# EDGAR Filing Document

**Accession Number:** 0001681576
**File Stem:** 0001099263-26-000813
**Filing Date:** 2026-1
**Character Count:** 654499
**Document Hash:** 4b589cb5c8959e03b847be9df755a9e5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-000813.hdr.sgml**: 20260127

**ACCESSION NUMBER**: 0001099263-26-000813

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260127

**DATE AS OF CHANGE**: 20260127

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price Total Return Fund, Inc.
- **CENTRAL INDEX KEY:** 0001681576

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23180
- **FILM NUMBER:** 26565003

**BUSINESS ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231

## Series and Classes Contracts Data

### T. Rowe Price Total Return Fund (Series ID: S000055582)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000174964 | T. Rowe Price Total Return Fund                | PTTFX           |
| C000174965 | T. Rowe Price Total Return Fund--Advisor Class | PTATX           |
| C000174966 | T. Rowe Price Total Return Fund--I Class       | PTKIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE TOTAL RETURN FUND, INC.

- **b. Investment Company Act file number:** 811-23180

- **c. CIK number of Registrant:** 0001681576

- **d. LEI of Registrant:** 54930030REW0J45PM043

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

  - **Street Address 1:** 1307 Point Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

  - **Telephone number:** 410-345-2000

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

- **a. Name of Series:** T. Rowe Price Total Return Fund

- **b. EDGAR series identifier (if any):** S000055582

- **c. LEI of Series:** 549300ZQ4TOEETMBQY79

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $701122978.34

**Total Liabilities:** $52027771.59

**Net Assets:** $649095206.75

**Delayed Delivery Securities:** $1389843.40

**Stand-by Commitments:** $36425175.64

**Cash Not Reported:** $171712.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -420.932891 | **1-Year:** -18605.741800 | **5-Year:** -91793.226335 | **10-Year:** -75232.613679 | **30-Year:** -18276.946895

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

- **3-Month:** -324.439336 | **1-Year:** -5981.794992 | **5-Year:** -38402.972198 | **10-Year:** -7902.351296 | **30-Year:** -1580.815131

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000174964 | 0.99%                | 0.59%                | 0.63%                |
| Class ID C000174965 | 1.09%                | 0.44%                | 0.61%                |
| Class ID C000174966 | 1.12%                | 0.48%                | 0.64%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-193092.73              | $4873296.77                                |
| Month 2  | $432114.72               | $931008.34                                 |
| Month 3  | $600289.15               | $534681.03                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Agg Total Return Value Unhedged USD (Returns)

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                             | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BJZ5 10YR MINI JGB FUT DEC25                     | 10YR MINI JGB FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |           2 | NC      | $-2252.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BJZ5 10YR MINI JGB FUT DEC25                     | 10YR MINI JGB FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |           2 | NC      | $-2252.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BJZ5 10YR MINI JGB FUT DEC25                     | 10YR MINI JGB FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |          25 | NC      | $-28155.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BAUSCH HEALTH TL B 1L BANKDEBT                   | 1261229 BC LTD                                                                  | CUSIP: 91911K9L8<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |      533662 | PA      | $526458.06    | 0.08%             | 2030-10-08      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| 1261229 BC LTD 144A                              | 1261229 BC LTD                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      530000 | PA      | $547225.00    | 0.08%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| AADVANTAGE TL B 1L BANKDEBT                      | AADVANTAGE LOYALTY IP                                                           | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |      429938 | PA      | $429559.24    | 0.07%             | 2028-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | ABBVIE INC                                                                      | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      605000 | PA      | $602127.46    | 0.09%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ACRISURE INC SER A-2 CVT PFD STK PP              | ACRISURE INC SEC A-2 CVT PFD STK PP                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       20764 | NS      | $499997.12    | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ACRISURE LLC TL B 1L BANKDEBT                    | ACRISURE LLC                                                                    | CUSIP: 00488PAX3<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |      264338 | PA      | $264049.37    | 0.04%             | 2032-06-20      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS 144A                          | ADVANCE AUTO PARTS INC                                                          | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |      266000 | PA      | $271170.51    | 0.04%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS 144A                          | ADVANCE AUTO PARTS INC                                                          | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |      311000 | PA      | $316827.52    | 0.05%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| AES ANDES SA 144A                                | AES ANDES SA                                                                    | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |      428000 | PA      | $445655.86    | 0.07%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                     | AES CORP/THE                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     1015000 | PA      | $1041180.91   | 0.16%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AETHON III SR 2L PP                              | AETHON III SR 2L PP                                                             | CUSIP: 000000000<br>LEI: 5493003Y9J3720W2G906 | Long             | DBT              | CORP              | US        |      390000 | PA      | $387075.00    | 0.06%             | 2027-01-10      | Variable      | 10.08%                | Yes           |                  3 | On Loan: No      |
| AFRMT 2025-2A B 144A                             | AFFIRM MASTER TRUST                                                             | CUSIP: 00833BAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      590000 | PA      | $593735.53    | 0.09%             | 2033-07-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-2A A 144A                             | AFFIRM MASTER TRUST                                                             | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      560000 | PA      | $562946.94    | 0.09%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| AGGREKO TL B 1L BANKDEBT                         | AGGREKO HOLDINGS INC                                                            | CUSIP: 01330EAD0<br>LEI: 213800VFJ5CIN2NUQ821 | Long             | LON              | CORP              | US        |      347692 | PA      | $349322.17    | 0.05%             | 2031-05-21      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| AH PARENT,INC. SER A PREFERRED SHARES PP         | AH PARENT,INC. SER A PREFERRED SHARES PP                                        | CUSIP: TC3I9NQ04<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        1310 | NS      | $1315737.80   | 0.20%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ALBION FINANCING 1SARL 144A                      | ALBION FINANCING 1 SARL / AGGREKO HOLDINGS INC                                  | CUSIP: 01330AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      200000 | PA      | $207500.00    | 0.03%             | 2030-05-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALDAR PROPERTIES PJSC                            | ALDAR PROPERTIES PJSC                                                           | CUSIP: YS4097384<br>LEI: 98450048CD8AEF13B480 | Long             | DBT              | CORP              | AE        |      640000 | PA      | $673823.69    | 0.10%             | 2055-04-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| ALERA TL B 1L BANKDEBT                           | ALERA GROUP INC                                                                 | CUSIP: 01451PAB2<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |      175000 | PA      | $175656.25    | 0.03%             | 2032-05-30      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| ALERA TL B 2L BANKDEBT                           | ALERA GROUP INC                                                                 | CUSIP: 01451PAD8<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |      980000 | PA      | $1004088.40   | 0.15%             | 2033-05-30      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                         | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |      127000 | PA      | $107328.46    | 0.02%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                         | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271BE8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |      195000 | PA      | $198355.76    | 0.03%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                         | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |      155000 | PA      | $154138.51    | 0.02%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDI TL B 1L USD BANKDEBT  | ALLIANT HOLDINGS INTERMEDI                                                      | CUSIP: 01881UAN5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |      979316 | PA      | $979443.77    | 0.15%             | 2031-09-19      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER 144A                    | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      322000 | PA      | $334880.00    | 0.05%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABCLN 2024-A C 144A                              | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                                | CUSIP: 02007GZ63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      123714 | PA      | $125589.55    | 0.02%             | 2032-05-17      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| ABCLN 2024-B C 144A                              | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      151137 | PA      | $152049.48    | 0.02%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| ABCLN 2024-B A2 144A                             | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      151137 | PA      | $152535.44    | 0.02%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC 144A                        | ALPHA GENERATION LLC                                                            | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      290000 | PA      | $297975.00    | 0.05%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC TL B 1L USD BANKDEBT        | ALPHA GENERATION LLC                                                            | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |      193047 | PA      | $193328.60    | 0.03%             | 2031-09-30      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                     | ALPHABET INC                                                                    | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      745000 | PA      | $755444.16    | 0.12%             | 2035-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA 144A                            | ALTICE FRANCE SA                                                                | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      154020 | PA      | $149976.98    | 0.02%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      290000 | PA      | $296556.90    | 0.05%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMCAR 2023-1 C                                   | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1                                 | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      430000 | PA      | $436801.18    | 0.07%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC 144A                       | AMRIZE FINANCE US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |      285000 | PA      | $291426.18    | 0.04%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC 144A                       | AMRIZE FINANCE US LLC                                                           | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |      245000 | PA      | $246070.41    | 0.04%             | 2028-04-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AXIS 2022-1A D 144A                              | AMUR EQUIPMENT FINANCE RECEIVABLES X LLC                                        | CUSIP: 03236VAE1<br>LEI: 549300K5Y88MV8B4M421 | Long             | ABS-O            | CORP              | US        |     2520000 | PA      | $2500826.08   | 0.39%             | 2028-08-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| AXIS 2024-1A B 144A                              | AMUR EQUIPMENT FINANCE RECEIVABLES XIII LLC                                     | CUSIP: 03237CAC6<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |      835000 | PA      | $852669.60    | 0.13%             | 2031-01-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| AOMT 2020-5 M1 144A                              | ANGEL OAK MORTGAGE TRUST 2020-5                                                 | CUSIP: 03464WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $235331.35    | 0.04%             | 2065-05-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| AOMT 2020-6 M1 144A                              | ANGEL OAK MORTGAGE TRUST 2020-6                                                 | CUSIP: 03465AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      515000 | PA      | $444966.28    | 0.07%             | 2065-05-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| AOMT 2022-6 A1 144A                              | ANGEL OAK MORTGAGE TRUST 2022-6                                                 | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1428422 | PA      | $1421334.55   | 0.22%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| AOMT 2025-3 A1 144A                              | ANGEL OAK MORTGAGE TRUST 2025-3                                                 | CUSIP: 03466RAA9<br>LEI: 254900U85BAJNPG0MG65 | Long             | ABS-MBS          | CORP              | US        |      150120 | PA      | $151114.98    | 0.02%             | 2070-03-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| AP GRANGE HOLDINGS PP                            | AP GRANGE HOLDINGS PP                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      700000 | PA      | $747250.00    | 0.12%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| APA INFRASTRUCTURE LTD 144A                      | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |      175000 | PA      | $178292.28    | 0.03%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD 144A                      | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |      350000 | PA      | $354363.10    | 0.05%             | 2044-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| APID 2021-37A B 144A                             | APIDOS CLO XXXVII                                                               | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |      525000 | PA      | $525532.04    | 0.08%             | 2034-10-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| APPLIED SYSTEMS INC TL 2L BANKDEBT               | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBC4<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |     1261052 | PA      | $1283120.10   | 0.20%             | 2032-02-23      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| APPLIED SYSTEMS INC TL B2 1L USD BANKDEBT        | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBD2<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |      930174 | PA      | $933318.28    | 0.14%             | 2031-02-24      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| APTIV PLC                                        | APTIV SWISS HOLDINGS LTD                                                        | CUSIP: 03835VAJ5<br>LEI: 254900HTTDFIJZ32GX53 | Long             | DBT              | CORP              | JE        |      985000 | PA      | $643320.25    | 0.10%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FU 144A                    | ARES STRATEGIC INCOME FUND                                                      | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |      175000 | PA      | $175961.80    | 0.03%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                            | ARGENTINE REPUBLIC GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      852000 | PA      | $743796.00    | 0.11%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                            | ARGENTINE REPUBLIC GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      575000 | PA      | $408451.25    | 0.06%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| ARSENAL AIC PARENT LLC TL B 1L USD BANKDEBT      | ARSENAL AIC PARENT LLC                                                          | CUSIP: 04287KAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      196835 | PA      | $196896.15    | 0.03%             | 2030-08-18      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| ARSENAL AIC PARENT LLC 144A                      | ARSENAL AIC PARENT LLC                                                          | CUSIP: 04288BAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      295000 | PA      | $323762.50    | 0.05%             | 2031-10-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| ASPEN INSURANCE HLDG LTD                         | ASPEN INSURANCE HOLDINGS LTD                                                    | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |      305000 | PA      | $319818.94    | 0.05%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASURION TL B4 2L BANKDEBT                        | ASURION LLC                                                                     | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      788357 | PA      | $736782.89    | 0.11%             | 2029-01-20      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| ASURION LLC TL B13 1L BANKDEBT                   | ASURION LLC                                                                     | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      174562 | PA      | $171158.53    | 0.03%             | 2030-09-19      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| ASURION TL B3 2L BANKDEBT                        | ASURION LLC                                                                     | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      774046 | PA      | $739702.04    | 0.11%             | 2028-01-31      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| ASURION TL B11 1L BANKDEBT                       | ASURION LLC                                                                     | CUSIP: 04649VBC3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      189514 | PA      | $189066.81    | 0.03%             | 2028-08-19      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T INC                                                                        | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      395000 | PA      | $394716.79    | 0.06%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH TL B 1L BANKDEBT                    | ATHENAHEALTH GROUP INC                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |      405443 | PA      | $404599.57    | 0.06%             | 2029-02-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| MINERVA MERGER SUB INC 144A                      | ATHENAHEALTH GROUP INC                                                          | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |      265000 | PA      | $261687.50    | 0.04%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND 144A                        | ATLAS WAREHOUSE LENDING CO LP                                                   | CUSIP: 049463AG7<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |      250000 | PA      | $251151.50    | 0.04%             | 2030-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | AUD/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | AU        |           1 | NC      | $357.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | AUD/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | AU        |           1 | NC      | $-367.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOKINITON TL B 1L BANKDEBT                     | AUTOKINITON US HOLDINGS                                                         | CUSIP: 05278HAC0<br>LEI: 254900EHNKMJ1OSEZL85 | Long             | LON              | CORP              | US        |      459239 | PA      | $455335.06    | 0.07%             | 2028-04-06      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| XCAP 2024-1A A3 144A                             | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      410000 | PA      | $416254.10    | 0.06%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| AVALARA TL B 1L BANKDEBT                         | AVALARA INC                                                                     | CUSIP: 05338KAD9<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |      578812 | PA      | $580658.91    | 0.09%             | 2032-03-29      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE 144A                     | AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET FINANCE INC                            | CUSIP: 053773BJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      190000 | PA      | $195700.00    | 0.03%             | 2030-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| AESOP 2023-3A D 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKH6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $141877.50    | 0.02%             | 2028-02-20      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| AESOP 2023-2A D 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKG8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      245000 | PA      | $247264.73    | 0.04%             | 2027-10-20      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| AESOP 2023-2A C 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RGN8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100857.84    | 0.02%             | 2027-10-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| AESOP 2022-5A C 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RFX7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100326.07    | 0.02%             | 2027-04-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| AESOP 2025-3A B 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKX1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      195000 | PA      | $194662.96    | 0.03%             | 2030-02-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| AESOP 2024-3A B 144A                             | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RJL9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      410000 | PA      | $422073.07    | 0.07%             | 2030-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| AXIAN TELE HOLD 144A                             | AXIAN TELECOM HOLDING & MANAGEMENT PLC                                          | CUSIP: 05465QAA7<br>LEI: 984500B7DCD97EB04857 | Long             | DBT              | CORP              | AE        |      320000 | PA      | $322423.66    | 0.05%             | 2030-07-11      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC 144A                         | AXON ENTERPRISE INC                                                             | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      210000 | PA      | $216825.00    | 0.03%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC 144A                         | AXON ENTERPRISE INC                                                             | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      175000 | PA      | $181562.50    | 0.03%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BCC 2022-3A BR 144A                              | BAIN CAPITAL CREDIT CLO 2022-3 LTD                                              | CUSIP: 05684NAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      915000 | PA      | $916484.13    | 0.14%             | 2035-07-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN21 D 144A                            | BANK 2019-BNK21                                                                 | CUSIP: 06540BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1036000 | PA      | $778587.57    | 0.12%             | 2052-10-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      685000 | PA      | $719585.65    | 0.11%             | 2036-05-09      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      614000 | PA      | $646577.00    | 0.10%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | BANK OF AMERICA CORP                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      935000 | PA      | $970306.54    | 0.15%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BARBADOS 144A                                    | BARBADOS GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 067070AK8<br>LEI: 529900UD1KUUS4SFD905 | Long             | DBT              | NUSS              | BB        |      200000 | PA      | $210338.00    | 0.03%             | 2035-06-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | BARCLAYS PLC                                                                    | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $211083.60    | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | BARCLAYS PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      625000 | PA      | $645493.75    | 0.10%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BABSN 2021-3A B1R 144A                           | BARINGS CLO LTD 2021-III                                                        | CUSIP: 06762TAN1<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |     1330000 | PA      | $1331947.39   | 0.21%             | 2035-01-18      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT CAPITAL CORP                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      470000 | PA      | $488093.59    | 0.08%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| L BRANDS INC 144A                                | BATH & BODY WORKS INC                                                           | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40600.00     | 0.01%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BATLN 2018-12A CRR 144A                          | BATTALION CLO XII LTD                                                           | CUSIP: 07133RBA2<br>LEI: 549300JIE0P78OIZGS60 | Long             | ABS-CBDO         | CORP              | KY        |      660000 | PA      | $660198.59    | 0.10%             | 2031-05-17      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BATLN 2020-15A CR 144A                           | BATTALION CLO XV LTD                                                            | CUSIP: 07131AAT1<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |      635000 | PA      | $635485.46    | 0.10%             | 2033-01-17      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BAUSCH & LOMB TL B 1L BANKDEBT                   | BAUSCH + LOMB CORP                                                              | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |      780383 | PA      | $784675.00    | 0.12%             | 2031-01-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC 144A                        | BAYER US FINANCE LLC                                                            | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      390000 | PA      | $416159.25    | 0.06%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCING TRUST 2024-2F A PP             | BAYVIEW FINANCING TRUST 2024-2F A                                               | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      294123 | PA      | $295578.55    | 0.05%             | 2029-11-01      | Variable      | 6.95%                 | Yes           |                  3 | On Loan: No      |
| BVINV 2021-6 A5 144A                             | BAYVIEW OPPORTUNITY MASTER FUND VI TRUST 2021-INV6                              | CUSIP: 07335UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      547306 | PA      | $492534.32    | 0.08%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BVCLN 2024-CAR1 B 144A                           | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAB8<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |      180100 | PA      | $180797.01    | 0.03%             | 2031-12-26      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BVCLN 2024-CAR1 C 144A                           | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |      103505 | PA      | $103853.45    | 0.02%             | 2031-12-26      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY D 144A                           | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      365000 | PA      | $4562.50      | 0.00%             | 2034-11-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BCPE PEQUOD BUYER INC TL B 1L USD BANKDEBT       | BCPE PEQUOD BUYER INC                                                           | CUSIP: 05624AAB8<br>LEI: 254900HEEOS2IWC84V94 | Long             | LON              | CORP              | US        |      319200 | PA      | $319998.00    | 0.05%             | 2031-11-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC 144A                        | BEIGNET INVESTOR LLC                                                            | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      910000 | PA      | $978130.79    | 0.15%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BSP 2021-23A B1R 144A                            | BENEFIT STREET PARTNERS CLO XXIII LTD                                           | CUSIP: 08186VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250067.33    | 0.04%             | 2034-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BFLD 2025-5MW C 144A                             | BFLD COMMERCIAL MORTGAGE TRUST 2025-5MW                                         | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      265000 | PA      | $267396.10    | 0.04%             | 2042-10-10      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| BINOM 2022-INV1 A3 144A                          | BINOM SECURITIZATION TRUST 2022-INV1                                            | CUSIP: 090975AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      375055 | PA      | $365643.77    | 0.06%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                           | BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                               | CUSIP: ZR4791987<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |      655000 | PA      | $726124.35    | 0.11%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL GP STAKES IV TL PP                      | BLUE OWL GP STAKES IV TL PP 4.8800 20281030                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      530000 | PA      | $530000.00    | 0.08%             | 2028-10-30      | Fixed         | 4.88%                 | Yes           |                  3 | On Loan: No      |
| BOEING CO/THE                                    | BOEING CO/THE                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1320000 | PA      | $1503000.84   | 0.23%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE CVT 6.000000                       | BOEING CO/THE                                                                   | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |        2848 | NS      | $180050.56    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                        | BOEING CO/THE                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      204000 | PA      | $151526.92    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BON SECOURS MERCY                                | BON SECOURS MERCY HEALTH INC                                                    | CUSIP: 09778PAA3<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |      230000 | PA      | $224432.62    | 0.03%             | 2030-06-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                          | BOOZ ALLEN HAMILTON INC                                                         | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |      640000 | PA      | $663973.76    | 0.10%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| BOSTON GAS COMPANY 144A                          | BOSTON GAS CO                                                                   | CUSIP: 100743AN3<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |      365000 | PA      | $373188.78    | 0.06%             | 2053-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BPR 2021-TY C 144A                               | BPR TRUST 2021-TY                                                               | CUSIP: 05592AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      635000 | PA      | $633422.85    | 0.10%             | 2038-09-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BRAZIL                                           | BRAZILIAN GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: 105756CN8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      995000 | PA      | $993806.00    | 0.15%             | 2056-01-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BRAZIL                                           | BRAZILIAN GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: 105756CM0<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     1640000 | PA      | $1674932.00   | 0.26%             | 2030-11-06      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BREAKWATER ENRGY HOLD 144A                       | BREAKWATER ENERGY HOLDINGS SARL                                                 | CUSIP: 10637BAA3<br>LEI: 984500969HAFA937F390 | Long             | DBT              | CORP              | LU        |      250000 | PA      | $258937.50    | 0.04%             | 2030-11-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                           | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100092.10    | 0.02%             | 2033-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                           | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAN3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      145000 | PA      | $148565.70    | 0.02%             | 2032-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | BRL/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $18.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | BRL/USD FWD 20251202 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $135944.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                     | BRL/USD FWD 20251202 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $10780.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | BRL/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $126.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | BRL/USD FWD 20260203 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | BR        |           1 | NC      | $4242.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | BROADCOM INC                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      630000 | PA      | $631287.72    | 0.10%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BSREP 2021-DC C 144A                             | BSREP 2021-DC C                                                                 | CUSIP: 05591UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      778838 | PA      | $660573.08    | 0.10%             | 2038-08-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BULGARIA                                         | BULGARIA GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: YO0398140<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |      840000 | PA      | $999334.26    | 0.15%             | 2038-05-07      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BX 2024-GPA3 B 144A                              | BX COMMERCIAL MORTGAGE TRUST 2024-GPA3                                          | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      453502 | PA      | $453926.56    | 0.07%             | 2039-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX 2024-MDHS A 144A                              | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                          | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      622801 | PA      | $623189.53    | 0.10%             | 2041-05-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX 2024-MDHS B 144A                              | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                          | CUSIP: 12433BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      622801 | PA      | $623189.28    | 0.10%             | 2041-05-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| BX 2021-VIEW F 144A                              | BX TRUST 2021-VIEW                                                              | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1195000 | PA      | $1189652.02   | 0.18%             | 2036-06-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| BX 2025-TAIL A 144A                              | BX TRUST 2025-TAIL                                                              | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      225000 | PA      | $224999.93    | 0.03%             | 2035-06-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BX 2025-VOLT A 144A                              | BX TRUST 2025-VOLT                                                              | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      745000 | PA      | $744534.38    | 0.11%             | 2044-12-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BX 2025-VOLT B 144A                              | BX TRUST 2025-VOLT                                                              | CUSIP: 05619PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      555000 | PA      | $555693.75    | 0.09%             | 2044-12-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC CB 1.125% 03/28                    | CABLE ONE INC                                                                   | CUSIP: 12685JAG0<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |      220000 | PA      | $180472.60    | 0.03%             | 2028-03-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC CB 0.00% 3/26                      | CABLE ONE INC                                                                   | CUSIP: 12685JAE5<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |      205000 | PA      | $200646.01    | 0.03%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CAD/USD FWD 20251201 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $212.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CAD/USD FWD 20260102 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $-178.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                    | CAD/USD FWD 20260126 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $1645.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                      | CAD/USD FWD 20260126 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $-29013.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT TL B 1L BANKDEBT           | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |      182842 | PA      | $180633.19    | 0.03%             | 2031-02-06      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA 144A                                | CAIXABANK SA                                                                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      600000 | PA      | $641582.40    | 0.10%             | 2035-06-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA 144A                                | CAIXABANK SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      540000 | PA      | $559895.76    | 0.09%             | 2036-07-03      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| CNH6 CAN 10YR BOND FUT MAR26                     | CAN 10YR BOND FUT MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         -19 | NC      | $-6036.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CNH6 CAN 10YR BOND FUT MAR26                     | CAN 10YR BOND FUT MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |          -2 | NC      | $-635.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| XQH6 CAN 5YR BOND FUT  MAR26                     | CAN 5YR BOND FUT  MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         -32 | NC      | $-5771.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CARMX 2022-2 C                                   | CARMAX AUTO OWNER TRUST 2022-2                                                  | CUSIP: 14317HAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1605000 | PA      | $1602801.47   | 0.25%             | 2027-12-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| CARMX 2023-3 C                                   | CARMAX AUTO OWNER TRUST 2023-3                                                  | CUSIP: 14319BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      480000 | PA      | $487754.06    | 0.08%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-1 C                                   | CARMAX AUTO OWNER TRUST 2024-1                                                  | CUSIP: 14318WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      515000 | PA      | $524513.54    | 0.08%             | 2029-08-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-2 D                                   | CARMAX AUTO OWNER TRUST 2024-2                                                  | CUSIP: 14319EAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1190000 | PA      | $1226815.39   | 0.19%             | 2030-10-15      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-3 D                                   | CARMAX AUTO OWNER TRUST 2024-3                                                  | CUSIP: 14319GAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      215000 | PA      | $218972.38    | 0.03%             | 2031-01-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CMXS 2024-A C                                    | CARMAX SELECT RECEIVABLES TRUST 2024-A                                          | CUSIP: 14319FAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      970000 | PA      | $992967.76    | 0.15%             | 2030-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CMXS 2024-A B                                    | CARMAX SELECT RECEIVABLES TRUST 2024-A                                          | CUSIP: 14319FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      230000 | PA      | $233345.05    | 0.04%             | 2030-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-P1 D                                  | CARVANA AUTO RECEIVABLES TRUST 2021-P1                                          | CUSIP: 14687BAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      525000 | PA      | $520367.09    | 0.08%             | 2027-12-10      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| CRVNA 2022-N1 D 144A                             | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                          | CUSIP: 14686GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      373662 | PA      | $370327.90    | 0.06%             | 2028-12-11      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CRVNA 2022-P1 C                                  | CARVANA AUTO RECEIVABLES TRUST 2022-P1                                          | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1210000 | PA      | $1190912.01   | 0.18%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N1 C 144A                             | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                          | CUSIP: 14687QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      865000 | PA      | $881801.07    | 0.14%             | 2030-05-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N1 B 144A                             | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                          | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      330000 | PA      | $333059.13    | 0.05%             | 2030-05-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N2 B 144A                             | CARVANA AUTO RECEIVABLES TRUST 2024-N2                                          | CUSIP: 14687VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      350000 | PA      | $354403.32    | 0.05%             | 2030-09-10      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N2 C 144A                             | CARVANA AUTO RECEIVABLES TRUST 2024-N2                                          | CUSIP: 14687VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $459602.10    | 0.07%             | 2030-09-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P3 B                                  | CARVANA AUTO RECEIVABLES TRUST 2025-P3                                          | CUSIP: 14688AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      125000 | PA      | $125255.30    | 0.02%             | 2031-10-10      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| CARVANA CO 144A                                  | CARVANA CO                                                                      | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |      436401 | PA      | $490950.83    | 0.08%             | 2031-06-01      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CARVANA CO CDS 12/20/2030                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1263.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CARVANA CO PAY 12/20/2030                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1263.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                | CBRE SERVICES INC                                                               | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      315000 | PA      | $320152.46    | 0.05%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                      | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      355000 | PA      | $311956.25    | 0.05%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                      | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      310000 | PA      | $316200.00    | 0.05%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP 144A                      | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      250000 | PA      | $229687.50    | 0.04%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 A5                                   | CD 2017-CD6 MORTGAGE TRUST                                                      | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      515000 | PA      | $508734.66    | 0.08%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CDX IG CDST S45 5Y 15-100 12/20/2030                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1528561.81   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | CDX IG CDST S45 5Y 15-100 12/20/2030                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1588418.79   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      185000 | PA      | $188237.50    | 0.03%             | 2032-07-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                            | CELLNEX FINANCE CO SA                                                           | CUSIP: BN9906411<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $416328.94    | 0.06%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENT 2025-CITY A 144A                            | CENT 2025-CITY                                                                  | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      755000 | PA      | $768309.52    | 0.12%             | 2040-07-10      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | CENTENE CORP                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     1397000 | PA      | $1342908.16   | 0.21%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CFE FIBRA E 144A                                 | CFE FIBRA E                                                                     | CUSIP: 125276AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      200000 | PA      | $199722.00    | 0.03%             | 2040-09-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      305000 | PA      | $199422.42    | 0.03%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CHARTER NEXT GENERATION BANKDEBT                 | CHARTER NEXT GENERATION                                                         | CUSIP: 16125TAM4<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |      986106 | PA      | $989912.11    | 0.15%             | 2030-11-29      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| CACLN 2025-1 B 144A                              | CHASE AUTO CREDIT LINKED NOTES SERIES 2025-1                                    | CUSIP: 46591HCS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      506031 | PA      | $509192.66    | 0.08%             | 2033-02-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHASE 2024-RPL4 A1B 144A                         | CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4                                     | CUSIP: 16160NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95967 | PA      | $86219.39     | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| CHPRK 2018-1A BR 144A                            | CHENANGO PARK CLO LTD                                                           | CUSIP: 16409TAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1085000 | PA      | $1086143.37   | 0.17%             | 2030-04-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CHF/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-18.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | CHF/USD FWD 20260123 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-13234.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CHF/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CH        |           1 | NC      | $308.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX 144A                       | CHILE ELECTRICITY LUX MPC II SARL                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      283476 | PA      | $292405.96    | 0.05%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CHPE LLC SERIES A SR SECURED NOTE PP             | CHPE LLC SR SECURED NOTE PP                                                     | CUSIP: 000000000<br>LEI: 2549001XI2F7Q85COR50 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200000.00    | 0.03%             | 2035-09-30      | Fixed         | 5.51%                 | Yes           |                  3 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS 144A                    | CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      450000 | PA      | $484312.50    | 0.07%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| CIFC 2016-1A D1R3 144A                           | CIFC FUNDING 2016-I LTD                                                         | CUSIP: 17180TBS0<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |      735000 | PA      | $729436.64    | 0.11%             | 2031-10-21      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                  | CIGNA GROUP/THE                                                                 | CUSIP: 125523DA5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      265000 | PA      | $275910.05    | 0.04%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                  | CIGNA GROUP/THE                                                                 | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      190000 | PA      | $191230.44    | 0.03%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | CITIGROUP INC                                                                   | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      330000 | PA      | $337210.50    | 0.05%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | CITIGROUP INC                                                                   | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      380000 | PA      | $390744.50    | 0.06%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | CITIGROUP INC                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      970000 | PA      | $994453.70    | 0.15%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CMLTI 2020-EXP2 A3 144A                          | CITIGROUP MORTGAGE LOAN TRUST INC                                               | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      900336 | PA      | $791783.29    | 0.12%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC 144A                       | CIVITAS RESOURCES INC                                                           | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      175000 | PA      | $180250.00    | 0.03%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC 144A                       | CIVITAS RESOURCES INC                                                           | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      425000 | PA      | $457937.50    | 0.07%             | 2033-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL TL B 1L BANKDEBT                  | CLARIOS GLOBAL LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |      465000 | PA      | $466306.65    | 0.07%             | 2032-01-28      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN 144A                    | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                       | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $217350.00    | 0.03%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLARUS 2024-1A B 144A                            | CLARUS CAPITAL FUNDING 2024-1 LLC                                               | CUSIP: 18271JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      270000 | PA      | $270903.12    | 0.04%             | 2032-08-20      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR TL B 1L BANKDEBT           | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |      546150 | PA      | $546537.79    | 0.08%             | 2028-08-21      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL WORLDWIDE 144A                     | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAC0<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      205000 | PA      | $205000.00    | 0.03%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC               | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |         750 | NS      | $1492.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| CLEAR CHANNEL OUTDOOR HO 144A                    | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      115000 | PA      | $119312.50    | 0.02%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL WORLDWIDE 144A                     | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAD8<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      199000 | PA      | $196512.50    | 0.03%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO 144A                    | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAH9<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |       95000 | PA      | $99631.25     | 0.02%             | 2033-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC 144A                      | CLOUD SOFTWARE GROUP INC                                                        | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      185000 | PA      | $195175.00    | 0.03%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC 144A                      | CLOUD SOFTWARE GROUP INC                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      750000 | PA      | $774375.00    | 0.12%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CITRIX TL B 1L BANKDEBT                          | CLOUD SOFTWARE GRP INC                                                          | CUSIP: 88632NBL3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |      490000 | PA      | $488740.70    | 0.08%             | 2032-08-13      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| CITRIX TL B2 1L BANKDEBT                         | CLOUD SOFTWARE GRP INC                                                          | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |      276933 | PA      | $276088.73    | 0.04%             | 2031-03-21      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CLP/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $2691.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                      | CLP/USD FWD 20251202 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $-3791.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CLP/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $97.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | CLP/USD FWD 20260206 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $17054.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | CME-CLP IRS 10/1/27 REC FIX MSLN_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $23757.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | CME-CLP IRS 10/2/27 REC FIX GSIL_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $21743.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMG MEDIA CORPORATION 144A                       | CMG MEDIA CORP                                                                  | CUSIP: 125773AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      425000 | PA      | $350625.00    | 0.05%             | 2029-06-18      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| JP MORGAN CHASE BANK                             | CNH/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $207.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | CNH/USD FWD 20251202 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $5273.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | CNH/USD FWD 20251202 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $3512.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CNH/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $-4.85        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | CNH/USD FWD 20260203 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | CN        |           1 | NC      | $-5308.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COFINIMMO                                        | COFINIMMO SA                                                                    | CUSIP: BM7559321<br>LEI: 549300TM914CSF6KI389 | Long             | DBT              | CORP              | BE        |      300000 | PA      | $308803.95    | 0.05%             | 2030-12-02      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COGENTRIX TL B 1L BANKDEBT                       | COGENTRIX FINANCE HOLDCO                                                        | CUSIP: 19239LAC0<br>LEI: 254900V51P55ABN4UU67 | Long             | LON              | CORP              | US        |      252485 | PA      | $253838.26    | 0.04%             | 2032-02-26      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CLGIX 2022-1CAN A2 144A                          | COLOGIX CANADIAN ISSUER LP                                                      | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     1460000 | PA      | $1036548.28   | 0.16%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| COLOMBIA                                         | COLOMBIAN TES                                                                   | CUSIP: BN5058530<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 27046900000 | PA      | $4616132.70   | 0.71%             | 2036-07-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 M1 144A                              | COLT 2021-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 19688FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2220000 | PA      | $1573196.12   | 0.24%             | 2066-09-27      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| COLT 2021-5 A1 144A                              | COLT 2021-5 MORTGAGE LOAN TRUST                                                 | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900902 | PA      | $820534.57    | 0.13%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| COLT 2025-10 A1F 144A                            | COLT 2025-10 MORTGAGE LOAN TRUST                                                | CUSIP: 12675XAD8<br>LEI: 213800STFGFKQEQSRE63 | Long             | ABS-MBS          | CORP              | US        |      421014 | PA      | $421835.82    | 0.06%             | 2070-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 B                                 | COMM 2016-CR28 MORTGAGE TRUST                                                   | CUSIP: 12593YBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1130000 | PA      | $1105486.23   | 0.17%             | 2049-02-10      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 AHR                               | COMM 2016-CR28 MORTGAGE TRUST                                                   | CUSIP: 12593YBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      161565 | PA      | $161244.97    | 0.02%             | 2049-02-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                              | COMMONSPIRIT HEALTH                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |       56000 | PA      | $52395.56     | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3K1<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |       71329 | PA      | $71225.33     | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3H8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |       77444 | PA      | $82191.06     | 0.01%             | 2029-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3L9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |       64116 | PA      | $63625.34     | 0.01%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3N5<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |       74817 | PA      | $69092.09     | 0.01%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUB IMPT CVI-SUBSER CW NT             | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     2856679 | PA      | $1828274.86   | 0.28%             | 2043-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT CABS SER A                | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3R6<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |       91794 | PA      | $66072.29     | 0.01%             | 2033-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3G0<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |       78721 | PA      | $80516.07     | 0.01%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PR COMWLTH PUBLIC IMPT SER A1                    | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3M7<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |       55029 | PA      | $52843.39     | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC 144A                      | COMSTOCK RESOURCES INC                                                          | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |      270000 | PA      | $268650.00    | 0.04%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CONE 2024-DFW1 A 144A                            | CONE TRUST 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      675000 | PA      | $674157.26    | 0.10%             | 2041-08-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| INMARSAT TL B 1L BANKDEBT                        | CONNECT FINCO SARL                                                              | CUSIP: 4576399B0<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |      201679 | PA      | $200293.86    | 0.03%             | 2029-09-27      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE 144A                    | CONNECT FINCO SARL / CONNECT US FINCO LLC                                       | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      290000 | PA      | $307037.50    | 0.05%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R01 1M1 144A                            | CONNECTICUT AVENUE SECURITIES SERIES 2025-R01                                   | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      285166 | PA      | $285344.54    | 0.04%             | 2045-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R02 1A1 144A                            | CONNECTICUT AVENUE SECURITIES TRUST 2025-R02                                    | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      818966 | PA      | $820326.03    | 0.13%             | 2045-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R06 1M1 144A                            | CONNECTICUT AVENUE SECURITIES TRUST 2025-R06                                    | CUSIP: 20754YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      273660 | PA      | $273332.91    | 0.04%             | 2045-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | COP/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $534.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | COP/USD FWD 20251202 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $-5011.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | COP/USD FWD 20251202 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $17074.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | COP/USD FWD 20251205 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $-211275.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | COP/USD FWD 20251205 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $10503.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                     | COP/USD FWD 20251205 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $-4198.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | COP/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $86.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | COP/USD FWD 20260203 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $5315.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | COP/USD FWD 20260306 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $-11561.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | COP/USD FWD 20260306 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CO        |           1 | NC      | $-15216.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CORNERSTONE TL B 1L BANKDEBT                     | CORNERSTONE GENERATION L                                                        | CUSIP: 21924NAB4<br>LEI: 254900JBGAU2N55LVN75 | Long             | LON              | CORP              | US        |      485000 | PA      | $489597.80    | 0.08%             | 2032-08-11      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| CORPORACION INMOBILIARIA 144A                    | CORP INMOBILIARIA VESTA SAB DE CV                                               | CUSIP: 21989DAB8<br>LEI: 4469000001BIRIFZJ959 | Long             | DBT              | CORP              | MX        |      340000 | PA      | $342822.00    | 0.05%             | 2033-01-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CPM HOLDINGS TL 1L BANKDEBT                      | CPM HOLDINGS INC                                                                | CUSIP: 12620BAR1<br>LEI: 549300FBUISJCXV8IB65 | Long             | LON              | CORP              | US        |      259149 | PA      | $257692.90    | 0.04%             | 2028-09-28      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| TRUIST INSURANCE TL B 1L BANKDEBT                | CRC INSURANCE GROUP LLC                                                         | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      330444 | PA      | $330360.94    | 0.05%             | 2031-05-06      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| TRUIST INSURANCE HOLDING TL 2L BANKDEBT          | CRC INSURANCE GROUP LLC                                                         | CUSIP: 89788VAE2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      649737 | PA      | $656844.96    | 0.10%             | 2032-05-06      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE 144A                     | CRESCENT ENERGY FINANCE LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |      457000 | PA      | $433007.50    | 0.07%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE 144A                     | CRESCENT ENERGY FINANCE LLC                                                     | CUSIP: 45344LAD5<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |      190000 | PA      | $184775.00    | 0.03%             | 2032-04-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 A1 144A                            | CROSS 2024-H2 MORTGAGE TRUST                                                    | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69126 | PA      | $69769.42     | 0.01%             | 2069-04-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 A1 144A                            | CROSS 2024-H6 MORTGAGE TRUST                                                    | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      791604 | PA      | $791904.38    | 0.12%             | 2069-09-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 A1 144A                            | CROSS 2025-H4 MORTGAGE TRUST                                                    | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2559147 | PA      | $2577441.30   | 0.40%             | 2070-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H5 A1B 144A                           | CROSS 2025-H5 MORTGAGE TRUST                                                    | CUSIP: 227920AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      424454 | PA      | $426970.72    | 0.07%             | 2070-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| CRNPT 2018-7A AR 144A                            | CROWN POINT CLO 7 LTD                                                           | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      209582 | PA      | $209646.76    | 0.03%             | 2031-10-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 A5                                 | CSAIL 2016-C6 COMMERCIAL MORTGAGE TRUST                                         | CUSIP: 12636MAE8<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |      189276 | PA      | $188566.51    | 0.03%             | 2049-01-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C18 C                                 | CSAIL 2019-C18 COMMERCIAL MORTGAGE TRUST                                        | CUSIP: 12597DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      645000 | PA      | $601248.17    | 0.09%             | 2052-12-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| ALTICE TL B5 1L BANKDEBT                         | CSC HOLDINGS LLC                                                                | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |      614994 | PA      | $546194.52    | 0.08%             | 2027-04-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC 144A                            | CSC HOLDINGS LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      230000 | PA      | $198375.00    | 0.03%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC 144A                            | CSC HOLDINGS LLC                                                                | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      200000 | PA      | $155000.00    | 0.02%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| CSC HOLDINGS LLC 144A                            | CSC HOLDINGS LLC                                                                | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      200000 | PA      | $140000.00    | 0.02%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS HEALTH CORP                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      185000 | PA      | $193076.36    | 0.03%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS HEALTH CORP                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      837000 | PA      | $864189.11    | 0.13%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS HEALTH CORP                                                                 | CUSIP: 126650DV9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      725000 | PA      | $692386.60    | 0.11%             | 2053-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CYRUS 2024-2A A2 144A                            | CYRUSONE DATA CENTERS ISSUER I LLC                                              | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1275000 | PA      | $1249702.34   | 0.19%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CZK/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CZ        |           1 | NC      | $1424.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | CZK/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CZ        |           1 | NC      | $-1484.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRMT 2021-2 A3 144A                              | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                                     | CUSIP: 24381WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1047647 | PA      | $937680.93    | 0.14%             | 2066-04-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-1 D 144A                               | DELL EQUIPMENT FINANCE TRUST 2024-1                                             | CUSIP: 24702GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      175000 | PA      | $177919.60    | 0.03%             | 2030-09-23      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 D 144A                               | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      210000 | PA      | $211738.17    | 0.03%             | 2031-02-24      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 B 144A                               | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100898.32    | 0.02%             | 2030-08-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FORMULA ONE TL B1 1L BANKDEBT                    | DELTA 2 LUX SARL                                                                | CUSIP: 3469959L9<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |      200000 | PA      | $200000.00    | 0.03%             | 2031-09-10      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| INFOBLOX TL 2L BANKDEBT                          | DELTA TOPCO INC                                                                 | CUSIP: 24780DAH0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      524352 | PA      | $516921.88    | 0.08%             | 2030-11-29      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     1013000 | PA      | $972632.96    | 0.15%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      653000 | PA      | $669053.35    | 0.10%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC 144A                       | DIRECTV FINANCING LLC                                                           | CUSIP: 25461LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      165000 | PA      | $162731.25    | 0.03%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| DIRECTV TL B 1L BANKDEBT                         | DIRECTV FINANCING LLC                                                           | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      232660 | PA      | $230235.26    | 0.04%             | 2031-02-17      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC 144A                       | DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                        | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      230000 | PA      | $228275.00    | 0.04%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| DUCK CREEK TL B 1L BANKDEBT                      | DISCO PARENT INC                                                                | CUSIP: 25461GAB9<br>LEI: 2549003DLSZ9JWHH1Q80 | Long             | LON              | CORP              | US        |      205000 | PA      | $205768.75    | 0.03%             | 2032-08-06      | Floating      | 7.07%                 | No            |                  3 | On Loan: No      |
| DISH DBS CORP                                    | DISH DBS CORP                                                                   | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      230000 | PA      | $213900.00    | 0.03%             | 2028-07-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP 144A                               | DISH DBS CORP                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      415000 | PA      | $405143.75    | 0.06%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP 144A                               | DISH DBS CORP                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      235000 | PA      | $226187.50    | 0.03%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1A A4 144A                            | DLLST 2024-1 LLC                                                                | CUSIP: 23346HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      215000 | PA      | $216948.65    | 0.03%             | 2030-04-22      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC 144A                          | DOMINICAN REPUBLIC INTERNATIONAL BOND                                           | CUSIP: 25714PFF0<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      310000 | PA      | $308930.50    | 0.05%             | 2035-10-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| DRIVE 2025-2 B                                   | DRIVE AUTO RECEIVABLES TRUST 2025-2                                             | CUSIP: 262103AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      270000 | PA      | $269596.03    | 0.04%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| DRSLF 2021-93A BR 144A                           | DRYDEN 93 CLO LTD                                                               | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |     1100000 | PA      | $1102577.85   | 0.17%             | 2038-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| DYE & DURHAM CORP TL B 1L BANKDEBT               | DYE & DURHAM CORP                                                               | CUSIP: 000000000<br>LEI: 549300XUQDPIC5QRY347 | Long             | LON              | CORP              | CA        |      120000 | PA      | $108000.00    | 0.02%             | 2031-04-11      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| DYE & DURHAM LIMITED 144A                        | DYE & DURHAM LTD                                                                | CUSIP: 267486AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      225000 | PA      | $206156.25    | 0.03%             | 2029-04-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL 144A                    | EAGLE FUNDING LUXCO SARL                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |      690000 | PA      | $701343.60    | 0.11%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                    | ECHOSTAR CORP                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      906703 | PA      | $999640.06    | 0.15%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                             | EDISON INTERNATIONAL                                                            | CUSIP: 281020AS6<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |       17000 | PA      | $16893.75     | 0.00%             | N/A             | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| EFMT 2023-1 A2 144A                              | EFMT 2023-1                                                                     | CUSIP: 26844QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      326562 | PA      | $325895.46    | 0.05%             | 2068-02-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-INV2 A2 144A                           | EFMT 2024-INV2                                                                  | CUSIP: 26844LAB4<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |      445699 | PA      | $447065.58    | 0.07%             | 2069-10-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1 A1 144A                           | EFMT 2025-INV1                                                                  | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |      287744 | PA      | $289997.88    | 0.04%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV2 A1 144A                           | EFMT 2025-INV2                                                                  | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |      316175 | PA      | $317392.11    | 0.05%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV4 A1F 144A                          | EFMT 2025-INV4                                                                  | CUSIP: 26846DAD6<br>LEI: 254900KQZEY4W9F3MX66 | Long             | ABS-MBS          | CORP              | US        |      197319 | PA      | $197348.60    | 0.03%             | 2070-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM3 A1 144A                           | EFMT 2025-NQM3                                                                  | CUSIP: 26846YAC2<br>LEI: 2549007I2BIJP4S0O647 | Long             | ABS-MBS          | CORP              | US        |     1561129 | PA      | $1570120.13   | 0.24%             | 2070-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| EG AMERICA LLC TL B 1L BANKDEBT                  | EG AMERICA LLC                                                                  | CUSIP: 000000000<br>LEI: 549300BY1CRYVPEG9R57 | Long             | LON              | CORP              | US        |      347502 | PA      | $348589.31    | 0.05%             | 2028-02-07      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC 144A                       | EG GLOBAL FINANCE PLC                                                           | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |      265000 | PA      | $288207.11    | 0.04%             | 2028-11-30      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | EGP/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | EG        |           1 | NC      | $-158.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | EGP/USD FWD 20251202 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | EG        |           1 | NC      | $3958.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | EGP/USD FWD 20251202 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | EG        |           1 | NC      | $-287.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | EGP/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | EG        |           1 | NC      | $15.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | EGP/USD FWD 20260312 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | EG        |           1 | NC      | $93310.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EHGVT 2023-A C 144A                              | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      222064 | PA      | $229900.48    | 0.04%             | 2038-02-25      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A A 144A                              | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      165675 | PA      | $171561.60    | 0.03%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| EFMT 2021-2 A3 144A                              | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2                                       | CUSIP: 31572LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2355312 | PA      | $2027219.79   | 0.31%             | 2066-06-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC TL 2L BANKDEBT             | ELLUCIAN HOLDINGS INC                                                           | CUSIP: 83578B9H8<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |     1098297 | PA      | $1103788.01   | 0.17%             | 2032-11-22      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC TL B 1L BANKDEBT           | ELLUCIAN HOLDINGS INC                                                           | CUSIP: 28917XAB6<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |      285746 | PA      | $286437.68    | 0.04%             | 2029-10-09      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV 144A                        | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      490000 | PA      | $488482.47    | 0.08%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENGIE SA 144A                                    | ENGIE SA                                                                        | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |      475000 | PA      | $499385.55    | 0.08%             | 2034-04-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| DURAVANT TL 2L BANKDEBT                          | ENGINEERED MACHINERY HOLDINGS INC                                               | CUSIP: 26658NAQ2<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |      970000 | PA      | $970000.00    | 0.15%             | 2029-05-21      | Floating      | 10.26%                | No            |                  2 | On Loan: No      |
| EFF 2025-3 A3 144A                               | ENTERPRISE FLEET FINANCING 2025-3 LLC                                           | CUSIP: 29375UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      255000 | PA      | $258124.95    | 0.04%             | 2029-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR TL B 1L BANKDEBT                        | EOC BORROWER LLC                                                                | CUSIP: 26875YAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      269325 | PA      | $270318.81    | 0.04%             | 2032-03-24      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORP TL B 1L BANKDEBT            | EPICOR SOFTWARE CORP                                                            | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |     1003195 | PA      | $1005873.96   | 0.15%             | 2031-05-30      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | EUR/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-311.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | EUR/USD FWD 20260220 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $90.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | EUR/USD FWD 20260220 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3704.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OEZ5 EURO-BOBL FUTURE  DEC25                     | EURO-BOBL FUTURE  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         -20 | NC      | $-2263.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OEZ5 EURO-BOBL FUTURE  DEC25                     | EURO-BOBL FUTURE  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |          -2 | NC      | $-226.39      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| IKZ5 EURO-BTP FUTURE   DEC25                     | EURO-BTP FUTURE   DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         -60 | NC      | $-185032.47   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| RXZ5 EURO-BUND FUTURE  DEC25                     | EURO-BUND FUTURE  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |          -2 | NC      | $-180.28      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBZ5 EURO-BUXL 30Y BND DEC25                     | EURO-BUXL 30Y BND DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |           1 | NC      | $2481.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OATZ5 EURO-OAT FUTURE   DEC25                    | EURO-OAT FUTURE   DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |           3 | NC      | $3303.46      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DUZ5 EURO-SCHATZ FUT   DEC25                     | EURO-SCHATZ FUT   DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         -18 | NC      | $2674.99      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DUZ5 EURO-SCHATZ FUT   DEC25                     | EURO-SCHATZ FUT   DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |          -4 | NC      | $594.44       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EW SCRIPPS TL B2 1L BANKDEBT                     | EW SCRIPPS CO                                                                   | CUSIP: 26928BAQ2<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |      194868 | PA      | $196898.97    | 0.03%             | 2028-06-30      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| EW SCRIPPS CO TL B3 1L USD BANKDEBT              | EW SCRIPPS CO                                                                   | CUSIP: 26928BAR0<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |      292774 | PA      | $285015.21    | 0.04%             | 2029-11-30      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| EW SCRIPPS CO 144A                               | EW SCRIPPS CO/THE                                                               | CUSIP: 811054AH8<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |      405000 | PA      | $406518.75    | 0.06%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| EART 2023-1A D                                   | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1                                      | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      135000 | PA      | $137244.29    | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| EART 2025-4A B                                   | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4                                      | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      225000 | PA      | $226024.07    | 0.03%             | 2030-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EART 2025-4A C                                   | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4                                      | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      805000 | PA      | $807318.24    | 0.12%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| ESART 2025-2 C                                   | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                               | CUSIP: 30185EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      475000 | PA      | $480225.57    | 0.07%             | 2031-12-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ESART 2025-2 B                                   | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                               | CUSIP: 30185EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      230000 | PA      | $231966.80    | 0.04%             | 2031-11-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ESART 2025-3 B                                   | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-3                               | CUSIP: 30185FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      865000 | PA      | $865999.85    | 0.13%             | 2032-03-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| ESART 2025-3 C                                   | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-3                               | CUSIP: 30185FAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      830000 | PA      | $840244.44    | 0.13%             | 2032-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                               | EXPAND ENERGY CORP                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      685000 | PA      | $685440.46    | 0.11%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ESA 2025-ESH C 144A                              | EXTENDED STAY AMERICA TRUST 2025-ESH                                            | CUSIP: 30227TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      375000 | PA      | $376179.71    | 0.06%             | 2042-10-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNS 319 2                                        | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $11.42        | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                               | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6645000 | PA      | $5652649.19   | 0.87%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                               | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2160000 | PA      | $2155411.94   | 0.33%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                               | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3585000 | PA      | $3315572.01   | 0.51%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                               | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      745000 | PA      | $729243.01    | 0.11%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                               | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2520000 | PA      | $2399885.94   | 0.37%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                               | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7790000 | PA      | $6336885.65   | 0.98%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA DEC                               | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0204C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1435000 | PA      | $1326328.04   | 0.20%             | 2027-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                               | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3515000 | PA      | $3121373.01   | 0.48%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2109 | PA      | $2135.00      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140W3PV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1213062 | PA      | $1233193.02   | 0.19%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2416 | PA      | $2521.48      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10762 | PA      | $10266.02     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6683 | PA      | $6871.38      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3816 | PA      | $4026.11      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3054 | PA      | $3014.16      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3099 | PA      | $3185.20      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2395 | PA      | $2462.55      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1263365 | PA      | $1187886.90   | 0.18%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33688 | PA      | $34707.59     | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121491 | PA      | $104209.84    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49598 | PA      | $50093.86     | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35100 | PA      | $34833.51     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418Q3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30824 | PA      | $31757.02     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77526 | PA      | $77256.03     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         289 | PA      | $298.88       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2963736 | PA      | $2430284.31   | 0.37%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17990 | PA      | $17801.22     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4252 | PA      | $4099.96      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      317847 | PA      | $317768.98    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19802 | PA      | $19418.33     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2032587 | PA      | $2000326.27   | 0.31%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136917 | PA      | $127119.14    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138AKF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47185 | PA      | $48613.89     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      779432 | PA      | $812264.61    | 0.13%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4856 | PA      | $4694.83      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1531 | PA      | $1611.24      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QS3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      359046 | PA      | $361866.88    | 0.06%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10279 | PA      | $9773.34      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1161261 | PA      | $1003645.41   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12003 | PA      | $12121.01     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7382 | PA      | $7505.68      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         523 | PA      | $544.15       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      455901 | PA      | $427959.17    | 0.07%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7903 | PA      | $8345.18      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6ZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      763834 | PA      | $794418.98    | 0.12%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3842 | PA      | $3948.41      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418MWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11233 | PA      | $11667.69     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5126 | PA      | $4978.91      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 31418D6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1184068 | PA      | $1068861.23   | 0.16%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418MZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12482 | PA      | $13019.70     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19732 | PA      | $20073.92     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43915 | PA      | $42216.30     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3109 | PA      | $3283.53      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2389 | PA      | $2544.26      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      841583 | PA      | $881496.88    | 0.14%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         443 | PA      | $450.22       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4672 | PA      | $4443.75      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XMB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      265787 | PA      | $276505.04    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11866 | PA      | $12522.92     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9794 | PA      | $10090.21     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         850 | PA      | $862.47       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6127 | PA      | $5806.46      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XQXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      302338 | PA      | $309627.86    | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1212564 | PA      | $1045486.25   | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      787325 | PA      | $676543.85    | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          41 | PA      | $43.26        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9265 | PA      | $9364.18      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138Y32E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27614 | PA      | $26933.74     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41463 | PA      | $39720.90     | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EMKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20713 | PA      | $21340.07     | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1284851 | PA      | $1143135.02   | 0.18%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         174 | PA      | $178.79       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5366 | PA      | $5599.70      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2518 | PA      | $2556.76      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1172655 | PA      | $1011081.85   | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      769227 | PA      | $693600.27    | 0.11%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1007 | PA      | $1035.24      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9501 | PA      | $9184.73      | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3138E2MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3747 | PA      | $3719.09      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         604 | PA      | $631.88       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         390 | PA      | $399.09       | 0.00%             | 2036-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         863 | PA      | $899.74       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410DUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1259 | PA      | $1319.75      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      961589 | PA      | $977159.34    | 0.15%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EG6X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         360 | PA      | $376.60       | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1149 | PA      | $1213.53      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410GL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1719 | PA      | $1801.20      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      314464 | PA      | $283698.08    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6518 | PA      | $6331.18      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1241 | PA      | $1270.80      | 0.00%             | 2035-11-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      144630 | PA      | $142262.83    | 0.02%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      582515 | PA      | $572909.06    | 0.09%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      966228 | PA      | $797996.34    | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45673 | PA      | $46162.90     | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416BM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16531 | PA      | $16891.30     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138E3AV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59341 | PA      | $58301.81     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1738 | PA      | $1768.01      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      870996 | PA      | $805597.46    | 0.12%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2478 | PA      | $2407.12      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8862 | PA      | $9248.26      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1196 | PA      | $1207.76      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31408BQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         204 | PA      | $208.15       | 0.00%             | 2035-12-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419AQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3769 | PA      | $3714.47      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10110 | PA      | $10236.78     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1581 | PA      | $1608.22      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138ELX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10128 | PA      | $10695.45     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73625 | PA      | $72943.92     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17915 | PA      | $17621.87     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38158 | PA      | $37063.93     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QBUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115168 | PA      | $114407.46    | 0.02%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      439652 | PA      | $364190.51    | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2096 | PA      | $2130.80      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23581 | PA      | $23454.70     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EJXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8013 | PA      | $7873.83      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2874 | PA      | $2831.20      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86907 | PA      | $83862.01     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2366 | PA      | $2326.75      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134781 | PA      | $125133.04    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160270 | PA      | $137342.16    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2718987 | PA      | $2225119.49   | 0.34%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14637 | PA      | $14213.95     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417F4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10302 | PA      | $9533.91      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1540210 | PA      | $1580846.19   | 0.24%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140A94B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1170823 | PA      | $1188894.56   | 0.18%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      906670 | PA      | $751042.69    | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3138WJVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78479 | PA      | $75913.02     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1198120 | PA      | $982338.64    | 0.15%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12186 | PA      | $12295.08     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      711276 | PA      | $591861.67    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143984 | PA      | $139775.18    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3138ETRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28774 | PA      | $28542.47     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         818 | PA      | $839.75       | 0.00%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1790 | PA      | $1812.20      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22911 | PA      | $23104.11     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2604 | PA      | $2717.39      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J93L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3759 | PA      | $3572.99      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140JAMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      187309 | PA      | $186415.84    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      259195 | PA      | $240708.56    | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2789 | PA      | $2942.22      | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      590591 | PA      | $583103.00    | 0.09%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140LVQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      765287 | PA      | $708530.03    | 0.11%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1486 | PA      | $1550.60      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72073 | PA      | $71777.12     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10177 | PA      | $9885.48      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20166 | PA      | $20369.83     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138ERHS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105246 | PA      | $100849.68    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8170 | PA      | $8033.36      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2186 | PA      | $2222.54      | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      767902 | PA      | $793025.84    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         407 | PA      | $429.98       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31415QP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7950 | PA      | $8296.43      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416BL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25065 | PA      | $26468.97     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         727 | PA      | $734.10       | 0.00%             | 2035-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3408 | PA      | $3468.24      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5467 | PA      | $5705.08      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2096 | PA      | $2133.62      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10592 | PA      | $10371.46     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         676 | PA      | $701.75       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28144 | PA      | $28645.06     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17683 | PA      | $16571.94     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         324 | PA      | $339.38       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419ADV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2340 | PA      | $2413.72      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8416 | PA      | $8504.92      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35071 | PA      | $32559.83     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98228 | PA      | $102586.09    | 0.02%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138XMF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127043 | PA      | $124346.23    | 0.02%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114865 | PA      | $104926.13    | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2031 | PA      | $2130.92      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      750426 | PA      | $614790.09    | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48307 | PA      | $45570.93     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10208 | PA      | $9737.57      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QTEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      333744 | PA      | $342210.57    | 0.05%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7366 | PA      | $7114.74      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417UEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7417 | PA      | $7508.75      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31400B5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $27.19        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140X6GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127699 | PA      | $129118.17    | 0.02%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      871753 | PA      | $854786.01    | 0.13%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4435 | PA      | $4628.11      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      612918 | PA      | $566510.23    | 0.09%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140X6Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63924 | PA      | $63325.47     | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417YTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2545 | PA      | $2505.10      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418MZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2674 | PA      | $2714.02      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13715 | PA      | $14484.35     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3037 | PA      | $2820.34      | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         232 | PA      | $244.82       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11571 | PA      | $11920.88     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12711 | PA      | $12508.17     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         840 | PA      | $887.06       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58097 | PA      | $59706.29     | 0.01%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416CJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22746 | PA      | $24020.97     | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      392950 | PA      | $409305.27    | 0.06%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         348 | PA      | $355.51       | 0.00%             | 2037-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18960 | PA      | $19141.58     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      976790 | PA      | $992399.90    | 0.15%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         630 | PA      | $654.80       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17587 | PA      | $17627.04     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         963 | PA      | $1011.56      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140W3GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      324492 | PA      | $330151.73    | 0.05%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5814 | PA      | $5900.70      | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      321705 | PA      | $322395.83    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10101 | PA      | $10540.77     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140W3RE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1012555 | PA      | $1050309.84   | 0.16%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2965 | PA      | $3013.94      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      834081 | PA      | $709440.34    | 0.11%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1541 | PA      | $1560.61      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12021 | PA      | $12234.70     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1394 | PA      | $1402.83      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140JLY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14244 | PA      | $13768.03     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6397 | PA      | $6301.20      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      817470 | PA      | $830196.17    | 0.13%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1787 | PA      | $1864.30      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12748 | PA      | $12861.02     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         813 | PA      | $830.98       | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12034 | PA      | $12223.85     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1471 | PA      | $1533.27      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1576 | PA      | $1601.58      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4975 | PA      | $5254.14      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2229 | PA      | $2353.84      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92571 | PA      | $95266.60     | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17562 | PA      | $18546.29     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7170 | PA      | $7139.06      | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101592 | PA      | $88360.33     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68226 | PA      | $67833.97     | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36665 | PA      | $37691.47     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410GA78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2402 | PA      | $2430.82      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3036 | PA      | $3120.42      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58250 | PA      | $59949.01     | 0.01%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51248 | PA      | $52825.18     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8742 | PA      | $8514.44      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40152 | PA      | $39083.50     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410K3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45619 | PA      | $47978.87     | 0.01%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6425 | PA      | $6100.35      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91663 | PA      | $83507.16     | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410ELD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         643 | PA      | $675.94       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1412 | PA      | $1491.09      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EPH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36285 | PA      | $37382.42     | 0.01%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1903074 | PA      | $1559826.50   | 0.24%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1826 | PA      | $1927.32      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WGJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25853 | PA      | $24556.23     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      366854 | PA      | $377280.93    | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EQLC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26347 | PA      | $26623.53     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235275 | PA      | $240016.58    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EHPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3428 | PA      | $3432.48      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19012 | PA      | $18016.85     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2457 | PA      | $2445.44      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      165346 | PA      | $169247.46    | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XJHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1918353 | PA      | $1862248.22   | 0.29%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1833 | PA      | $1912.41      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21933 | PA      | $21291.45     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5995 | PA      | $6331.47      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      290610 | PA      | $238302.52    | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416CHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           8 | PA      | $8.54         | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6W48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1222215 | PA      | $1260186.64   | 0.19%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82771 | PA      | $83572.82     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31408DT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1662 | PA      | $1697.16      | 0.00%             | 2035-12-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17513 | PA      | $18019.70     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      150103 | PA      | $149795.27    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3704 | PA      | $3905.98      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      309760 | PA      | $314821.56    | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         327 | PA      | $340.94       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6861 | PA      | $7244.80      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3302 | PA      | $3487.01      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1902 | PA      | $1933.04      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91811 | PA      | $92547.05     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7707 | PA      | $7567.28      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20158 | PA      | $19630.89     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5500 | PA      | $5369.24      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1240 | PA      | $1309.28      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140XK6P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1122033 | PA      | $1063396.24   | 0.16%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34781 | PA      | $34136.30     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      358554 | PA      | $298356.52    | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23753 | PA      | $21698.11     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16426 | PA      | $16588.80     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QTLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343592 | PA      | $356896.87    | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XMBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2083128 | PA      | $1785117.12   | 0.28%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1901116 | PA      | $1558422.49   | 0.24%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4910 | PA      | $4726.60      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140Y67K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      383390 | PA      | $398932.98    | 0.06%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49944 | PA      | $41371.65     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5638 | PA      | $5383.17      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10703 | PA      | $11271.27     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $82.76        | 0.00%             | 2035-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33424 | PA      | $28729.37     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31383JVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         116 | PA      | $121.77       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3298 | PA      | $3482.31      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      565861 | PA      | $486251.44    | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1101029 | PA      | $901810.20    | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EHGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15505 | PA      | $15651.59     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1215679 | PA      | $1045984.01   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2660 | PA      | $2691.53      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62458 | PA      | $60603.62     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4190 | PA      | $4242.52      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11248 | PA      | $11737.71     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115988 | PA      | $113957.08    | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1749659 | PA      | $1816532.48   | 0.28%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                         | FANNIE MAE POOL                                                                 | CUSIP: 31408GJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         248 | PA      | $252.12       | 0.00%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31417YTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14583 | PA      | $14739.59     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31411CNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         565 | PA      | $585.83       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2948 | PA      | $3031.49      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48551 | PA      | $48935.22     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10894 | PA      | $10703.52     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21423 | PA      | $22625.18     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      335343 | PA      | $277792.92    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2023-2 DI                                    | FANNIE MAE REMICS                                                               | CUSIP: 3136BPUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4588509 | PA      | $585279.41    | 0.09%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-97 AI                                   | FANNIE MAE REMICS                                                               | CUSIP: 3136BDEF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2243364 | PA      | $313862.80    | 0.05%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-89 DI                                   | FANNIE MAE REMICS                                                               | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7591133 | PA      | $1231596.10   | 0.19%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2020-75 BI                                   | FANNIE MAE REMICS                                                               | CUSIP: 3136BCJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2903843 | PA      | $383291.84    | 0.06%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FERRARI NV                                       | FERRARI NV                                                                      | CUSIP: YX0724154<br>LEI: 549300RIVY5EX8RCON76 | Long             | DBT              | CORP              | NL        |      275000 | PA      | $326907.73    | 0.05%             | 2030-05-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC APODS 6.7 31 02/23/26 CHAS_C                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $13945.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC ARCC 5.1 31 02/23/26 CHAS_C                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $14859.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC ARCC 5.8 32 02/23/26 CHAS_C                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $3708.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC ARESSI 5.8 30 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $3220.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC BCSF 5.95 30 02/23/26 CHAS_C                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $2830.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC BXSL 5.125 31 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $3770.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC CGBD 5.75 31 02/23/26 CHAS_C                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $2476.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC GSCRED 5.875 31 02/23/26 CHAS_C                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1386.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC HLEND 5.45 30 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $4940.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC HTGC 6 30 02/23/26 CHAS_C                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $6648.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OBDC 5.95 29 02/23/26 CHAS_C                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $14558.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OBDC 6.2 30 02/23/26 CHAS_C                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $30007.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OCINCC 5.8 30 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $5352.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OCINCC 5.8 30 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $5352.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OCINCC 6.6 29 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $5709.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OCINCC 6.6 29 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $5709.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | FI TRS REC OCINCC 6.65 31 02/23/26 CHAS_C                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $7228.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | FI TRS USD PAY IBOXHY 12/20/25 MSLN_C                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-426555.09   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                     | FI TRS USD PAY IBXXLLTR 03/20/26/115512102/MSLNGB2XXXX_C                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-50240.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FIBRA PROLOGIS 144A                              | FIBRA PROLOGIS                                                                  | CUSIP: 31575KAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      260000 | PA      | $259279.80    | 0.04%             | 2035-11-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FILTRATION GROUP TL B 1L BANKDEBT                | FILTRATION GROUP CORP                                                           | CUSIP: 31732FAX4<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |      658611 | PA      | $662233.78    | 0.10%             | 2028-10-23      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                 | FIRSTENERGY CORP                                                                | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      116000 | PA      | $105023.96    | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                 | FIRSTENERGY CORP                                                                | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      640000 | PA      | $594090.24    | 0.09%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                         | FIRSTENERGY TRANSMISSION LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      230000 | PA      | $230587.19    | 0.04%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                       | FISERV INC                                                                      | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     1660000 | PA      | $1641100.90   | 0.25%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II 144A                      | FIVE CORNERS FUNDING TRUST II                                                   | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      301000 | PA      | $283596.18    | 0.04%             | 2030-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FSMT 2017-2 B1 144A                              | FLAGSTAR MORTGAGE TRUST 2017-2                                                  | CUSIP: 33850RAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207291 | PA      | $193249.93    | 0.03%             | 2047-10-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FSMT 2019-1INV A3 144A                           | FLAGSTAR MORTGAGE TRUST 2019-1                                                  | CUSIP: 33852AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45710 | PA      | $41765.29     | 0.01%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC 144A                        | FLUTTER TREASURY DAC                                                            | CUSIP: 344045AA7<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |      655000 | PA      | $676387.06    | 0.10%             | 2029-04-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC 144A                        | FLUTTER TREASURY DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |      200000 | PA      | $201854.60    | 0.03%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORDL 2023-B C                                   | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $402533.60    | 0.06%             | 2027-04-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FORDL 2023-B D                                   | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      330000 | PA      | $332955.74    | 0.05%             | 2028-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                         | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      315000 | PA      | $319701.06    | 0.05%             | 2030-09-05      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                         | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      725000 | PA      | $741146.48    | 0.11%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS 144A                    | FORTITUDE GROUP HOLDINGS LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |      495000 | PA      | $513189.27    | 0.08%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                       | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $215300.80    | 0.03%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                       | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $211792.60    | 0.03%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                       | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AE3<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      285000 | PA      | $306164.39    | 0.05%             | 2038-01-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                       | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $213196.60    | 0.03%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2158 | PA      | $2280.37      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7065 | PA      | $7162.40      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1427 | PA      | $1406.45      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1859 | PA      | $1959.62      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60850 | PA      | $58123.72     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3506 | PA      | $3650.46      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         110 | PA      | $108.65       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1546 | PA      | $1563.94      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14529 | PA      | $14725.42     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2558 | PA      | $2582.91      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         488 | PA      | $502.80       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         569 | PA      | $551.15       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2918 | PA      | $2874.03      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      770549 | PA      | $737780.18    | 0.11%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292LV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16697 | PA      | $15987.29     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30109 | PA      | $27535.52     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3299 | PA      | $3344.09      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1383 | PA      | $1439.86      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3474 | PA      | $3583.64      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19240 | PA      | $20048.57     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28878 | PA      | $28437.43     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20844 | PA      | $21499.31     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                                        | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8185 | PA      | $8016.48      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         305 | PA      | $300.06       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2215 | PA      | $2241.35      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3616 | PA      | $3657.17      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1142 | PA      | $1177.39      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1197 | PA      | $1180.61      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.54        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          89 | PA      | $93.57        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         434 | PA      | $438.19       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJ3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73109 | PA      | $66656.09     | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $38.07        | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5281 | PA      | $5446.89      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         835 | PA      | $840.66       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19917 | PA      | $19032.47     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2076 | PA      | $2174.23      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4172 | PA      | $4327.73      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5236 | PA      | $5291.65      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43029 | PA      | $44844.92     | 0.01%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                                  | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53216 | PA      | $51859.89     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335CJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      167879 | PA      | $165130.22    | 0.03%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1360 | PA      | $1371.71      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16104 | PA      | $16302.04     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6312 | PA      | $6215.95      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          88 | PA      | $92.21        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44781 | PA      | $45285.12     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2910 | PA      | $2851.14      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50053 | PA      | $47503.69     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1932508 | PA      | $1847527.75   | 0.28%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         521 | PA      | $534.86       | 0.00%             | 2037-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1036 | PA      | $1066.49      | 0.00%             | 2036-11-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         231 | PA      | $237.17       | 0.00%             | 2036-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         811 | PA      | $839.26       | 0.00%             | 2036-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          77 | PA      | $78.99        | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          94 | PA      | $96.20        | 0.00%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1265 | PA      | $1298.88      | 0.00%             | 2036-03-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG 30YR ARM                       | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1743 | PA      | $1789.31      | 0.00%             | 2034-11-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         598 | PA      | $610.20       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                        | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          78 | PA      | $79.70        | 0.00%             | 2035-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      341082 | PA      | $347621.00    | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133ANKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      330978 | PA      | $288459.98    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      186681 | PA      | $180348.65    | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1010380 | PA      | $826855.15    | 0.13%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3132CWG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45357 | PA      | $44079.47     | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69091 | PA      | $71256.93     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      137783 | PA      | $133609.12    | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1388845 | PA      | $1199514.92   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132A4LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95856 | PA      | $98758.28     | 0.02%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3132CWAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29725 | PA      | $29447.56     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3133GEL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      486730 | PA      | $451093.55    | 0.07%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3132D9LJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      270048 | PA      | $254823.72    | 0.04%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 31427PXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      377396 | PA      | $392971.03    | 0.06%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DSE24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1124808 | PA      | $1129228.56   | 0.17%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      327098 | PA      | $333689.09    | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3132CW4G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      206335 | PA      | $203881.29    | 0.03%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3142GVGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1921923 | PA      | $1973324.32   | 0.30%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3132A9UX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      108733 | PA      | $107630.11    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132E0A77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1270796 | PA      | $1302031.76   | 0.20%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133CUVX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      104964 | PA      | $109178.58    | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 31427QJ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      418657 | PA      | $419436.57    | 0.06%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1382622 | PA      | $1132806.52   | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DUCT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      323840 | PA      | $323689.52    | 0.05%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3142GVJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      698541 | PA      | $726517.18    | 0.11%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      930186 | PA      | $798873.98    | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3142GVJY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2410823 | PA      | $2456638.13   | 0.38%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DMZ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1956884 | PA      | $1770445.00   | 0.27%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DTZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      418579 | PA      | $426372.23    | 0.07%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DQ6R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      355057 | PA      | $293237.23    | 0.05%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133CTLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      364467 | PA      | $370745.38    | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1154147 | PA      | $1106254.37   | 0.17%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 31425VMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       64641 | PA      | $66780.81     | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      662400 | PA      | $679516.37    | 0.10%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DQLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      249239 | PA      | $250455.58    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KHDK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      127544 | PA      | $123335.85    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DNAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      706915 | PA      | $587787.72    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      165120 | PA      | $169543.68    | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3233394 | PA      | $2765756.81   | 0.43%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DVE92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      971848 | PA      | $998382.83    | 0.15%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132ACSZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      919337 | PA      | $867802.36    | 0.13%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KNGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      698349 | PA      | $577931.89    | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      638668 | PA      | $641074.58    | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72306 | PA      | $71547.55     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      456298 | PA      | $411713.11    | 0.06%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3142GS4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79520 | PA      | $81412.21     | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1016333 | PA      | $891896.59    | 0.14%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133APQD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1197928 | PA      | $1026926.60   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133WGCK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32242 | PA      | $33164.89     | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DPUZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      471127 | PA      | $490855.76    | 0.08%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                        | FREDDIE MAC POOL                                                                | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34668 | PA      | $34041.02     | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DTFE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      353291 | PA      | $361835.17    | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      454892 | PA      | $389671.57    | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      398988 | PA      | $408638.22    | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3000889 | PA      | $2671205.34   | 0.41%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3142GSB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135284 | PA      | $139515.08    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 5000 UI                                      | FREDDIE MAC REMICS                                                              | CUSIP: 3137FVHM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3506994 | PA      | $602799.62    | 0.09%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 5086 MI                                      | FREDDIE MAC REMICS                                                              | CUSIP: 3137FFHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5438357 | PA      | $858682.37    | 0.13%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 5293 KI                                      | FREDDIE MAC REMICS                                                              | CUSIP: 3137H9QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1665266 | PA      | $220677.92    | 0.03%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA3 M1 144A                          | FREDDIE MAC STACR REMIC TRUST 2025-DNA3                                         | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |      284024 | PA      | $283833.74    | 0.04%             | 2045-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| STACR 2018-SPI2 M2 144A                          | FREDDIE MAC STACR SECURITIZED PARTICIPATION INTERESTS TRUST 2018-SPI2           | CUSIP: 3137G1CT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2280 | PA      | $2215.43      | 0.00%             | 2048-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHS 199 PO                                       | FREDDIE MAC STRIPS                                                              | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          26 | PA      | $25.15        | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHS 379 C1                                       | FREDDIE MAC STRIPS                                                              | CUSIP: 3142FRPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2589120 | PA      | $258597.02    | 0.04%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FWLS 2017-SC01 M1 144A                           | FREDDIE MAC WHOLE LOAN SECURITIES TRUST                                         | CUSIP: 3137G1BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70012 | PA      | $69117.07     | 0.01%             | 2046-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FYBR 2024-1 A2 144A                              | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      210000 | PA      | $216688.56    | 0.03%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| FYBR 2023-1 C 144A                               | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1174848 | PA      | $1214572.43   | 0.19%             | 2053-08-20      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| FYBR 2024-1 C 144A                               | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1462109 | PA      | $1638309.07   | 0.25%             | 2054-06-20      | Fixed         | 11.16%                | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL 144A                          | FS LUXEMBOURG SARL                                                              | CUSIP: 30315XAC8<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |      580000 | PA      | $600115.56    | 0.09%             | 2031-02-12      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST 144A                     | GA GLOBAL FUNDING TRUST                                                         | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      830000 | PA      | $845346.70    | 0.13%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GALDERMA FINANCE EUROPE                          | GALDERMA FINANCE EUROPE BV                                                      | CUSIP: YQ2652101<br>LEI: 7245004RN4I1ORSTHY93 | Long             | DBT              | CORP              | NL        |      270000 | PA      | $317144.89    | 0.05%             | 2030-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GFMT 2018-1 A33 144A                             | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27637 | PA      | $25378.66     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | GBP/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | GB        |           1 | NC      | $3557.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | GBP/USD FWD 20260220 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-33265.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | GBP/USD FWD 20260220 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-14221.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GC TREASURY CENTRE CO 144A                       | GC TREASURY CENTER CO LTD                                                       | CUSIP: 36830AAD9<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |      200000 | PA      | $203696.25    | 0.03%             | N/A             | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| GC TREASURY CENTRE CO 144A                       | GC TREASURY CENTER CO LTD                                                       | CUSIP: 36830AAB3<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |      200000 | PA      | $201311.54    | 0.03%             | N/A             | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 A2 144A                           | GCAT 2021-NQM3 TRUST                                                            | CUSIP: 36167HAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      397025 | PA      | $352496.84    | 0.05%             | 2066-05-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XFL5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      280000 | PA      | $279900.88    | 0.04%             | 2028-10-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      181000 | PA      | $195017.73    | 0.03%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                                  | GINNIE MAE                                                                      | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3525000 | PA      | $3520761.19   | 0.54%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                                  | GINNIE MAE                                                                      | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      450000 | PA      | $458640.11    | 0.07%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                                  | GINNIE MAE                                                                      | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2165000 | PA      | $2186385.11   | 0.34%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                                  | GINNIE MAE                                                                      | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2520000 | PA      | $2464333.58   | 0.38%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14271 | PA      | $14693.52     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9643 | PA      | $9916.09      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                               | CUSIP: 36181BV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3255 | PA      | $3058.99      | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                               | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4676 | PA      | $4794.87      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53401 | PA      | $50256.23     | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7165 | PA      | $7358.02      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14606 | PA      | $14611.35     | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14271 | PA      | $14693.52     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                               | CUSIP: 36179DEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2875 | PA      | $2692.27      | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27238 | PA      | $28048.72     | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                       | GINNIE MAE I POOL                                                               | CUSIP: 36180CYU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4245 | PA      | $3973.78      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2198 | PA      | $2222.43      | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13394 | PA      | $12343.40     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9561 | PA      | $9790.06      | 0.00%             | 2035-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      343744 | PA      | $298449.94    | 0.05%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      431803 | PA      | $375059.47    | 0.06%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179VHU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      337612 | PA      | $324321.01    | 0.05%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2407 | PA      | $2433.60      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15058 | PA      | $15103.47     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79050 | PA      | $81524.73     | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37310 | PA      | $35356.36     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1622632 | PA      | $1597068.47   | 0.25%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 3622A3BS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       82770 | PA      | $79045.94     | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      205400 | PA      | $205486.84    | 0.03%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16966 | PA      | $17443.16     | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14315 | PA      | $14472.89     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22271 | PA      | $23073.98     | 0.00%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31902 | PA      | $32977.85     | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      600430 | PA      | $521309.39    | 0.08%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38093 | PA      | $34429.32     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      521002 | PA      | $476365.89    | 0.07%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30283 | PA      | $30611.41     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7899 | PA      | $7144.26      | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      107563 | PA      | $100792.08    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38888 | PA      | $39578.80     | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2177582 | PA      | $1813356.27   | 0.28%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2026 | PA      | $2087.11      | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32175 | PA      | $29040.58     | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11033 | PA      | $11390.33     | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      511306 | PA      | $461466.82    | 0.07%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2899 | PA      | $2828.58      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77737 | PA      | $79498.14     | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2355546 | PA      | $1961504.41   | 0.30%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30071 | PA      | $30936.85     | 0.00%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36193VJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17145 | PA      | $15501.88     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16676 | PA      | $15093.25     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32336 | PA      | $33249.59     | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68726 | PA      | $70282.87     | 0.01%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12059 | PA      | $12192.91     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28203 | PA      | $28515.84     | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1916958 | PA      | $1832652.24   | 0.28%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53956 | PA      | $55162.44     | 0.01%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9727 | PA      | $9891.28      | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11759 | PA      | $11217.01     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4461 | PA      | $4472.78      | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8816 | PA      | $7978.95      | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      123457 | PA      | $125193.04    | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36194CT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14315 | PA      | $12946.74     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14190 | PA      | $13190.78     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      170394 | PA      | $170181.28    | 0.03%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44543 | PA      | $41903.82     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9445 | PA      | $9543.52      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1058589 | PA      | $881484.78    | 0.14%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5392 | PA      | $5533.70      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67083 | PA      | $68603.07     | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      103073 | PA      | $97665.54     | 0.02%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2808 | PA      | $2739.64      | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      262816 | PA      | $270038.32    | 0.04%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      146878 | PA      | $150993.03    | 0.02%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      377389 | PA      | $336410.81    | 0.05%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       76251 | PA      | $71356.82     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1001901 | PA      | $869877.71    | 0.13%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36193VJC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22791 | PA      | $20613.28     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3514 | PA      | $3552.98      | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21288 | PA      | $21850.42     | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75384 | PA      | $70631.63     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19862 | PA      | $18341.06     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202EFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29946 | PA      | $31025.00     | 0.00%             | 2035-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      410152 | PA      | $356624.72    | 0.05%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      213672 | PA      | $214730.27    | 0.03%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9614 | PA      | $9720.67      | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      795694 | PA      | $690844.28    | 0.11%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18684 | PA      | $19106.77     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20333 | PA      | $20743.75     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1425703 | PA      | $1306292.54   | 0.20%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8591 | PA      | $7658.32      | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10286 | PA      | $10279.47     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         266 | PA      | $274.26       | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36194PGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18383 | PA      | $16638.02     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      999186 | PA      | $1002540.81   | 0.15%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      231014 | PA      | $237513.26    | 0.04%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17120 | PA      | $15483.64     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25804 | PA      | $24609.76     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36183EZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19477 | PA      | $18249.91     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36193VGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12651 | PA      | $11449.88     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8385 | PA      | $8611.11      | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      305950 | PA      | $265634.96    | 0.04%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77020 | PA      | $78765.08     | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43439 | PA      | $40094.71     | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23759 | PA      | $24561.03     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      117550 | PA      | $121087.47    | 0.02%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13558 | PA      | $12262.18     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         119 | PA      | $124.04       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41626 | PA      | $38435.20     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1743089 | PA      | $1633304.91   | 0.25%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2914 | PA      | $3000.85      | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4561 | PA      | $4664.77      | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36194CTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36521 | PA      | $33030.76     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36193VJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10245 | PA      | $9272.23      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36183W6J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      101404 | PA      | $93452.25     | 0.01%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      164080 | PA      | $145652.70    | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      236727 | PA      | $225771.07    | 0.03%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13278 | PA      | $13676.27     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74343 | PA      | $69023.82     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44082 | PA      | $41305.42     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      433448 | PA      | $376332.93    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                    | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6293 | PA      | $6459.35      | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP CAPITAL LP / GLP FINANCING II INC                                           | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      645000 | PA      | $645185.76    | 0.10%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GMCAR 2023-1  B                                  | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-1                       | CUSIP: 38013JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      290000 | PA      | $292370.92    | 0.05%             | 2028-09-18      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GMCAR 2023-3 B                                   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3                       | CUSIP: 36267KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      155000 | PA      | $157940.74    | 0.02%             | 2029-01-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| GMCAR 2023-3 C                                   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3                       | CUSIP: 36267KAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      255000 | PA      | $260034.41    | 0.04%             | 2029-02-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GFORT 2023-1 B 144A                              | GMF FLOORPLAN OWNER REVOLVING TRUST                                             | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1555000 | PA      | $1566111.41   | 0.24%             | 2028-06-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL CAP FND                            | GOLUB CAPITAL PRIVATE CREDIT FUND                                               | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |     1027000 | PA      | $1037335.73   | 0.16%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| FOCUS 2017-1A A2II 144A                          | GOTO FOODS FUNDING LLC                                                          | CUSIP: 34417MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1706475 | PA      | $1697838.36   | 0.26%             | 2047-04-30      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FOCUS 2022-1 A2 144A                             | GOTO FOODS FUNDING LLC                                                          | CUSIP: 34417RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1480275 | PA      | $1494450.71   | 0.23%             | 2052-07-30      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| GNR 2013-82 IG                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70834 | PA      | $10161.02     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2020-181 WI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1718958 | PA      | $192528.28    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-184 JH                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10548 | PA      | $9805.59      | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2016-118 DI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380AVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       86507 | PA      | $6001.66      | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2022-63 LM                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      460000 | PA      | $396774.75    | 0.06%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2023-55 EI                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383X3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6492577 | PA      | $932428.89    | 0.14%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2018-8 DA                                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12497 | PA      | $11849.19     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-24 OI                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15957 | PA      | $2541.10      | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2020-173 MI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3292941 | PA      | $473602.61    | 0.07%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2021-57 AI                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382QAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2232393 | PA      | $263303.14    | 0.04%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2021-96 VI                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382UG39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1282566 | PA      | $182265.40    | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC 144A                              | GRAY MEDIA INC                                                                  | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      330000 | PA      | $340725.00    | 0.05%             | 2032-07-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| GSMS 2016-GS4 A3                                 | GS MORTGAGE SECURITIES TRUST 2016-GS4                                           | CUSIP: 36251XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1037313 | PA      | $1028113.66   | 0.16%             | 2049-11-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| GSMS 2017-GS8 D 144A                             | GS MORTGAGE SECURITIES TRUST 2017-GS8                                           | CUSIP: 36254KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1025000 | PA      | $807563.57    | 0.12%             | 2050-11-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GSMBS 2021-GR2 A4 144A                           | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                    | CUSIP: 36262JAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1251540 | PA      | $1046778.34   | 0.16%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INF CAP                           | HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                       | CUSIP: 41068XAG5<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |      393000 | PA      | $399877.50    | 0.06%             | 2056-06-01      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| HARB 2018-1A CR2 144A                            | HARBOR PARK CLO LTD                                                             | CUSIP: 41154XBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1375000 | PA      | $1374309.48   | 0.21%             | 2031-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC 144A                          | HARBOUR ENERGY PLC                                                              | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |      790000 | PA      | $809845.59    | 0.12%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HNGRY 2024-1A A2 144A                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      486179 | PA      | $503218.43    | 0.08%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HNGRY 2020-1A A2 144A                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1909762 | PA      | $1843633.92   | 0.28%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT 144A                      | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                        | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1125000 | PA      | $1039218.75   | 0.16%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| HAT HOLDINGS I LLC/HAT 144A                      | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                        | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      227000 | PA      | $235512.50    | 0.04%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HEALTH AND HAPPINESS H&H                         | HEALTH & HAPPINESS H&H INTERNATIONAL HOLDINGS LTD                               | CUSIP: YS7023080<br>LEI: 2138007WU5DJFZFDDV59 | Long             | DBT              | CORP              | KY        |     1000000 | PA      | $1060151.78   | 0.16%             | 2028-07-24      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                             | HEATHROW FUNDING LTD                                                            | CUSIP: AX5204471<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |      578000 | PA      | $582762.56    | 0.09%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                             | HEATHROW FUNDING LTD                                                            | CUSIP: YS5265238<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |      120000 | PA      | $137590.59    | 0.02%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC TL B 1L USD BANKDEBT       | HIGHTOWER HOLDING LLC                                                           | CUSIP: 43117LAP8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | LON              | CORP              | US        |      513062 | PA      | $512421.17    | 0.08%             | 2032-02-03      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC 144A                       | HIGHTOWER HOLDING LLC                                                           | CUSIP: 43118DAB6<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |      315000 | PA      | $331537.50    | 0.05%             | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| HILCORP TL B 1L BANKDEBT                         | HILCORP ENERGY I LP                                                             | CUSIP: 431319AH5<br>LEI: 549300ITPIHLG0LHEC09 | Long             | LON              | CORP              | US        |     1610309 | PA      | $1610309.36   | 0.25%             | 2030-02-11      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP 144A                    | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      190000 | PA      | $180500.00    | 0.03%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP 144A                    | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      524000 | PA      | $537100.00    | 0.08%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| HILT 2024-ORL B 144A                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                         | CUSIP: 403956AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      805000 | PA      | $805250.68    | 0.12%             | 2037-05-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| HGVT 2020-AA C 144A                              | HILTON GRAND VACATIONS TRUST 2020-A                                             | CUSIP: 43285HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       22427 | PA      | $22724.47     | 0.00%             | 2039-02-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| HPA 2022-1 D 144A                                | HOME PARTNERS OF AMERICA 2022-1 TRUST                                           | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1750315 | PA      | $1733846.97   | 0.27%             | 2039-04-17      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| HPA 2022-1 A 144A                                | HOME PARTNERS OF AMERICA 2022-1 TRUST                                           | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      504859 | PA      | $502011.64    | 0.08%             | 2039-04-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM2 A1 144A                          | HOMES 2025-NQM2 TRUST                                                           | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      391097 | PA      | $392771.55    | 0.06%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP 144A                          | HOWARD HUGHES CORP/THE                                                          | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      222000 | PA      | $221167.50    | 0.03%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A D 144A                             | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      145000 | PA      | $146676.65    | 0.02%             | 2031-07-21      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A C 144A                             | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      320000 | PA      | $321166.46    | 0.05%             | 2031-01-21      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-1A C 144A                             | HPEFS EQUIPMENT TRUST 2024-1                                                    | CUSIP: 403963AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1190000 | PA      | $1196559.04   | 0.18%             | 2031-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-2A D 144A                             | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      350000 | PA      | $357708.82    | 0.06%             | 2032-04-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-2A B 144A                             | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $141506.92    | 0.02%             | 2031-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HLM 11A-17 BR 144A                               | HPS LOAN MANAGEMENT 11-2017 LTD                                                 | CUSIP: 40436VAG6<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |       28452 | PA      | $28467.83     | 0.00%             | 2030-05-06      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| HLM 11A-17 CR 144A                               | HPS LOAN MANAGEMENT 11-2017 LTD                                                 | CUSIP: 40436VAJ0<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |     1830000 | PA      | $1835208.36   | 0.28%             | 2030-05-06      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD 144A                       | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332PAJ0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |      630000 | PA      | $654412.50    | 0.10%             | 2032-01-31      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD 144A                       | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |      470000 | PA      | $491150.00    | 0.08%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD TL B 1L BANKDEBT           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |      947558 | PA      | $950817.96    | 0.15%             | 2030-06-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | HUF/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $8155.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE               | HUF/USD FWD 20260116 CIBCCATT                                                   | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $-61877.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | HUF/USD FWD 20260116 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $-73119.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | HUF/USD FWD 20260116 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $-36000.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                  | HUF/USD FWD 20260116 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $9174.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | HUF/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $2723.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                          | HUNGARY GOVERNMENT BOND                                                         | CUSIP: ZI7193496<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |  2960000000 | PA      | $8997872.36   | 1.39%             | 2035-10-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HACLN 2024-1 B1 144A                             | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      260062 | PA      | $264292.41    | 0.04%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HACLN 2024-2 B1 144A                             | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      617818 | PA      | $624257.77    | 0.10%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF    | HYG US 12/19/25 C80                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |        -200 | NC      | $-20000.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF    | HYG US 12/19/25 C81                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |        -201 | NC      | $-2512.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF    | HYG US 12/19/25 P79                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |        -201 | NC      | $-2412.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF    | HYG US 12/19/25 P80                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |        -200 | NC      | $-6000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYT 2024-RGCY A 144A                             | HYT COMMERCIAL MORTGAGE TRUST 2024-RGCY                                         | CUSIP: 449173AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      545000 | PA      | $545789.98    | 0.08%             | 2041-09-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                     | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      200000 | PA      | $207123.40    | 0.03%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_CDX EM CDSI S44 5Y 12/20/2030 MSLN                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $-272928.59   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_CDX EM HY CDSI S44 5Y 12/20/2030 MSLN                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $803375.99    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_CDX HY CDSI S45 5Y 12/20/2030 MSLN                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $1664096.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_ITRX EUR SNRFIN CDSI S44 5Y 12/20/2030 DEUT                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |           1 | NC      | $2221117.98   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_ITRX EUR SUBFIN CDSI S44 5Y 12/20/2030 DEUT                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |           1 | NC      | $-218494.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_ORACLE CORP CDS 12/20/2030 MSLN                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $-26511.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_SES SA CDS 12/20/2030 CHAS                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |           1 | NC      | $-71919.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | ICE_WHIRLPOOL CORP CDS 12/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $7549.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                         | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |      200000 | PA      | $211379.60    | 0.03%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                         | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |      200000 | PA      | $208700.20    | 0.03%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| INSTRUCTURE TL B 1L BANKDEBT                     | ICON PARENT INC                                                                 | CUSIP: 45115DAC2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      279300 | PA      | $279785.98    | 0.04%             | 2031-11-13      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| INSTRUCTURE TL B 2L BANKDEBT                     | ICON PARENT INC                                                                 | CUSIP: 45115MAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      465000 | PA      | $465000.00    | 0.07%             | 2032-11-12      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | IDR/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ID        |           1 | NC      | $16.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | IDR/USD FWD 20251202 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | ID        |           1 | NC      | $1203.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | IDR/USD FWD 20260203 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | ID        |           1 | NC      | $-1675.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS TL 1L BANKDEBT              | IHEARTCOMMUNICATIONS INC                                                        | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |      220000 | PA      | $195760.40    | 0.03%             | 2029-05-01      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ILPT 2022-LPFX C 144A                            | ILPT COMMERCIAL MORTGAGE TRUST 2022-LPFX                                        | CUSIP: 449653AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1595000 | PA      | $1451713.81   | 0.22%             | 2032-03-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | ILS/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IL        |           1 | NC      | $929.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | ILS/USD FWD 20251218 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IL        |           1 | NC      | $65.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | ILS/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IL        |           1 | NC      | $-981.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMCD NV                                          | IMCD NV                                                                         | CUSIP: YV4272758<br>LEI: 724500NSJPNFJPDAUP02 | Long             | DBT              | CORP              | NL        |      605000 | PA      | $704932.12    | 0.11%             | 2030-04-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC 144A                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |      630000 | PA      | $649491.57    | 0.10%             | 2035-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC 144A                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAL7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |      350000 | PA      | $361647.65    | 0.06%             | 2055-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| IMPRL 2022-NQM4 A2 144A                          | IMPERIAL FUND MORTGAGE TRUST 2022-NQM4                                          | CUSIP: 45276NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1059731 | PA      | $1055605.38   | 0.16%             | 2067-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| INFRASTRUTTURE WIRELESS                          | INFRASTRUTTURE WIRELESS ITALIANE SPA                                            | CUSIP: YQ6778167<br>LEI: 81560066183FE361C071 | Long             | DBT              | CORP              | IT        |      945000 | PA      | $1111103.64   | 0.17%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INSIGNIA FINANCIAL TL B 1L BANKDEBT              | INSIGNIA FINANCIAL LTD                                                          | CUSIP: 000000000<br>LEI: 5493000NLB9VUM2IHC87 | Long             | LON              | CORP              | AU        |      110000 | PA      | $108625.00    | 0.02%             | 2032-11-24      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| IPOTEKA-BANK ATIB                                | IPOTEKA-BANK ATIB                                                               | CUSIP: YK5636922<br>LEI: 213800UWVX5JSNXJS434 | Long             | DBT              | CORP              | UZ        |      680000 | PA      | $676780.72    | 0.10%             | 2030-10-09      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| INSPIRE BRANDS TL B 1L BANKDEBT                  | IRB HOLDING CORP                                                                | CUSIP: 44988LAM9<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |      246407 | PA      | $246389.51    | 0.04%             | 2030-12-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ISRAEL                                           | ISRAEL GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      857000 | PA      | $897452.11    | 0.14%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| STATE OF ISRAEL                                  | ISRAEL GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      708000 | PA      | $735644.57    | 0.11%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST 144A                                 | IVORY COAST GOVERNMENT INTERNATIONAL BOND                                       | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     1015000 | PA      | $1057394.41   | 0.16%             | 2036-04-01      | Fixed         | 8.07%                 | No            |                  2 | On Loan: No      |
| JPMMT 2023-DSC2 A1 144A                          | J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                            | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1097034 | PA      | $1107368.52   | 0.17%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| JACK 2019-1A A23 144A                            | JACK IN THE BOX FUNDING LLC                                                     | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      944880 | PA      | $907280.30    | 0.14%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| JTWN 2020-15A A1R 144A                           | JAMESTOWN CLO XV LTD                                                            | CUSIP: 47050EAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1370000 | PA      | $1371093.40   | 0.21%             | 2035-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                     | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      310000 | PA      | $315425.00    | 0.05%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                     | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      575000 | PA      | $599437.50    | 0.09%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                     | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      358000 | PA      | $376347.50    | 0.06%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC TL B 1L BANKDEBT           | JANE STREET GROUP LLC                                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |      320945 | PA      | $317597.99    | 0.05%             | 2031-12-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT 144A                     | JERSEY CENTRAL POWER & LIGHT CO                                                 | CUSIP: 476556DH5<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |      395000 | PA      | $401563.72    | 0.06%             | 2036-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NAVACORD TL B 1L BANKDEBT                        | JONES DESLAURIERS INSURA                                                        | CUSIP: 000000000<br>LEI: 549300JQIWNFU00E5424 | Long             | LON              | CORP              | CA        |      633595 | PA      | $633594.78    | 0.10%             | 2030-03-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA 144A                    | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |      175000 | PA      | $183093.75    | 0.03%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA 144A                    | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAE5<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |      545000 | PA      | $531375.00    | 0.08%             | 2033-10-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA 144A                    | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAG0<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |      385000 | PA      | $275501.81    | 0.04%             | 2033-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JPMMT 2019-INV3 A3 144A                          | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68566 | PA      | $62681.43     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2019-INV3 A15 144A                         | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59653 | PA      | $54216.17     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2020-INV2 A15 144A                         | JP MORGAN MORTGAGE TRUST 2020-INV2                                              | CUSIP: 46652KBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      214932 | PA      | $189431.13    | 0.03%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-NMQ3 A1 144A                          | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM3                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1493781 | PA      | $1504684.33   | 0.23%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PFE1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      430000 | PA      | $430672.09    | 0.07%             | 2036-10-22      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | JPY/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $-5375.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | JPY/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | JP        |           1 | NC      | $1259.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: YK2163615<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       57218 | PA      | $357.61       | 0.00%             | 2029-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: YK2128873<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       35764 | PA      | $268.23       | 0.00%             | 2027-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144a              | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: YK2396512<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       21458 | PA      | $402.34       | 0.00%             | 2025-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: YK2439700<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      134935 | PA      | $1686.69      | 0.00%             | 2032-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  . 144A            | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: YK2170958<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       71525 | PA      | $266.43       | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: YK2407939<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       28609 | PA      | $436.25       | 0.00%             | 2026-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: YK2138690<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       57218 | PA      | $357.61       | 0.00%             | 2028-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD CB 0  144A              | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: YK2410966<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       71525 | PA      | $268.22       | 0.00%             | 2031-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KASEYA TL B 1L BANKDEBT                          | KASEYA INC                                                                      | CUSIP: 48578AAB4<br>LEI: 254900MISXMLRZ63NH46 | Long             | LON              | CORP              | US        |       33225 | PA      | $33257.23     | 0.01%             | 2032-03-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| KASEYA TL 2L BANKDEBT                            | KASEYA INC                                                                      | CUSIP: 48578AAE8<br>LEI: 254900MISXMLRZ63NH46 | Long             | LON              | CORP              | US        |      727286 | PA      | $713649.44    | 0.11%             | 2033-03-20      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| JSC KASPI.KZ 144A                                | KASPI.KZ JSC                                                                    | CUSIP: 466281AA0<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |      770000 | PA      | $791144.48    | 0.12%             | 2030-03-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                            | KENTUCKY UTILITIES CO                                                           | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |       70000 | PA      | $71691.69     | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KRAFT FOODS GROUP INC                            | KRAFT HEINZ FOODS CO                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      206000 | PA      | $191000.73    | 0.03%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | KRW/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | KR        |           1 | NC      | $-2360.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | KRW/USD FWD 20251202 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | KR        |           1 | NC      | $1393.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | KRW/USD FWD 20260203 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | KR        |           1 | NC      | $-2503.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT 144A                                      | KUWAIT INTERNATIONAL GOVERNMENT BOND                                            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |      470000 | PA      | $471641.58    | 0.07%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP TL B 1L BANKDEBT                | LAMAR MEDIA CORP                                                                | CUSIP: 513076BE8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      200000 | PA      | $199500.00    | 0.03%             | 2032-09-23      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                              | LCH-PLN IRS 7/21/30 PAY FIX BOFA_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $-126794.66   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | LCH-PLN IRS 7/22/30 PAY FIX BOFA_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $-120338.12   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC 144A                       | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      520000 | PA      | $533000.00    | 0.08%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC 144A                       | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      160000 | PA      | $163200.00    | 0.03%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC 144A                       | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CD3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      155000 | PA      | $142793.75    | 0.02%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 TL B4 1L BANKDEBT                        | LEVEL 3 FINANCING INC                                                           | CUSIP: 52729KAU0<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |      830000 | PA      | $831037.50    | 0.13%             | 2032-03-29      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH TL B 1L BANKDEBT                | LIFEPOINT HEALTH INC                                                            | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |      592701 | PA      | $594123.81    | 0.09%             | 2031-05-17      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC 144A                        | LIFEPOINT HEALTH INC                                                            | CUSIP: 53219LAX7<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |      633000 | PA      | $667815.00    | 0.10%             | 2032-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC 144A                        | LIFEPOINT HEALTH INC                                                            | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |      585000 | PA      | $642037.50    | 0.10%             | 2030-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| LGC GROUP TL B 1L BANKDEBT                       | LOIRE FINCO LUXEMBOURG                                                          | CUSIP: 5039999D8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      348252 | PA      | $348144.23    | 0.05%             | 2030-01-21      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| G H6 LONG GILT FUTURE  MAR26                     | LONG GILT FUTURE  MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |          -5 | NC      | $-4558.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LOUISVILLE GAS & ELEC                            | LOUISVILLE GAS AND ELECTRIC CO                                                  | CUSIP: 546676BA4<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |       70000 | PA      | $71387.40     | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                   | LOWE'S COS INC                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      207000 | PA      | $165411.22    | 0.03%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                   | LOWE'S COS INC                                                                  | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      105000 | PA      | $103465.53    | 0.02%             | 2053-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                 | LPL HOLDINGS INC                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |      190000 | PA      | $194309.77    | 0.03%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                 | LPL HOLDINGS INC                                                                | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |      625000 | PA      | $638491.25    | 0.10%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                 | LPL HOLDINGS INC                                                                | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |      191000 | PA      | $196222.51    | 0.03%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LTI HOLDINGS INC TL B 1L BANKDEBT                | LTI HOLDINGS INC                                                                | CUSIP: 50217UBF3<br>LEI: 5493003GUY3WBOTOAP97 | Long             | LON              | CORP              | US        |      621695 | PA      | $625064.10    | 0.10%             | 2029-07-29      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES TL A 1L BANKDEBT              | LUMEN TECHNOLOGIES INC                                                          | CUSIP: 55024EAD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |      127958 | PA      | $129503.26    | 0.02%             | 2028-06-01      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUXCO 3                            | LuxCo 3 Shares                                                                  | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | EC               | CORP              | FR        |         905 | NS      | $16546.69     | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| MDPK 2016-24A CR2 144A                           | MADISON PARK FUNDING XXIV LTD                                                   | CUSIP: 55820NBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      725000 | PA      | $725530.41    | 0.11%             | 2029-10-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| MDPK 2019-35A CR 144A                            | MADISON PARK FUNDING XXXV LTD                                                   | CUSIP: 55819MAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2501209.00   | 0.39%             | 2032-04-20      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| MAGNA INTERNATIONAL INC                          | MAGNA INTERNATIONAL INC                                                         | CUSIP: 559222BD5<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |       90000 | PA      | $95734.26     | 0.01%             | 2035-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MARS INC 144A                                    | MARS INC                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      630000 | PA      | $650411.37    | 0.10%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC 144A                                    | MARS INC                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      455000 | PA      | $464203.29    | 0.07%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                           | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      710000 | PA      | $732300.39    | 0.11%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| MATADOR RESOURCES CO 144A                        | MATADOR RESOURCES CO                                                            | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      185000 | PA      | $184306.25    | 0.03%             | 2033-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC 144A                      | MATCH GROUP HOLDINGS II LLC                                                     | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |      255000 | PA      | $257550.00    | 0.04%             | 2033-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP TL 1L BANKDEBT                       | MCAFEE CORP                                                                     | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |      306994 | PA      | $282928.80    | 0.04%             | 2029-03-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| CONDOR MERGER SUB INC 144A                       | MCAFEE CORP                                                                     | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |      375000 | PA      | $327187.50    | 0.05%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| MEDLINE TL B 1L BANKDEBT                         | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |      194512 | PA      | $194761.48    | 0.03%             | 2028-10-23      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| MEDLINE TL B 1L BANKDEBT                         | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAJ2<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |      394012 | PA      | $394434.09    | 0.06%             | 2030-10-23      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP 144A                         | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                       | CUSIP: 58506DAA6<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      185000 | PA      | $190318.75    | 0.03%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MERLIN BUYER TL 1L BANKDEBT                      | MERLIN BUYER INC                                                                | CUSIP: 59010LAB3<br>LEI: 2549008CJ699WXZAWW31 | Long             | LON              | CORP              | US        |      220859 | PA      | $222515.38    | 0.03%             | 2028-12-14      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| META PLATFORMS INC                               | META PLATFORMS INC                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      550000 | PA      | $547712.00    | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                               | META PLATFORMS INC                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      790000 | PA      | $784516.61    | 0.12%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                               | META PLATFORMS INC                                                              | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      530000 | PA      | $524640.11    | 0.08%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MST 2018-1A A 144A                               | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115963 | PA      | $113656.27    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | MEXICO GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      570000 | PA      | $570229.31    | 0.09%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL 144A                            | MIDCAP FINANCIAL ISSUER TRUST                                                   | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      400000 | PA      | $394500.00    | 0.06%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MITER BRANDS ACQUISITION                         | MITER BRANDS ACQUISITION                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      231272 | PA      | $230776.59    | 0.04%             | 2031-03-28      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC 144A                       | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      110000 | PA      | $112062.50    | 0.02%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC 144A                       | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      195000 | PA      | $194756.25    | 0.03%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MONTENEGRO 144A                                  | MONTENEGRO GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 857305AA4<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |     2155000 | PA      | $2315815.88   | 0.36%             | 2031-03-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | MORGAN STANLEY                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      160000 | PA      | $166223.36    | 0.03%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-DSC2 A1 144A                           | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                        | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      131680 | PA      | $132721.90    | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM5 A1 144A                           | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5                        | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176266 | PA      | $177486.39    | 0.03%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                         | CUSIP: 55336VCB4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      385000 | PA      | $386400.63    | 0.06%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| MPLX LP                                          | MPLX LP                                                                         | CUSIP: 55336VCD0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      300000 | PA      | $301553.40    | 0.05%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                          | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                                 | CUSIP: BR5786222<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      905000 | PA      | $1000068.19   | 0.15%             | 2026-10-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL 144A                     | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                                 | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      245000 | PA      | $257862.50    | 0.04%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MVWOT 2020-1A C 144A                             | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       48651 | PA      | $48276.63     | 0.01%             | 2037-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| MVWOT 2023-1A B 144A                             | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      518905 | PA      | $526283.09    | 0.08%             | 2040-10-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | MXN/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MX        |           1 | NC      | $9906.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | MXN/USD FWD 20260116 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | MX        |           1 | NC      | $-4348.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | MXN/USD FWD 20260116 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | MX        |           1 | NC      | $10388.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | MXN/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MX        |           1 | NC      | $3155.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | MYR/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MY        |           1 | NC      | $-560.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                              | MYR/USD FWD 20251202 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | MY        |           1 | NC      | $-17015.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                    | MYR/USD FWD 20251202 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | MY        |           1 | NC      | $2228.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                    | MYR/USD FWD 20260203 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | MY        |           1 | NC      | $-2593.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                     | NAVIENT CORP                                                                    | CUSIP: 63938CAP3<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      360000 | PA      | $400050.00    | 0.06%             | 2031-03-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                     | NAVIENT CORP                                                                    | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      470000 | PA      | $517000.00    | 0.08%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| SLM CORP                                         | NAVIENT CORP                                                                    | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      218000 | PA      | $195655.00    | 0.03%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                     | NAVIENT CORP                                                                    | CUSIP: 63938CAQ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      184000 | PA      | $189520.00    | 0.03%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| NAVSL 2020-BA B 144A                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B                                | CUSIP: 63941GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      975000 | PA      | $856885.67    | 0.13%             | 2069-01-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-CA B 144A                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                                | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600000 | PA      | $544205.82    | 0.08%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-FA B 144A                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F                                | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $348505.60    | 0.05%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-HA B 144A                             | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                | CUSIP: 63935BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1340000 | PA      | $1173289.13   | 0.18%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| NAVMT 2024-1 B 144A                              | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                               | CUSIP: 63938PBX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       85000 | PA      | $85436.60     | 0.01%             | 2029-04-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| NAVMT 2024-1 C 144A                              | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                               | CUSIP: 63938PBY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      130000 | PA      | $130694.97    | 0.02%             | 2029-04-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| NAVMT 2025-1 C 144A                              | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II 2025-1                     | CUSIP: 63938PCB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       65000 | PA      | $65061.20     | 0.01%             | 2030-09-25      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| NAVMT 2025-1 B 144A                              | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II 2025-1                     | CUSIP: 63938PCA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $140118.51    | 0.02%             | 2030-09-25      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC 144A                        | NEPTUNE BIDCO US INC                                                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |      321000 | PA      | $318592.50    | 0.05%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| NIELSEN TL B 1L BANKDEBT                         | NEPTUNE BIDCO US INC                                                            | CUSIP: 64069JAC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | LON              | CORP              | US        |      401438 | PA      | $391265.82    | 0.06%             | 2029-04-11      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC 144A                        | NEPTUNE BIDCO US INC                                                            | CUSIP: 640695AC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |      660000 | PA      | $666600.00    | 0.10%             | 2031-05-15      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| NEUB 2021-43A AR 144A                            | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                       | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |      435000 | PA      | $434720.69    | 0.07%             | 2036-07-17      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| NRMLT 2022-SFR1 D 144A                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-SFR1                                   | CUSIP: 64831KAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      620000 | PA      | $602963.52    | 0.09%             | 2039-02-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM4 A1 144A                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                   | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |      483513 | PA      | $486980.03    | 0.08%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                | NEWELL BRANDS INC                                                               | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      140000 | PA      | $132300.00    | 0.02%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| NEWELL BRANDS INC 144A                           | NEWELL BRANDS INC                                                               | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      167000 | PA      | $173471.25    | 0.03%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NFL SR SECURED NOTE PP                           | NFL SR SECURED NOTE PP                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      395000 | PA      | $395000.00    | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| NGL ENERGY PARTNERS LP 144A                      | NGL ENERGY OPERATING LLC / NGL ENERGY FINANCE CORP                              | CUSIP: 62922LAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      215000 | PA      | $222256.25    | 0.03%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                        | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |      635000 | PA      | $653424.53    | 0.10%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                        | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |      420000 | PA      | $422281.02    | 0.07%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NIELSEN HOLDINGS 2L BANKDEBT                     | NIELSEN HOLDINGS                                                                | CUSIP: 6539989A4<br>LEI: 549300ZVCBHQE0XHG367 | Long             | DBT              | CORP              | US        |       65117 | PA      | $65035.71     | 0.01%             | 2029-10-11      | Variable      | 14.18%                | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE 144A                     | NISSAN MOTOR ACCEPTANCE CO LLC                                                  | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      325000 | PA      | $322148.13    | 0.05%             | 2030-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE 144A                     | NISSAN MOTOR ACCEPTANCE CO LLC                                                  | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       78000 | PA      | $77661.71     | 0.01%             | 2028-09-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO 144A                             | NISSAN MOTOR CO LTD                                                             | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      285000 | PA      | $297225.08    | 0.05%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | NOK/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NO        |           1 | NC      | $490.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | NOK/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NO        |           1 | NC      | $-829.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WOODS 2018-14BA AR 144A                          | NORTHWOODS CAPITAL XIV-B LTD                                                    | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |      481158 | PA      | $481215.82    | 0.07%             | 2031-11-13      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 144A                              | NRG ENERGY INC                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      300000 | PA      | $303750.00    | 0.05%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                            | NTT FINANCE CORP                                                                | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      370000 | PA      | $386816.50    | 0.06%             | 2035-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                            | NTT FINANCE CORP                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      225000 | PA      | $232222.28    | 0.04%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NYMT 2025-INV1 A1 144A                           | NYMT LOAN TRUST 2025-INV1                                                       | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |      217365 | PA      | $218694.12    | 0.03%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | NZD/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NZ        |           1 | NC      | $-133.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | NZD/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NZ        |           1 | NC      | $2941.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2019-EXP2 1A4 144A                           | OBX 2019-EXP2 TRUST                                                             | CUSIP: 67113KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24040 | PA      | $23012.68     | 0.00%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 A25 144A                           | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71621 | PA      | $67564.65     | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 A8 144A                            | OBX 2020-EXP2 TRUST                                                             | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19493 | PA      | $17421.46     | 0.00%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 A9 144A                            | OBX 2020-EXP2 TRUST                                                             | CUSIP: 67448VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39868 | PA      | $35630.98     | 0.01%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP3 1A9 144A                           | OBX 2020-EXP3 TRUST                                                             | CUSIP: 67448WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      316719 | PA      | $280856.03    | 0.04%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 M1 144A                            | OBX 2021-NQM1 TRUST                                                             | CUSIP: 67114BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      598000 | PA      | $464831.02    | 0.07%             | 2066-02-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 A1 144A                            | OBX 2024-HYB1 TRUST                                                             | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      281745 | PA      | $281299.84    | 0.04%             | 2053-03-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1B 144A                          | OBX 2025-NQM14 TRUST                                                            | CUSIP: 673924AB2<br>LEI: 254900T4WKE0IYMYAI09 | Long             | ABS-MBS          | CORP              | US        |      964160 | PA      | $970517.89    | 0.15%             | 2065-07-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                         | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EM3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     1070000 | PA      | $1033627.49   | 0.16%             | 2054-10-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                         | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      715000 | PA      | $826718.75    | 0.13%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                         | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      119000 | PA      | $121975.00    | 0.02%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OCP 2017-13A B1R2 144A                           | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |      705000 | PA      | $706971.04    | 0.11%             | 2037-11-26      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| OCT47 2020-1A BR2 144A                           | OCTAGON INVESTMENT PARTNERS 47 LTD                                              | CUSIP: 67576XBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1690000 | PA      | $1693964.57   | 0.26%             | 2038-01-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| OCT47 2020-1A A2R2 144A                          | OCTAGON INVESTMENT PARTNERS 47 LTD                                              | CUSIP: 67576XAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1655000 | PA      | $1653929.05   | 0.25%             | 2038-01-22      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-1A A 144A                              | OCTANE RECEIVABLES TRUST 2023-1                                                 | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4805 | PA      | $4809.62      | 0.00%             | 2029-05-21      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-3A C 144A                              | OCTANE RECEIVABLES TRUST 2023-3                                                 | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $102556.46    | 0.02%             | 2029-08-20      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| OCTL 2024-RVM1 A 144A                            | OCTANE RECEIVABLES TRUST 2024-RVM1                                              | CUSIP: 67579FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      159053 | PA      | $161320.83    | 0.02%             | 2046-01-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| OCTL 2025-RVM1 B 144A                            | OCTANE RECEIVABLES TRUST 2025-RVM1                                              | CUSIP: 67571HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      410000 | PA      | $411184.82    | 0.06%             | 2046-12-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| OCTL 2025-RVM1 C 144A                            | OCTANE RECEIVABLES TRUST 2025-RVM1                                              | CUSIP: 67571HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      840000 | PA      | $843354.71    | 0.13%             | 2046-12-20      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| ONEDIGITAL TL B 1L BANKDEBT                      | ONEDIGITAL BORROWER LLC                                                         | CUSIP: 68277FAN9<br>LEI: 2549009GTKWWAO1E9X77 | Long             | LON              | CORP              | US        |      513699 | PA      | $513278.26    | 0.08%             | 2031-07-02      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| ONEDIGITAL TL 2L BANKDEBT                        | ONEDIGITAL BORROWER LLC                                                         | CUSIP: 68252HAB0<br>LEI: 2549009GTKWWAO1E9X77 | Long             | LON              | CORP              | US        |     1273752 | PA      | $1281713.18   | 0.20%             | 2032-07-02      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                             | ONEMAIN FINANCE CORP                                                            | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      115000 | PA      | $120750.00    | 0.02%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ONE TORONTO GAMING TL B 1L BANKDEBT              | ONTARIO GAMING GTA LP                                                           | CUSIP: 000000000<br>LEI: 894500EC9KLZLOC3V025 | Long             | LON              | CORP              | CA        |      455418 | PA      | $424244.35    | 0.07%             | 2030-08-01      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| ONTARIO GAMING GTA LP 144A                       | ONTARIO GAMING GTA LP/OTG CO-ISSUER INC                                         | CUSIP: 68306MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      105000 | PA      | $102637.50    | 0.02%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO 144A                                  | OPAL BIDCO SAS                                                                  | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |      245000 | PA      | $250818.75    | 0.04%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPELLA TL B 1L BANKDEBT                          | OPAL US LLC                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      780000 | PA      | $784999.80    | 0.12%             | 2032-04-28      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | ORACLE CORP                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1249000 | PA      | $1159891.34   | 0.18%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                      | ORACLE CORP                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      705000 | PA      | $689251.01    | 0.11%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORGANON FINANCE 1 LLC 144A                       | ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      250000 | PA      | $207812.50    | 0.03%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC 144A                          | OSAIC HOLDINGS INC                                                              | CUSIP: 00791GAB3<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |      115000 | PA      | $118162.50    | 0.02%             | 2032-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC TL B 1L BANKDEBT              | OSAIC HOLDINGS INC                                                              | CUSIP: 68773JAG5<br>LEI: 549300XL60BDV6UW5C86 | Long             | LON              | CORP              | US        |      155000 | PA      | $155255.75    | 0.02%             | 2032-07-30      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC 144A                          | OSAIC HOLDINGS INC                                                              | CUSIP: 00791GAC1<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |      220000 | PA      | $225500.00    | 0.03%             | 2033-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OZLMF 2012-2A BR4 144A                           | OZLM FUNDING II LTD                                                             | CUSIP: 67108BCJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1495000 | PA      | $1498050.25   | 0.23%             | 2037-07-30      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      250000 | PA      | $171768.00    | 0.03%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      715000 | PA      | $720469.75    | 0.11%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      240000 | PA      | $206705.04    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      157000 | PA      | $153443.95    | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER 144A                       | PANTHER ESCROW ISSUER LLC                                                       | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      335000 | PA      | $346725.00    | 0.05%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PATTERSON TL B 1L BANKDEBT                       | PARADIGM PARENT LLC                                                             | CUSIP: 000000000<br>LEI: 254900EDT9YE5UFH3458 | Long             | LON              | CORP              | US        |      225000 | PA      | $193734.00    | 0.03%             | 2032-04-16      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| PARADIGM PRNT/CO-ISSUER 144A                     | PARADIGM PARENT LLC AND PARADIGM PARENT CO-ISSUER INC                           | CUSIP: 69902PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      185000 | PA      | $173900.00    | 0.03%             | 2032-04-17      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PEN/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PE        |           1 | NC      | $1135.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | PEN/USD FWD 20251202 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | PE        |           1 | NC      | $2805.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                     | PEN/USD FWD 20251202 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | PE        |           1 | NC      | $-1639.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PEN/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PE        |           1 | NC      | $20.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                     | PEN/USD FWD 20260203 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | PE        |           1 | NC      | $1698.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC 144A                    | PERMIAN RESOURCES OPERATING LLC                                                 | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      139000 | PA      | $149772.50    | 0.02%             | 2031-07-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC 144A                    | PERMIAN RESOURCES OPERATING LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      190000 | PA      | $194037.50    | 0.03%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1435000 | PA      | $1657094.95   | 0.26%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| PETROLEOS MEXICANOS                              | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1145000 | PA      | $1221451.65   | 0.19%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PETSMART TL B 1L BANKDEBT                        | PETSMART LLC                                                                    | CUSIP: 71677HAN5<br>LEI: 894500NGJMHSFNESGA67 | Long             | LON              | CORP              | US        |       60000 | PA      | $59449.80     | 0.01%             | 2032-08-18      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| PETSMART INC/PETSMART FI 144A                    | PETSMART LLC / PETSMART FINANCE CORP                                            | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      250000 | PA      | $252187.50    | 0.04%             | 2032-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                        | PG&E CORP                                                                       | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      189000 | PA      | $195615.00    | 0.03%             | 2055-03-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| PAREXEL TL B 1L USD BANKDEBT                     | PHOENIX NEWCO INC                                                               | CUSIP: 71911KAE4<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |      273859 | PA      | $274875.06    | 0.04%             | 2028-11-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PHP/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PH        |           1 | NC      | $221.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PHP/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PH        |           1 | NC      | $-166.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PLN/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PL        |           1 | NC      | $918.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | PLN/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PL        |           1 | NC      | $786.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      235000 | PA      | $242668.99    | 0.04%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PORT BEAUMONT TX JEFF GULF COAST EN 144A AMT     | PORT OF BEAUMONT NAVIGATION DISTRICT                                            | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |      865000 | PA      | $868192.54    | 0.13%             | 2026-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PREF 2024-1A A2 144A                             | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                                          | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       33420 | PA      | $33564.81     | 0.01%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| PRAIRIE ACQUIROR LP 144A                         | PRAIRIE ACQUIROR LP                                                             | CUSIP: 73943NAA4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | DBT              | CORP              | US        |      195000 | PA      | $199875.00    | 0.03%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| PRAIRIE ACQUIROR LP TL B 1L USD BANKDEBT         | PRAIRIE ACQUIROR LP                                                             | CUSIP: 73955HAF1<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |      276676 | PA      | $278233.48    | 0.04%             | 2029-08-01      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| PRO MACH TL B 1L BANKDEBT                        | PRO MACH GROUP INC                                                              | CUSIP: 74273JAL7<br>LEI: 5493008SZGSVUCSNB151 | Long             | LON              | CORP              | US        |      335000 | PA      | $336561.10    | 0.05%             | 2032-10-09      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR8 E1 144A                           | PROGRESS RESIDENTIAL 2021-SFR8 TRUST                                            | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      750000 | PA      | $735487.20    | 0.11%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| QLIK TL B 2L BANKDEBT                            | PROJECT ALPHA INTERMEDIA                                                        | CUSIP: 74339D9B6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1054184 | PA      | $1021240.59   | 0.16%             | 2033-05-09      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| PSEG POWER LLC 144A                              | PSEG POWER LLC                                                                  | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       79000 | PA      | $80954.78     | 0.01%             | 2030-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                          | PUBLIC SERVICE CO OF OKLAHOMA                                                   | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |      815000 | PA      | $840468.75    | 0.13%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| QUALITY TECH TL 1L BANKDEBT                      | QUALITYTECH LP                                                                  | CUSIP: 74758JAB3<br>LEI: 549300GWD2FYVWRWCZ90 | Long             | LON              | CORP              | US        |      208950 | PA      | $207993.01    | 0.03%             | 2031-11-04      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC TL B 1L BANKDEBT           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |      330923 | PA      | $331221.11    | 0.05%             | 2032-01-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC 144A                       | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      196000 | PA      | $204330.00    | 0.03%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC 144A                       | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      210000 | PA      | $218400.00    | 0.03%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC PIK-TERM FIFO 1L USD BKDBTPIK | RADIATE HOLDCO LLC                                                              | CUSIP: 75025KAM0<br>LEI: 5493000GQJ5RDX9DNJ71 | Long             | LON              | CORP              | US        |      307319 | PA      | $224662.49    | 0.03%             | 2029-09-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| RADIATE TLB/DD STRIP BANKDEBT                    | RADIATE HOLDCO LLC                                                              | CUSIP: 000000000<br>LEI: 5493000GQJ5RDX9DNJ71 | Long             | LON              | CORP              | US        |      186825 | PA      | $184723.63    | 0.03%             | 2029-06-26      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE 144A                        | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      760000 | PA      | $625932.53    | 0.10%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP 144A                        | RANGE RESOURCES CORP                                                            | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |      215000 | PA      | $211237.50    | 0.03%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REALT 2025-1A A1 144A                            | REAL ESTATE ASSET LIQUIDITY TRUST                                               | CUSIP: 75585RSS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     1845055 | PA      | $1324433.70   | 0.20%             | 2060-01-12      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| REALT 2025-1A A2 144A                            | REAL ESTATE ASSET LIQUIDITY TRUST                                               | CUSIP: 75585RSU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     2530000 | PA      | $1813210.42   | 0.28%             | 2060-01-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                               | REALTY INCOME CORP                                                              | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      185000 | PA      | $188845.97    | 0.03%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                               | REGAL REXNORD CORP                                                              | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |       53000 | PA      | $54836.77     | 0.01%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                               | REGAL REXNORD CORP                                                              | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |      700000 | PA      | $743876.70    | 0.11%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GRP OF AMER                          | REINSURANCE GROUP OF AMERICA INC                                                | CUSIP: 759351AR0<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |      736000 | PA      | $787655.42    | 0.12%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RENTOKIL TERMINIX LLC 144A                       | RENTOKIL TERMINIX FUNDING LLC                                                   | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |      995000 | PA      | $1015177.61   | 0.16%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROCKEFELLER CAPITAL TL B 1L BANKDEBT             | RFS OPCO LLC                                                                    | CUSIP: 74970UAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      202950 | PA      | $201569.94    | 0.03%             | 2031-04-04      | Floating      | 8.75%                 | No            |                  3 | On Loan: No      |
| ROCKEFELLER TL DD 1L BANKDEBT                    | RFS OPCO LLC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      115000 | PA      | $114712.50    | 0.02%             | 2031-04-04      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| RFS OPCO LLC TL DD 1L USD BANKDEBT               | RFS OPCO LLC                                                                    | CUSIP: 74970UAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       99500 | PA      | $98823.40     | 0.02%             | 2031-04-04      | Floating      | 8.75%                 | No            |                  3 | On Loan: No      |
| RIVIAN AUTO INC 4.625% 03/29 CB                  | RIVIAN AUTO INC SR UNSECURED 144A 03/29 4.625                                   | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |       85000 | PA      | $93716.75     | 0.01%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| RIVIAN HLD/AUTO LLC 144A                         | RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC                            | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      780000 | PA      | $741000.00    | 0.11%             | 2031-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                     | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAY6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1160000 | PA      | $1191267.82   | 0.18%             | 2030-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                     | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAX8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      978000 | PA      | $1011094.06   | 0.16%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                     | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: YK6552730<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      370000 | PA      | $436953.71    | 0.07%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SABRE TL B 1L BANKDEBT                           | SABRE GLBL INC                                                                  | CUSIP: 78571YBK5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |      178496 | PA      | $161836.72    | 0.02%             | 2029-11-15      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| SABRE GLBL INC 144A                              | SABRE GLBL INC                                                                  | CUSIP: 78573NAM4<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |      120000 | PA      | $103350.00    | 0.02%             | 2030-07-15      | Fixed         | 11.12%                | No            |                  2 | On Loan: No      |
| SABRE GLBL INC 144A                              | SABRE GLBL INC                                                                  | CUSIP: 78573NAL6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |      175000 | PA      | $154000.00    | 0.02%             | 2029-11-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| SANDISK TL 1L BANKDEBT                           | SANDISK CORP                                                                    | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      338290 | PA      | $340194.79    | 0.05%             | 2032-02-20      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| SBCLN 2023-A C 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-A                           | CUSIP: 80290CBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       10978 | PA      | $10992.87     | 0.00%             | 2033-06-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| SBCLN 2023-A B 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-A                           | CUSIP: 80290CBU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       20664 | PA      | $20690.39     | 0.00%             | 2033-06-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| SBCLN 2023-B C 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-B                           | CUSIP: 80290CCC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      718201 | PA      | $727590.09    | 0.11%             | 2033-12-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SBCLN 2024-A C 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                           | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      241278 | PA      | $244371.15    | 0.04%             | 2032-06-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SBCLN 2024-A B 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                           | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200498 | PA      | $203333.15    | 0.03%             | 2032-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SBCLN 2024-B C 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | CUSIP: 80280BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      239907 | PA      | $241173.57    | 0.04%             | 2033-01-18      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| SBCLN 2024-B B 144A                              | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      230680 | PA      | $232124.75    | 0.04%             | 2033-01-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| SDART 2021-4 E 144A                              | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4                                   | CUSIP: 80285VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3500000 | PA      | $3496342.50   | 0.54%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| SAN 2025-NQM2 A1 144A                            | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      653453 | PA      | $659361.56    | 0.10%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                             | SBA TOWER TRUST                                                                 | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       95000 | PA      | $90658.93     | 0.01%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                             | SBA TOWER TRUST                                                                 | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2830000 | PA      | $2846635.65   | 0.44%             | 2029-10-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SCFET 2024-1A D 144A                             | SCF EQUIPMENT LEASING 2024-1 LLC                                                | CUSIP: 783896AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      700000 | PA      | $733237.61    | 0.11%             | 2033-06-21      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| SEB4P 2024-1A A2 144A                            | SEB FUNDING LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      865000 | PA      | $884831.94    | 0.14%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SSTRT 2025-A B 144A                              | SECURITIZED TERM AUTO RECEIVABLES TRUST                                         | CUSIP: 81378RAB0<br>LEI: 254900DVX7EZK9JMUP63 | Long             | ABS-O            | CORP              | CA        |      211004 | PA      | $212857.17    | 0.03%             | 2031-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SSTRT 2025-B B 144A                              | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                                  | CUSIP: 81378WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      170388 | PA      | $171742.63    | 0.03%             | 2032-12-29      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| SSTRT 2025-B C 144A                              | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                                  | CUSIP: 81378WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |       63400 | PA      | $63869.31     | 0.01%             | 2032-12-29      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | SEK/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SE        |           1 | NC      | $1216.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | SEK/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SE        |           1 | NC      | $4777.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEMT 2013-4 B1                                   | SEQUOIA MORTGAGE TRUST 2013-4                                                   | CUSIP: 81744YAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164518 | PA      | $160197.62    | 0.02%             | 2043-04-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| SEMT 2017-CH2 A19 144A                           | SEQUOIA MORTGAGE TRUST 2017-CH2                                                 | CUSIP: 81746JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37958 | PA      | $35777.53     | 0.01%             | 2047-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH1 A2 144A                            | SEQUOIA MORTGAGE TRUST 2018-CH1                                                 | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |       14872 | PA      | $13697.38     | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH3 A19 144A                           | SEQUOIA MORTGAGE TRUST 2018-CH3                                                 | CUSIP: 81746WAU2<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |        3494 | PA      | $3478.23      | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                         | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      142000 | PA      | $136675.00    | 0.02%             | 2032-06-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST 144A                    | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAF9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      210000 | PA      | $186637.50    | 0.03%             | 2027-09-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST 144A                    | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      505000 | PA      | $530881.25    | 0.08%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| SES SA                                           | SES SA                                                                          | CUSIP: YV5348631<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |      545000 | PA      | $612628.54    | 0.09%             | 2054-09-12      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-1A C 144A                             | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       95000 | PA      | $97101.63     | 0.01%             | 2032-01-20      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | SGD/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SG        |           1 | NC      | $1703.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST BANK PLC                                 | SGD/USD FWD 20251202 RBOSGB2R                                                   | CUSIP: 000000000<br>LEI: 213800IBT39XQ9C4CP71 | N/A              | DFE              | CORP              | SG        |           1 | NC      | $5648.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | SGD/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SG        |           1 | NC      | $-14.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST BANK PLC                                 | SGD/USD FWD 20260203 RBOSGB2R                                                   | CUSIP: 000000000<br>LEI: 213800IBT39XQ9C4CP71 | N/A              | DFE              | CORP              | SG        |           1 | NC      | $-5605.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SHACK 2019-14A BRR 144A                          | SHACKLETON 2019-XIV CLO LTD                                                     | CUSIP: 81880XAY8<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |     1190000 | PA      | $1189476.16   | 0.18%             | 2034-07-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| SRFC 2023-2A C 144A                              | SIERRA TIMESHARE 2023-2 RECEIVABLES FUNDING LLC                                 | CUSIP: 82650BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      337226 | PA      | $350111.42    | 0.05%             | 2040-04-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| SPEAK 2018-5A BR 144A                            | SIGNAL PEAK CLO 5 LTD                                                           | CUSIP: 82666VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      950000 | PA      | $954601.42    | 0.15%             | 2037-04-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION TL B6 1L BANKDEBT            | SINCLAIR TELEVISION GROU                                                        | CUSIP: 829229AU7<br>LEI: 549300CQGEN0CH65UD62 | Long             | LON              | CORP              | US        |      139649 | PA      | $127343.24    | 0.02%             | 2029-12-31      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC 144A                         | SIRIUS XM RADIO LLC                                                             | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |        7000 | PA      | $6982.50      | 0.00%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS/CANADA WON                             | SIX FLAGS ENTERTAINMENT CORP / CANADA'S WONDERLAND CO / MAGNUM MANAGEMENT CORP  | CUSIP: 150190AK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      265000 | PA      | $256387.50    | 0.04%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB 2017-B A2A 144A                              | SMB PRIVATE EDUCATION LOAN TRUST 2017-B                                         | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |       13241 | PA      | $13187.67     | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SMB 2020-PTB A2A 144A                            | SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                       | CUSIP: 78449DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      198355 | PA      | $188406.24    | 0.03%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                            | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1030000 | PA      | $1010948.09   | 0.16%             | 2028-01-19      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                            | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBT8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      600000 | PA      | $651901.80    | 0.10%             | 2053-01-10      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                            | SOCIETE GENERALE SA                                                             | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      995000 | PA      | $1018631.25   | 0.16%             | 2029-04-13      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                            | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      435000 | PA      | $475881.74    | 0.07%             | 2034-01-10      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                   | SOLVENTUM CORP                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1048186.86   | 0.16%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                   | SOLVENTUM CORP                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |      653000 | PA      | $667988.96    | 0.10%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SNDPT 2019-1A BRR 144A                           | SOUND POINT CLO XXII LTD                                                        | CUSIP: 83611KAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250943.38    | 0.04%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SOUTH32 TREASURY USA 144A                        | SOUTH32 TREASURY LTD                                                            | CUSIP: 84055BAA1<br>LEI: 213800HFGZMXST64GP53 | Long             | DBT              | CORP              | AU        |     2120000 | PA      | $2059124.20   | 0.32%             | 2032-04-14      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                            | SOUTHERN CALIFORNIA GAS CO                                                      | CUSIP: 842434DC3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |      310000 | PA      | $323665.42    | 0.05%             | 2035-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO CVT 7.125000  A                      | SOUTHERN CO/THE                                                                 | CUSIP: 842587842<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EP               | CORP              | US        |        3950 | NS      | $201766.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MIDAS OPCO HOLDINGS LLC 144A                     | STAGWELL GLOBAL LLC                                                             | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |      205000 | PA      | $198850.00    | 0.03%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC 144A                      | STANDARD CHARTERED PLC                                                          | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      255000 | PA      | $265230.35    | 0.04%             | 2029-01-09      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| STAR PARENT INC 144A                             | STAR PARENT INC                                                                 | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |      196000 | PA      | $209230.00    | 0.03%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| STAR 2020-1 M1 144A                              | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1                                      | CUSIP: 85573AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $539389.38    | 0.08%             | 2050-02-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| STAR 2021-2 M1 144A                              | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                      | CUSIP: 85573HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1856258.00   | 0.29%             | 2065-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| STAR 2021-4 A3 144A                              | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-4                                      | CUSIP: 85573PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      967598 | PA      | $868152.91    | 0.13%             | 2056-08-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| STRIPE INC SERIES A 5.04 2030 PP                 | STRIPE INC SERIES A 5.04 2030 PP                                                | CUSIP: 000000000<br>LEI: 549300CLHGIPTCYHQ143 | Long             | DBT              | CORP              | US        |      670000 | PA      | $670000.00    | 0.10%             | 2030-09-26      | Fixed         | 5.04%                 | Yes           |                  3 | On Loan: No      |
| SUNOCO LP 144A                                   | SUNOCO LP                                                                       | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      215000 | PA      | $226556.25    | 0.03%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                    | SUTTER HEALTH                                                                   | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |      150000 | PA      | $156471.30    | 0.02%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                    | SUTTER HEALTH                                                                   | CUSIP: 86944BAQ6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |      460000 | PA      | $486774.30    | 0.07%             | 2035-08-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SYMP 2015-16A ARR 144A                           | SYMPHONY CLO XVI LTD                                                            | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |      540799 | PA      | $540810.87    | 0.08%             | 2031-10-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                     | SYNOPSYS INC                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |      595000 | PA      | $595328.44    | 0.09%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-MOBILE USA INC                                                                | CUSIP: 87264ADW2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1010000 | PA      | $1008322.39   | 0.16%             | 2033-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund            | T. Rowe Price Government Reserve Fund                                           | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |    19260480 | NS      | $19260480.01  | 2.97%             |  |  |  | No            |                  1 | On Loan: No      |
| TALEN ENERGY SUPPLY TL B 1L BANKDEBT             | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LBA7<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |      237089 | PA      | $237088.51    | 0.04%             | 2032-10-09      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                     | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      330000 | PA      | $336204.00    | 0.05%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY TL B 1L BANKDEBT             | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAY6<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |      356977 | PA      | $357487.11    | 0.06%             | 2031-12-13      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                     | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      432000 | PA      | $457380.00    | 0.07%             | 2030-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                     | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      185000 | PA      | $190781.25    | 0.03%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC TL B 1L USD BANKDEBT     | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAV2<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |      555116 | PA      | $556109.71    | 0.09%             | 2030-05-17      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN 144A                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                    | CUSIP: 87470LAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      215000 | PA      | $221987.50    | 0.03%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                             | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      785000 | PA      | $804015.06    | 0.12%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP 144A                       | TENET HEALTHCARE CORP                                                           | CUSIP: 88033GDV9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |       75000 | PA      | $77437.50     | 0.01%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                            | TENET HEALTHCARE CORP                                                           | CUSIP: 88033GAV2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      180000 | PA      | $195525.00    | 0.03%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| COX MEDIA TL B2 1L BANKDEBT                      | TERRIER MEDIA BUYER INC                                                         | CUSIP: 88145LAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      461393 | PA      | $420790.43    | 0.06%             | 2029-06-18      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | THB/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $1760.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | THB/USD FWD 20251202 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $-10146.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                              | THB/USD FWD 20251202 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $4448.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | THB/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $-7.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                              | THB/USD FWD 20260203 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | TH        |           1 | NC      | $-5330.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                            | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       91000 | PA      | $92851.58     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                            | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      212000 | PA      | $214456.02    | 0.03%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR TL B 1L BANKDEBT                     | TK ELEVATOR US NEWCO INC                                                        | CUSIP: 8869969C3<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |      640112 | PA      | $643645.68    | 0.10%             | 2030-04-30      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| TKO GROUP TL B5 1L BANKDEBT                      | TKO WORLDWIDE HOLDINGS L                                                        | CUSIP: 90266UAL7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      467416 | PA      | $468837.38    | 0.07%             | 2031-11-21      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                            | TORONTO-DOMINION BANK/THE                                                       | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      395000 | PA      | $398313.66    | 0.06%             | 2035-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-3 A1B 144A                             | TOWD POINT MORTGAGE TRUST 2024-3                                                | CUSIP: 89183FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135830 | PA      | $137165.35    | 0.02%             | 2065-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-5 A1B 144A                             | TOWD POINT MORTGAGE TRUST 2024-5                                                | CUSIP: 891944AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1413028 | PA      | $1413607.58   | 0.22%             | 2064-10-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1B 144A                             | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300847 | PA      | $301720.88    | 0.05%             | 2065-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1A 144A                             | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      606322 | PA      | $611647.82    | 0.09%             | 2065-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| TOWNSQUARE TL B 1L BANKDEBT                      | TOWNSQUARE MEDIA INC                                                            | CUSIP: 8922319C7<br>LEI: 549300XBA8C68H0DR538 | Long             | LON              | CORP              | US        |      325849 | PA      | $280556.20    | 0.04%             | 2030-02-19      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| TPIC SPV I LLC 2024-1 A1 PP                      | TPIC SPV I LLC                                                                  | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |     1379106 | PA      | $1386690.91   | 0.21%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| TRANSCONT GAS PIPE LINE 144A                     | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      370000 | PA      | $376250.41    | 0.06%             | 2036-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                               | TRANSDIGM INC                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      460000 | PA      | $481850.00    | 0.07%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM TL M 1L BANKDEBT                       | TRANSDIGM INC                                                                   | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |      290000 | PA      | $290568.40    | 0.04%             | 2032-08-19      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                               | TRANSDIGM INC                                                                   | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      136000 | PA      | $141780.00    | 0.02%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                               | TRANSDIGM INC                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      185000 | PA      | $192862.50    | 0.03%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN AQUILA LTD 144A                       | TRANSOCEAN AQUILA LTD                                                           | CUSIP: 893790AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      104846 | PA      | $107467.30    | 0.02%             | 2028-09-30      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC 144A                              | TRANSOCEAN INTERNATIONAL LTD                                                    | CUSIP: 893814AA1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |       60000 | PA      | $62325.00     | 0.01%             | 2032-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC 144A                              | TRANSOCEAN INTERNATIONAL LTD                                                    | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      130000 | PA      | $131625.00    | 0.02%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC 144A                              | TRANSOCEAN INTERNATIONAL LTD                                                    | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      241500 | PA      | $251461.88    | 0.04%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GRS - SECURITY LENDING COLLATERAL                | TREASURY RESERVE FUND - Collateral                                              | CUSIP: 000000000<br>LEI: 549300SIV6FPS9Y7IH33 | Long             | STIV             | RF                | US        |     7115656 | NS      | $7115656.40   | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| TCN 2024-SFR2 D 144A                             | TRICON RESIDENTIAL 2024-SFR2 TRUST                                              | CUSIP: 89616VAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      870000 | PA      | $879874.50    | 0.14%             | 2040-06-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TCN 2024-SFR2 A 144A                             | TRICON RESIDENTIAL 2024-SFR2 TRUST                                              | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      132580 | PA      | $133208.82    | 0.02%             | 2040-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | TRY/USD FWD 20251202 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | TR        |           1 | NC      | $5722.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | TRY/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TR        |           1 | NC      | $120.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | TRY/USD FWD 20260115 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | TR        |           1 | NC      | $35560.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | TRY/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TR        |           1 | NC      | $162.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | TWD/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TW        |           1 | NC      | $-692.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | TWD/USD FWD 20251202 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | TW        |           1 | NC      | $453.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UKG INC 144A                                     | UKG INC                                                                         | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |      340000 | PA      | $350200.00    | 0.05%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UKG INC TL B 1L USD BANKDEBT                     | UKG INC                                                                         | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |     1092777 | PA      | $1091847.77   | 0.17%             | 2031-02-10      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      960000 | PA      | $880950.00    | 0.14%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1535000 | PA      | $1516831.83   | 0.23%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13030000 | PA      | $13253953.13  | 2.04%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6475000 | PA      | $6608546.88   | 1.02%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13340000 | PA      | $13985635.19  | 2.15%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2145000 | PA      | $1789399.22   | 0.28%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1350000 | PA      | $1177611.33   | 0.18%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4675000 | PA      | $4262650.37   | 0.66%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1275000 | PA      | $1075034.18   | 0.17%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3680000 | PA      | $3427431.26   | 0.53%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1275000 | PA      | $1083799.80   | 0.17%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9370000 | PA      | $9690995.68   | 1.49%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      405000 | PA      | $411375.59    | 0.06%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      580000 | PA      | $520617.97    | 0.08%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1630000 | PA      | $1635603.13   | 0.25%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4080000 | PA      | $4082550.00   | 0.63%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      780000 | PA      | $576072.66    | 0.09%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4070000 | PA      | $4189238.26   | 0.65%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2715000 | PA      | $2536722.08   | 0.39%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13650000 | PA      | $8083892.54   | 1.25%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2215000 | PA      | $1464236.14   | 0.23%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6440000 | PA      | $6585403.09   | 1.01%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5370000 | PA      | $4704623.44   | 0.72%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10795000 | PA      | $6763742.19   | 1.04%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9130000 | PA      | $4643460.94   | 0.72%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6050000 | PA      | $5672111.31   | 0.87%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6430000 | PA      | $5987686.34   | 0.92%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2255000 | PA      | $1457998.44   | 0.22%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2395000 | PA      | $1796250.00   | 0.28%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3235000 | PA      | $3305765.63   | 0.51%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      825000 | PA      | $736409.18    | 0.11%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2395000 | PA      | $2436725.38   | 0.38%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7260000 | PA      | $7332883.58   | 1.13%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1500000 | PA      | $1067812.50   | 0.16%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      175000 | PA      | $173366.21    | 0.03%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5495000 | PA      | $5590303.91   | 0.86%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2815000 | PA      | $2744295.11   | 0.42%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      950000 | PA      | $946140.63    | 0.15%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      315000 | PA      | $327120.26    | 0.05%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      180000 | PA      | $188527.68    | 0.03%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS 144A                    | UNIVISION COMMUNICATIONS INC                                                    | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      130000 | PA      | $134062.50    | 0.02%             | 2031-07-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS 144A                    | UNIVISION COMMUNICATIONS INC                                                    | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      140000 | PA      | $148400.00    | 0.02%             | 2032-08-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| TYH6 US 10YR NOTE (CBT)MAR26                     | US 10YR NOTE (CBT)MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         124 | NC      | $2730.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UXYH6 US 10YR ULTRA FUT MAR26                    | US 10YR ULTRA FUT MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         148 | NC      | $56447.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TUH6 US 2YR NOTE (CBT) MAR26                     | US 2YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         652 | NC      | $-36581.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FVH6 US 5YR NOTE (CBT) MAR26                     | US 5YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         901 | NC      | $47996.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| USCLN 2023-1 B 144A                              | US BANK NA                                                                      | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       58694 | PA      | $59319.11     | 0.01%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| WNH6 US ULTRA BOND CBT MAR26                     | US ULTRA BOND CBT MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -269 | NC      | $-209819.48   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/AUD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-456.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/BRL FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8123.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | USD/BRL FWD 20251202 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4185.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CAD FWD 20251201 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $220.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CHF FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-309.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE               | USD/CHF FWD 20251202 CIBCCATT                                                   | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4794.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | USD/CHF FWD 20251202 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2029.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                  | USD/CHF FWD 20260123 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-22703.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | USD/CHF FWD 20260123 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15528.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CHF FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CLP FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1852.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | USD/CLP FWD 20260206 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-394.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | USD/CNH FWD 20251202 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8446.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/COP FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $669.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | USD/COP FWD 20251205 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1120.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | USD/COP FWD 20251205 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $98607.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | USD/COP FWD 20260306 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |           1 | NC      | $379.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                     | USD/COP FWD 20260306 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3394.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/CZK FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3831.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/EGP FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $828.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | USD/EGP FWD 20251202 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $446.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | USD/EGP FWD 20251202 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1136.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                    | USD/EGP FWD 20260203 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1035.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/EUR FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/EUR FWD 20260220 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-329.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | USD/EUR FWD 20260220 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36466.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                      | USD/EUR FWD 20260220 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2758.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                               | USD/EUR FWD 20260220 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16867.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/GBP FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-153.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/HUF FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3149.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                  | USD/HUF FWD 20260116 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-117919.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)             | USD/IDR FWD 20251202 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |           1 | NC      | $159.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/IDR FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-430.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/IDR FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/ILS FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-774.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/ILS FWD 20251218 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/INR FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1706.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | USD/INR FWD 20251202 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $969.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | USD/INR FWD 20251202 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8043.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/INR FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9.91        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                               | USD/INR FWD 20260203 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-611.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/JPY FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2815.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/KRW FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $177.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | USD/KRW FWD 20251202 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $26952.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/KRW FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/MXN FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5015.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/MYR FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1285.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/MYR FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/NOK FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-50.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/NZD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4069.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/PEN FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-348.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                    | USD/PHP FWD 20251202 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |           1 | NC      | $75.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/PLN FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1214.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/SEK FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4732.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/SGD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-93.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | USD/SGD FWD 20251202 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4031.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/TRY FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-490.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/TWD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $357.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                      | USD/TWD FWD 20251202 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9864.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/TWD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $41.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                     | USD/TWD FWD 20260203 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1293.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | USD/ZAR FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1707.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| USI INC/NY 144A                                  | USI INC/NY                                                                      | CUSIP: 90346KAB5<br>LEI: 2549006D7UF7072T7I27 | Long             | DBT              | CORP              | US        |      290000 | PA      | $301237.50    | 0.05%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC 144A                      | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      650000 | PA      | $553312.50    | 0.09%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC 144A                      | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      290000 | PA      | $305587.50    | 0.05%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                       | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      475000 | PA      | $528437.50    | 0.08%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                       | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      285000 | PA      | $293550.00    | 0.05%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                       | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      180000 | PA      | $195750.00    | 0.03%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                       | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      310000 | PA      | $322400.00    | 0.05%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VEON HOLDINGS BV                                 | VEON MIDCO BV                                                                   | CUSIP: YX4775913<br>LEI: 213800GOFSH7EPKBRE50 | Long             | DBT              | CORP              | NL        |      720000 | PA      | $680682.00    | 0.10%             | 2027-11-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VERD 2024-1A A2 144A                             | VERDANT RECEIVABLES 2024-1 LLC                                                  | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      152882 | PA      | $155745.38    | 0.02%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      210000 | PA      | $210439.32    | 0.03%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERSANT TL B 1L BANKDEBT                         | VERSANT MEDIA GROUP INC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      275000 | PA      | $272709.25    | 0.04%             | 2030-10-23      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| VERUS 2023-1  A1 144A                            | VERUS SECURITIZATION TRUST 2023-1                                               | CUSIP: 92539BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      676379 | PA      | $674828.34    | 0.10%             | 2067-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-2 A1 144A                             | VERUS SECURITIZATION TRUST 2025-2                                               | CUSIP: 92540VAA3<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |      143713 | PA      | $144264.57    | 0.02%             | 2070-03-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-INV1 A3 144A                          | VERUS SECURITIZATION TRUST 2025-INV1                                            | CUSIP: 924929AE2<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |      698510 | PA      | $706234.18    | 0.11%             | 2070-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| VIASAT INC 144A                                  | VIASAT INC                                                                      | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |      140000 | PA      | $131775.00    | 0.02%             | 2031-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| VIASAT TL B 1L BANKDEBT                          | VIASAT INC                                                                      | CUSIP: 92555WAD7<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | LON              | CORP              | US        |      203423 | PA      | $202013.36    | 0.03%             | 2029-03-02      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| VSTA 2020-1 B1 144A                              | VISTA POINT SECURITIZATION TRUST 2020-1                                         | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550000 | PA      | $551238.55    | 0.08%             | 2065-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP 144A                                 | VISTRA CORP                                                                     | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     1805000 | PA      | $1990012.50   | 0.31%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP 144A                                 | VISTRA CORP                                                                     | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |      324000 | PA      | $329670.00    | 0.05%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                    | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |       19000 | PA      | $19608.91     | 0.00%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                    | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      570000 | PA      | $635319.15    | 0.10%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VITAL ENERGY INC                                 | VITAL ENERGY INC                                                                | CUSIP: 516806AJ5<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |      195000 | PA      | $202068.75    | 0.03%             | 2030-10-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA 144A                    | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668CW0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |      250000 | PA      | $251240.75    | 0.04%             | 2028-09-11      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC 144A                          | VOYAGER PARENT LLC                                                              | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |      265000 | PA      | $280237.50    | 0.04%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| CALIBER COLLISION TL B 1L BANKDEBT               | WAND NEWCO 3 INC                                                                | CUSIP: 93369PAM6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | LON              | CORP              | US        |      301696 | PA      | $301665.47    | 0.05%             | 2031-01-30      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| WAND NEWCO 3 INC 144A                            | WAND NEWCO 3 INC                                                                | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |      185000 | PA      | $194481.25    | 0.03%             | 2032-01-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      415000 | PA      | $330962.50    | 0.05%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WB 2024-HQ A 144A                                | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                            | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      220000 | PA      | $220118.03    | 0.03%             | 2040-03-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | WELLS FARGO & CO                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      600000 | PA      | $668623.20    | 0.10%             | 2034-10-23      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| WEF 2025-1A C 144A                               | WINGSPIRE EQUIPMENT FINANCE 2025-1 LLC                                          | CUSIP: 97415CAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100181.51    | 0.02%             | 2033-09-20      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| WEF 2025-1A A2 144A                              | WINGSPIRE EQUIPMENT FINANCE 2025-1 LLC                                          | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100058.32    | 0.02%             | 2033-09-20      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| WIN 2016-1 B3 144A                               | WINWATER MORTGAGE LOAN TRUST 2016-1                                             | CUSIP: 97655JCD2<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |      404539 | PA      | $388662.86    | 0.06%             | 2046-01-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC 144A                               | WOLFSPEED INC                                                                   | CUSIP: 977852AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      165555 | PA      | $180868.78    | 0.03%             | 2030-06-23      | Variable      | 13.88%                | No            |                  2 | On Loan: No      |
| WULF COMPUTE LLC 144A                            | WULF COMPUTE LLC                                                                | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      500000 | PA      | $516875.00    | 0.08%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| X/TWITTER TL B1 1L BANKDEBT                      | X CORP                                                                          | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      405000 | PA      | $394065.00    | 0.06%             | 2029-10-26      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| X/TWITTER TL 1L BANKDEBT                         | X CORP                                                                          | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      395000 | PA      | $391215.90    | 0.06%             | 2029-10-26      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| X.AI LLC/X.AI CO ISSUER                          | X.AI LLC / X.AI CO ISSUER CORP                                                  | CUSIP: 983984AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       81000 | PA      | $85050.00     | 0.01%             | 2030-06-30      | Fixed         | 12.50%                | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING 144A                      | XPLR INFRASTRUCTURE OPERATING PARTNERS LP                                       | CUSIP: 98379YAA0<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      495000 | PA      | $502425.00    | 0.08%             | 2034-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                  | YUM! BRANDS INC                                                                 | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      110000 | PA      | $111375.00    | 0.02%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | ZAR/USD FWD 20251202 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ZA        |           1 | NC      | $3235.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                             | ZAR/USD FWD 20260203 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ZA        |           1 | NC      | $639.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-05

**Name of Applicant:** T. ROWE PRICE TOTAL RETURN FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President