                           | CUSIP: 57108VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $493935.58    | 0.25%             | 2034-07-17      | Fixed         | 6.34%                 | 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      | $36972.80     | 0.02%             | 2027-12-15      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                              | CUSIP: 6840C3JH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |    475000 | PA      | $465025.86    | 0.23%             | 2026-09-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                              | CUSIP: 6840C3K28<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |    490000 | PA      | $478808.94    | 0.24%             | 2026-10-02      | None          | 0.00%                 | No            |                  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        |    386073 | PA      | $386390.75    | 0.19%             | 2033-09-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                         | CUSIP: 95000U2F9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2695000 | PA      | $2687411.39   | 1.35%             | 2027-06-17      | Variable      | 3.20%                 | No            |                  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        |    310701 | PA      | $311043.14    | 0.16%             | 2029-04-15      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                           | CUSIP: 38141GD76<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1577000 | PA      | $1575485.35   | 0.79%             | 2029-01-21      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Vontier Corp.                                        | Vontier Corp.                                                                             | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   1808000 | PA      | $1808000.00   | 0.91%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-3, Class FA                                                      | CUSIP: 31396YHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181666 | PA      | $181876.69    | 0.09%             | 2038-02-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5556, Class FA                                                       | CUSIP: 3137HMBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428476 | PA      | $429822.70    | 0.22%             | 2055-07-25      | Floating      | 4.81%                 | No            |                  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        |    948921 | PA      | $951426.90    | 0.48%             | 2055-05-25      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5391, Class HF                                                       | CUSIP: 3137HBUT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415210 | PA      | $418794.31    | 0.21%             | 2054-03-25      | Floating      | 4.91%                 | No            |                  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        |    477402 | PA      | $478323.77    | 0.24%             | 2033-09-15      | Fixed         | 4.50%                 | Yes           |                  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        |   9916733 | NS      | $9916732.71   | 5.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Smithfield Foods, Inc.                               | Smithfield Foods, Inc.                                                                    | CUSIP: 832248AZ1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   1917000 | PA      | $1908211.80   | 0.96%             | 2027-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                                              | CUSIP: 68389XDV4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1382825.68   | 0.70%             | 2029-02-04      | Floating      | 4.76%                 | 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        |   1994882 | NS      | $1994881.50   | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Stellantis Financial Services US Corp.               | Stellantis Financial Services US Corp.                                                    | CUSIP: 85855FAA1<br>LEI: 5493000KNKFDOC1BOW59 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397894.11    | 0.20%             | 2028-09-15      | Fixed         | 4.95%                 | Yes           |                  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        |     43865 | PA      | $44117.04     | 0.02%             | 2030-03-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| 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        |    388965 | PA      | $389721.21    | 0.20%             | 2055-10-25      | Floating      | 5.21%                 | 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        |    290055 | PA      | $292636.58    | 0.15%             | 2046-01-22      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                            | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1178475.38   | 0.59%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Hexcel Corp.                                         | Hexcel Corp.                                                                              | CUSIP: 428291AN8<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |    950000 | PA      | $947084.37    | 0.48%             | 2027-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| TELUS Corp.                                          | TELUS Corp.                                                                               | CUSIP: 87971MBD4<br>LEI: 894500TX134IMF6NW757 | Long             | DBT              | CORP              | CA        |   1090000 | PA      | $1075432.37   | 0.54%             | 2027-02-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| FHLMC                                                | FHLMC, REMIC, Series 5460, Class FA                                                       | CUSIP: 3137HFS63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450844 | PA      | $452988.86    | 0.23%             | 2054-10-25      | Floating      | 4.71%                 | No            |                  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        |    590965 | PA      | $591290.63    | 0.30%             | 2054-10-20      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5475, Class FJ                                                       | CUSIP: 3137HHDL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319148 | PA      | $320028.65    | 0.16%             | 2054-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                   | Berry Global, Inc.                                                                        | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1401000 | PA      | $1401163.05   | 0.71%             | 2026-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                      | Jefferies Financial Group, Inc.                                                           | CUSIP: 47233WLT4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    940000 | PA      | $939788.33    | 0.47%             | 2027-02-11      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                                       | CUSIP: 83368JKF6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    950000 | PA      | $948577.10    | 0.48%             | 2026-08-19      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                          | Stellantis Finance US, Inc.                                                               | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1512030.87   | 0.76%             | 2027-01-29      | Fixed         | 1.71%                 | 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      | $280402.53    | 0.14%             | 2041-09-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                     | OneMain Financial Issuance Trust, Series 2020-2A, Class A                                 | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292965 | PA      | $289028.49    | 0.15%             | 2035-09-14      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                              | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1590000 | PA      | $1584677.86   | 0.80%             | 2028-01-09      | Fixed         | 4.28%                 | 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      | $207363.20    | 0.10%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Marex Group plc                                      | Marex Group plc                                                                           | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |    705000 | PA      | $712754.03    | 0.36%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: —       |
| Dell International LLC                               | Dell International LLC                                                                    | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    672000 | PA      | $672995.11    | 0.34%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2026-1A, Class A2                                   | CUSIP: 525952AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445604 | PA      | $445344.28    | 0.22%             | 2030-07-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                | Kraft Heinz Foods Co.                                                                     | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    950000 | PA      | $947744.99    | 0.48%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  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        |     29511 | PA      | $29717.52     | 0.01%             | 2030-06-15      | Fixed         | 5.89%                 | 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      | $509971.75    | 0.26%             | 2039-06-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                           | Aviation Capital Group LLC                                                                | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    950000 | PA      | $938844.40    | 0.47%             | 2026-09-20      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 2 Year Notes                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         7 | NC      | $-11755.71    | -0.01%            |  |  |  | No            |                  1 | 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      | $761513.71    | 0.38%             | 2041-06-15      | Floating      | 5.31%                 | 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        |    168171 | PA      | $169184.10    | 0.09%             | 2027-06-21      | Fixed         | 5.79%                 | 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        |     47096 | PA      | $47186.25     | 0.02%             | 2044-02-25      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                            | Bank of Ireland Group plc                                                                 | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   2016000 | PA      | $1990716.56   | 1.00%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  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      | $605200.26    | 0.30%             | 2041-10-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A2                                  | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85957 | PA      | $86102.55     | 0.04%             | 2027-04-20      | Fixed         | 4.74%                 | 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        |    455400 | PA      | $451243.52    | 0.23%             | 2047-11-20      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5513, Class FA                                                       | CUSIP: 3137HKE42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292578 | PA      | $293669.51    | 0.15%             | 2055-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 5 Year Notes                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -22 | NC      | $36573.24     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RCKT Trust                                           | RCKT Trust, Series 2025-1A, Class A                                                       | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188601 | PA      | $189014.29    | 0.10%             | 2034-07-25      | Fixed         | 4.90%                 | 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        |     97252 | PA      | $97435.54     | 0.05%             | 2032-03-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Eversource Energy                                    | Eversource Energy                                                                         | CUSIP: 30040WAQ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1100867.83   | 0.55%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TR Finance LLC                                       | TR Finance LLC                                                                            | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |    920000 | PA      | $918528.81    | 0.46%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC                                   | HAT Holdings I LLC                                                                        | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1142000 | PA      | $1138045.98   | 0.57%             | 2026-06-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                                      | CUSIP: 46647PEA0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5050000 | PA      | $5076238.69   | 2.56%             | 2028-01-23      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                              | CUSIP: 12803RAA2<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    865000 | PA      | $888658.72    | 0.45%             | 2029-01-18      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-149, Class NF                                                           | CUSIP: 38384DGY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244354 | PA      | $245890.15    | 0.12%             | 2053-10-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| 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        |    559387 | PA      | $559493.23    | 0.28%             | 2033-09-26      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                      | Air Lease Corp.                                                                           | CUSIP: 00914AAW2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    350000 | PA      | $350646.86    | 0.18%             | 2026-06-25      | Fixed         | 5.30%                 | No            |                  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        |    166924 | PA      | $167309.25    | 0.08%             | 2034-02-27      | Fixed         | 4.80%                 | 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        |     25390 | PA      | $25426.18     | 0.01%             | 2026-12-20      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                                       | CUSIP: 83368RBV3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1065000 | PA      | $1072206.39   | 0.54%             | 2028-01-19      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Citadel LP                                           | Citadel LP                                                                                | CUSIP: 17288XAB0<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |   1041000 | PA      | $1040318.67   | 0.52%             | 2027-01-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                                   | CUSIP: 44891ADU8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1929000 | PA      | $1937329.00   | 0.98%             | 2027-06-23      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: —       |
| BPCE SA                                              | BPCE SA                                                                                   | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    875000 | PA      | $884806.13    | 0.45%             | 2027-10-19      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                                       | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5650000 | PA      | $5555593.81   | 2.80%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-33, Class KF                                                     | CUSIP: 3136BSFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319374 | PA      | $321270.80    | 0.16%             | 2054-01-25      | Floating      | 4.61%                 | No            |                  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        |    713862 | PA      | $714772.52    | 0.36%             | 2028-12-15      | Fixed         | 9.27%                 | Yes           |                  2 | On Loan: No      |
| Algonquin Power & Utilities Corp.                    | Algonquin Power & Utilities Corp.                                                         | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |   1190000 | PA      | $1191053.35   | 0.60%             | 2026-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                              | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1696000 | PA      | $1711952.66   | 0.86%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                  | NatWest Markets plc                                                                       | CUSIP: 63906YAT5<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    970000 | PA      | $963548.24    | 0.49%             | 2028-11-06      | Fixed         | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Liberty Mutual Insurance Co.                         | Liberty Mutual Insurance Co.                                                              | CUSIP: 53079QAC1<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1494882.45   | 0.75%             | 2026-10-15      | Fixed         | 7.88%                 | 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      | $185997.23    | 0.09%             | 2030-09-25      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                                 | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $1015111.43   | 0.51%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5391, Class FA                                                       | CUSIP: 3137HBUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1803379 | PA      | $1815498.16   | 0.91%             | 2054-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                                        | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2400000 | PA      | $2389837.56   | 1.20%             | 2028-03-24      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                          | Intel Corp.                                                                               | CUSIP: 458140AU4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    975000 | PA      | $972578.92    | 0.49%             | 2026-05-19      | Fixed         | 2.60%                 | No            |                  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        |    515000 | PA      | $513683.74    | 0.26%             | 2027-09-11      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                | Ashtead Capital, Inc.                                                                     | CUSIP: 045054AN3<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    960000 | PA      | $949236.26    | 0.48%             | 2026-08-12      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                | Taco Bell Funding LLC, Series 2018-1A, Class A2II                                         | CUSIP: 87342RAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242888 | PA      | $242295.66    | 0.12%             | 2048-11-25      | 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        |    152424 | PA      | $153580.45    | 0.08%             | 2032-07-20      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-63, Class FA                                                     | CUSIP: 3136BWXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373076 | PA      | $374756.78    | 0.19%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal                                                                          | CUSIP: 06368D3U6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1250000 | PA      | $909379.27    | 0.46%             | 2027-06-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Strips, Series 406, Class F12                                                      | CUSIP: 3133Q3GP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247029 | PA      | $249392.35    | 0.13%             | 2053-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                         | CUSIP: 949746SZ5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $929662.14    | 0.47%             | 2027-02-18      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                                       | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $7925024.44   | 3.99%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  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        |    327028 | PA      | $326532.55    | 0.16%             | 2051-07-25      | Floating      | 5.04%                 | 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        |    157245 | PA      | $157521.53    | 0.08%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-30, Class LF                                                            | CUSIP: 38384JNF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231807 | PA      | $232506.08    | 0.12%             | 2054-02-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                | Athene Global Funding                                                                     | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     24000 | PA      | $23824.48     | 0.01%             | 2026-06-29      | Fixed         | 1.61%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                | Athene Global Funding                                                                     | CUSIP: 04685A4A6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    617000 | PA      | $618045.70    | 0.31%             | 2026-08-27      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                                     | NMEF Funding LLC, Series 2026-A, Class A2                                                 | CUSIP: 62919FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $609147.04    | 0.31%             | 2034-02-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                                     | CUSIP: 06051GLV9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    925000 | PA      | $931499.61    | 0.47%             | 2027-09-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5499, Class FQ                                                       | CUSIP: 3137HJX44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443364 | PA      | $446203.33    | 0.22%             | 2055-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| American National Group, Inc.                        | American National Group, Inc.                                                             | CUSIP: 025676AM9<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1611807.51   | 0.81%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  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        |     48471 | PA      | $48877.47     | 0.02%             | 2029-10-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| MasTec, Inc.                                         | MasTec, Inc.                                                                              | CUSIP: 576323AP4<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |    705000 | PA      | $697567.01    | 0.35%             | 2028-08-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                           | US Bank NA                                                                                | CUSIP: 90331HPS6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |    675000 | PA      | $677603.16    | 0.34%             | 2028-05-15      | Variable      | 4.73%                 | No            |                  2 | On Loan: —       |
| 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      | $707769.50    | 0.36%             | 2032-07-15      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                          | Extended Stay America Trust, Series 2026-ESH2, Class A                                    | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321971 | PA      | $322386.83    | 0.16%             | 2043-02-15      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5410, Class FE                                                       | CUSIP: 3137HCV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555423 | PA      | $558529.35    | 0.28%             | 2054-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                          | Extended Stay America Trust, Series 2026-ESH2, Class B                                    | CUSIP: 30227WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460666 | PA      | $461779.28    | 0.23%             | 2043-02-15      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                                       | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7584000 | PA      | $7502645.83   | 3.78%             | 2027-04-30      | Fixed         | 2.75%                 | 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      | $125060.75    | 0.06%             | 2040-10-15      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                                       | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5650000 | PA      | $5577142.40   | 2.81%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                               | Truist Financial Corp.                                                                    | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    875000 | PA      | $877240.71    | 0.44%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| RCKTL                                                | RCKTL, Series 2025-2A, Class A                                                            | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302214 | PA      | $302289.18    | 0.15%             | 2034-11-27      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2025-A, Class A2                                           | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    601179 | PA      | $604466.48    | 0.30%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Radian Group, Inc.                                   | Radian Group, Inc.                                                                        | CUSIP: 750236AW1<br>LEI: 54930005OUP720S5U385 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1315249.17   | 0.66%             | 2027-03-15      | Fixed         | 4.88%                 | No            |                  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      | $264645.37    | 0.13%             | 2034-01-16      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Swedbank AB                                          | Swedbank AB                                                                               | CUSIP: 87020PAX5<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    200000 | PA      | $201589.75    | 0.10%             | 2026-09-12      | Fixed         | 6.14%                 | 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        |    400050 | PA      | $380589.25    | 0.19%             | 2051-04-25      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

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

**Signature:** James F. Kirchner

**Name of Signer:** James F. Kirchner

**Title:** Principal Financial Officer