# EDGAR Filing Document

**Accession Number:** 0001217286
**File Stem:** 0002071691-26-009288
**Filing Date:** 2026-4
**Character Count:** 1303659
**Document Hash:** 742cf0d93a0f91db4d6c6cf6b23e3732
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009288.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009288

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21295
- **FILM NUMBER:** 26912535

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

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

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

## Series and Classes Contracts Data

### JPMorgan Income Fund (Series ID: S000044081)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000136811 | Class A      | JGIAX           |
| C000136812 | Class C      | JGCGX           |
| C000136813 | Class I      | JMSIX           |
| C000136814 | Class R6     | JMSFX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

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

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

- **a. Name of Series:** JPMorgan Income Fund

- **b. EDGAR series identifier (if any):** S000044081

- **c. LEI of Series:** 549300J9G10ZQTTAFU03

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**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:** $21713882303.39

**Total Liabilities:** $5382606353.37

**Net Assets:** $16331275950.02

**Delayed Delivery Securities:** $19310500.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -442872.92697000 | **1-Year:** 800749.98050000 | **5-Year:** 1521470.37812000 | **10-Year:** -126754.93050000 | **30-Year:** 67478.99962000

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

- **3-Month:** 31942.64710000 | **1-Year:** 355531.43061000 | **5-Year:** 1123216.98147000 | **10-Year:** 378822.43019000 | **30-Year:** 121392.07159000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000136811 | 0.48%                | 0.36%                | 0.71%                |
| Class ID C000136812 | 0.43%                | 0.32%                | 0.66%                |
| Class ID C000136813 | 0.50%                | 0.38%                | 0.73%                |
| Class ID C000136814 | 0.50%                | 0.38%                | 0.73%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $684773.23               | $-1637982.88                               |
| Month 2  | $945047.77               | $-93185.51                                 |
| Month 3  | $-1321513.98             | $24384657.24                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AB BSL CLO 1 Ltd.                                                     | AB BSL CLO Ltd., Series 2020-1A, Class BR2                                                                    | CUSIP: 00038KBC4<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-CBDO         | CORP              | KY        |   10670000 | PA      | $10705243.01   | 0.07%             | 2038-10-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| ACCO Brands Corp.                                                     | ACCO Brands Corp.                                                                                             | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |   10192000 | PA      | $9376275.13    | 0.06%             | 2029-03-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ACC Trust                                                             | ACC Trust, Series 2021-1, Class D                                                                             | CUSIP: 00091KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4383488 | PA      | $503087.21     | 0.00%             | 2027-03-22      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| ADT Security Corp. (The)                                              | ADT Security Corp. (The)                                                                                      | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    3306000 | PA      | $3225434.43    | 0.02%             | 2029-08-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR1, Class E2                                                                        | CUSIP: 00179WAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9913000 | PA      | $9783514.41    | 0.06%             | 2039-03-17      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR1, Class F                                                                         | CUSIP: 00179WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9913000 | PA      | $9875358.36    | 0.06%             | 2039-03-17      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                               | American Airlines, Inc.                                                                                       | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2356750 | PA      | $2359940.98    | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                               | American Airlines, Inc.                                                                                       | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10465625 | PA      | $10583956.79   | 0.06%             | 2029-04-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Accelerated Assets LLC                                                | Accelerated Assets LLC, Series 2018-1, Class B                                                                | CUSIP: 00436MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      43049 | PA      | $42550.15      | 0.00%             | 2033-12-02      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Accelerated Assets LLC                                                | Accelerated Assets LLC, Series 2018-1, Class C                                                                | CUSIP: 00436MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      93274 | PA      | $88934.85      | 0.00%             | 2033-12-02      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                                       | Accelerated LLC, Series 2021-1H, Class A                                                                      | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     765960 | PA      | $721415.33     | 0.00%             | 2040-10-20      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                                       | Accelerated LLC, Series 2021-1H, Class B                                                                      | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     942015 | PA      | $887862.49     | 0.01%             | 2040-10-20      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                                       | Accelerated LLC, Series 2021-1H, Class D                                                                      | CUSIP: 00439KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1295968 | PA      | $1204084.55    | 0.01%             | 2040-10-20      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Acushnet Co.                                                          | Acushnet Co.                                                                                                  | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |    1548000 | PA      | $1575501.77    | 0.01%             | 2033-12-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                           | Adient Global Holdings Ltd.                                                                                   | CUSIP: 00687YAB1<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    1815000 | PA      | $1850652.05    | 0.01%             | 2028-04-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                           | Adient Global Holdings Ltd.                                                                                   | CUSIP: 00687YAC9<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    3610000 | PA      | $3776579.84    | 0.02%             | 2031-04-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Adient Global Holdings Ltd.                                           | Adient Global Holdings Ltd.                                                                                   | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    3055000 | PA      | $3206259.16    | 0.02%             | 2033-02-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                        | Adjustable Rate Mortgage Trust, Series 2006-2, Class 1A4                                                      | CUSIP: 007034BN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     707620 | PA      | $609111.14     | 0.00%             | 2036-05-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                 | AECOM                                                                                                         | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |    3482000 | PA      | $3557775.28    | 0.02%             | 2033-08-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                     | Affirm Asset Securitization Trust, Series 2024-B, Class A                                                     | CUSIP: 00835AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9600000 | PA      | $9625120.32    | 0.06%             | 2029-09-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                     | Affirm Asset Securitization Trust, Series 2024-B, Class D                                                     | CUSIP: 00835AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5300000 | PA      | $5311232.82    | 0.03%             | 2029-09-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                     | Affirm Asset Securitization Trust, Series 2025-X2, Class D                                                    | CUSIP: 00835DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4013377.60    | 0.02%             | 2030-10-15      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Ahead DB Holdings LLC                                                 | Ahead DB Holdings LLC                                                                                         | CUSIP: 00867FAA6<br>LEI: 254900L07WFL833JX193 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1305801.54    | 0.01%             | 2028-05-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| AI Candelaria -spain- SA                                              | AI Candelaria -spain- SA                                                                                      | CUSIP: 00870WAA4<br>LEI: 213800L5KA2MJ5FKRZ02 | Long             | DBT              | CORP              | ES        |    3974000 | PA      | $3545255.08    | 0.02%             | 2033-06-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                 | Albertsons Cos., Inc.                                                                                         | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3052000 | PA      | $3026813.98    | 0.02%             | 2030-02-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                 | Albertsons Cos., Inc.                                                                                         | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7769000 | PA      | $7491042.27    | 0.05%             | 2029-03-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                 | Albertsons Cos., Inc.                                                                                         | CUSIP: 01309QAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     952000 | PA      | $958406.96     | 0.01%             | 2031-03-31      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                 | Albertsons Cos., Inc.                                                                                         | CUSIP: 01309QAE8<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    5386000 | PA      | $5407202.47    | 0.03%             | 2032-03-31      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| New Albertsons LP                                                     | New Albertsons LP                                                                                             | CUSIP: 013104AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     113000 | PA      | $118727.86     | 0.00%             | 2029-08-01      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| New Albertsons LP                                                     | New Albertsons LP                                                                                             | CUSIP: 013104AL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     870000 | PA      | $951565.11     | 0.01%             | 2031-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| New Albertsons LP                                                     | New Albertsons LP                                                                                             | CUSIP: 01310QDB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       5000 | PA      | $5325.00       | 0.00%             | 2028-06-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Alcoa Nederland Holding BV                                            | Alcoa Nederland Holding BV                                                                                    | CUSIP: 013822AH4<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |    6109000 | PA      | $6458599.74    | 0.04%             | 2031-03-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| ATI, Inc.                                                             | ATI, Inc.                                                                                                     | CUSIP: 01741RAH5<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |    3085000 | PA      | $3086182.63    | 0.02%             | 2027-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                           | Allied Universal Holdco LLC                                                                                   | CUSIP: 019579AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5817000 | PA      | $5773563.30    | 0.04%             | 2028-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                            | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    4093000 | PA      | $4088249.66    | 0.03%             | 2027-10-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                            | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AF4<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |   10651000 | PA      | $10761791.70   | 0.07%             | 2029-06-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                            | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |   10702000 | PA      | $10180349.52   | 0.06%             | 2031-01-30      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                            | Allison Transmission, Inc.                                                                                    | CUSIP: 019736AH0<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1143765.60    | 0.01%             | 2033-12-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F022634<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -132900000 | PA      | $-115130209.46 | -0.70%            | 2056-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F032633<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -131900000 | PA      | $-124286791.36 | -0.76%            | 2056-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F040636<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -238013000 | PA      | $-231304208.49 | -1.42%            | 2056-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F050635<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -40810000 | PA      | $-40993050.81  | -0.25%            | 2056-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F052631<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -388810000 | PA      | $-395043709.08 | -2.42%            | 2056-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -475780000 | PA      | $-488001965.10 | -2.99%            | 2056-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                       | CUSIP: 01F062630<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5600000 | PA      | $-5816207.71   | -0.04%            | 2056-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Altice France SA                                                      | Altice France SA                                                                                              | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    8770586 | PA      | $8905205.72    | 0.05%             | 2029-11-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Altice France SA                                                      | Altice France SA                                                                                              | CUSIP: 02090DAB4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    2667686 | PA      | $2586515.78    | 0.02%             | 2030-10-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Altice France SA                                                      | Altice France SA                                                                                              | CUSIP: 02090DAC2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     317073 | PA      | $305020.55     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Altice France SA                                                      | Altice France SA                                                                                              | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    5564030 | PA      | $5341483.99    | 0.03%             | 2032-07-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Altice France Lux 3/Altice Holdings 1                                 | Altice France Lux 3                                                                                           | CUSIP: 020956AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    2260600 | PA      | $2124315.66    | 0.01%             | 2033-01-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2006-41CB, Class 2A13                                                          | CUSIP: 02149CBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453878 | PA      | $216500.26     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Alumina Pty. Ltd.                                                     | Alumina Pty. Ltd.                                                                                             | CUSIP: 02220AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    1726000 | PA      | $1788986.92    | 0.01%             | 2030-03-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Alumina Pty. Ltd.                                                     | Alumina Pty. Ltd.                                                                                             | CUSIP: 02220AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    1966000 | PA      | $2041177.87    | 0.01%             | 2032-09-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Amer Sports Co.                                                       | Amer Sports Co.                                                                                               | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |    3577000 | PA      | $3734477.43    | 0.02%             | 2031-02-16      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2021-1, Class B                                                  | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3290740 | PA      | $3197266.53    | 0.02%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                   | American Axle & Manufacturing, Inc.                                                                           | CUSIP: 02406PBA7<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |    3441000 | PA      | $3444148.52    | 0.02%             | 2028-07-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                   | American Axle & Manufacturing, Inc.                                                                           | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |   10300000 | PA      | $10062606.63   | 0.06%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2024-3, Class D                                          | CUSIP: 02490BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6350000 | PA      | $6481947.29    | 0.04%             | 2030-07-12      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2024-3, Class E                                          | CUSIP: 02490BAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3159835.80    | 0.02%             | 2032-03-12      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2025-2, Class C                                          | CUSIP: 024938AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5585000 | PA      | $5649997.67    | 0.03%             | 2031-03-12      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2025-2, Class D                                          | CUSIP: 024938AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7800000 | PA      | $7964890.44    | 0.05%             | 2031-07-14      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2025-2, Class E                                          | CUSIP: 024938AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $6254367.00    | 0.04%             | 2033-02-14      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2024-4, Class D                                          | CUSIP: 024945AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11581000 | PA      | $11772052.92   | 0.07%             | 2031-08-12      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2024-4, Class E                                          | CUSIP: 024945AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1031952.60    | 0.01%             | 2032-04-12      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2025-1, Class E                                          | CUSIP: 02528DAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2073301.80    | 0.01%             | 2032-12-13      | Fixed         | 7.39%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2025-3, Class C                                          | CUSIP: 02528EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22230000 | PA      | $22501101.52   | 0.14%             | 2032-07-12      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2025-3, Class D                                          | CUSIP: 02528EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24185000 | PA      | $24566878.73   | 0.15%             | 2032-07-12      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2025-3, Class E                                          | CUSIP: 02528EAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3140000 | PA      | $3197111.58    | 0.02%             | 2033-06-13      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2022-4, Class E                                          | CUSIP: 02529XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2420000 | PA      | $2460323.25    | 0.02%             | 2030-01-14      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2023-2, Class E                                          | CUSIP: 02529YAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6100000 | PA      | $6307409.15    | 0.04%             | 2030-02-12      | Fixed         | 9.79%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2023-4, Class D                                          | CUSIP: 02530CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6700000 | PA      | $6948102.34    | 0.04%             | 2030-09-12      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2023-4, Class E                                          | CUSIP: 02530CAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3178856.40    | 0.02%             | 2031-08-12      | Fixed         | 9.79%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2023-3, Class E                                          | CUSIP: 02530EAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6400000 | PA      | $6675312.00    | 0.04%             | 2031-10-14      | Fixed         | 9.54%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2024-2, Class D                                          | CUSIP: 02531BAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9856000 | PA      | $10061103.36   | 0.06%             | 2030-04-12      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2024-2, Class E                                          | CUSIP: 02531BAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3450000 | PA      | $3574746.48    | 0.02%             | 2031-11-12      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2026-1, Class D                                          | CUSIP: 02531FAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19700000 | PA      | $19890993.47   | 0.12%             | 2033-01-12      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| AmeriGas Partners LP                                                  | AmeriGas Partners LP                                                                                          | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2493000 | PA      | $2576727.41    | 0.02%             | 2028-06-01      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| AmeriGas Partners LP                                                  | AmeriGas Partners LP                                                                                          | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1965000 | PA      | $2103279.02    | 0.01%             | 2030-06-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Amkor Technology, Inc.                                                | Amkor Technology, Inc.                                                                                        | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |    5518000 | PA      | $5630782.40    | 0.03%             | 2033-10-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| ams-OSRAM AG                                                          | ams-OSRAM AG                                                                                                  | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |    1391000 | PA      | $1481860.12    | 0.01%             | 2029-03-30      | Fixed         | 12.25%                | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                 | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                                             | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $4123383.12    | 0.03%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                 | Anchor Mortgage Trust                                                                                         | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5032424.00    | 0.03%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| Anchor Mortgage Trust                                                 | Anchor Mortgage Trust                                                                                         | CUSIP: 03332JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $7638048.75    | 0.05%             | 2031-03-25      | Variable      | 10.14%                | No            |                  3 | On Loan: No      |
| Angel Oak Mortgage Trust                                              | Angel Oak Mortgage Trust, Series 2019-5, Class M1                                                             | CUSIP: 03464KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $7789277.60    | 0.05%             | 2049-10-25      | Variable      | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                              | Angel Oak Mortgage Trust, Series 2019-5, Class B1                                                             | CUSIP: 03464KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2470000 | PA      | $2361900.94    | 0.01%             | 2049-10-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                              | Angel Oak Mortgage Trust, Series 2020-1, Class B1                                                             | CUSIP: 03464RAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550000 | PA      | $1448129.04    | 0.01%             | 2059-12-25      | Variable      | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                              | Angel Oak Mortgage Trust, Series 2019-6, Class B3                                                             | CUSIP: 03464VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1166949.38    | 0.01%             | 2059-11-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                    | Republic of Angola                                                                                            | CUSIP: 035198AD2<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    3620000 | PA      | $3601900.00    | 0.02%             | 2029-11-26      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                    | Republic of Angola                                                                                            | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    5266000 | PA      | $5166246.69    | 0.03%             | 2032-04-14      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                    | Republic of Angola                                                                                            | CUSIP: 035198AH3<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    3000000 | PA      | $3045121.20    | 0.02%             | 2031-01-15      | Fixed         | 9.24%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                    | Republic of Angola                                                                                            | CUSIP: 035198AJ9<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    3100000 | PA      | $3156342.50    | 0.02%             | 2035-10-15      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Antero Midstream Partners LP                                          | Antero Midstream Partners LP                                                                                  | CUSIP: 03690AAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4924000 | PA      | $4922223.42    | 0.03%             | 2028-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Antero Midstream Partners LP                                          | Antero Midstream Partners LP                                                                                  | CUSIP: 03690AAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9644000 | PA      | $9645919.16    | 0.06%             | 2029-06-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Antero Midstream Partners LP                                          | Antero Midstream Partners LP                                                                                  | CUSIP: 03690AAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2122000 | PA      | $2154150.23    | 0.01%             | 2033-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2019-A, Class C                                                                    | CUSIP: 038370AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2851170 | PA      | $2810957.83    | 0.02%             | 2040-07-16      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2020-AA, Class C                                                                   | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2780613 | PA      | $2709419.79    | 0.02%             | 2046-07-17      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: 03846JAG5<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    4590000 | PA      | $5149429.20    | 0.03%             | 2033-02-04      | Fixed         | 9.45%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1459000 | PA      | $1578995.46    | 0.01%             | 2030-02-04      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Aramark Services, Inc.                                                | Aramark Services, Inc.                                                                                        | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    7361000 | PA      | $7362980.11    | 0.05%             | 2028-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                                              | Arbor Realty Trust, Inc., Series QIB                                                                          | CUSIP: 038923AQ1<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $19167577.20   | 0.12%             | 2027-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                                              | Arbor Realty Trust, Inc.                                                                                      | CUSIP: 038923AW8<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14977368.75   | 0.09%             | 2026-04-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                                              | Arbor Realty Trust, Inc., Series QIB                                                                          | CUSIP: 038923AX6<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   14500000 | PA      | $14300370.38   | 0.09%             | 2026-09-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Archrock Services LP                                                  | Archrock Services LP                                                                                          | CUSIP: 03958CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     954000 | PA      | $965909.74     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Archrock Partners LP                                                  | Archrock Partners LP                                                                                          | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2702000 | PA      | $2811814.68    | 0.02%             | 2032-09-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Ardagh Group SA                                                       | Ardagh Group SA                                                                                               | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    6380000 | PA      | $6164675.00    | 0.04%             | 2030-12-01      | Variable      | 12.00%                | Yes           |                  2 | On Loan: No      |
| Ardagh Group SA                                                       | Ardagh Group SA                                                                                               | CUSIP: 039959AA9<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    6427000 | PA      | $6959908.72    | 0.04%             | 2030-12-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Argentine Republic (The)                                              | Argentine Republic                                                                                            | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   33330000 | PA      | $25068326.25   | 0.15%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Argentine Republic (The)                                              | Argentine Republic                                                                                            | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    3400000 | PA      | $2672927.00    | 0.02%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Argentine Republic (The)                                              | Argentine Republic                                                                                            | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4400000 | PA      | $3073554.00    | 0.02%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Argentine Republic (The)                                              | Argentine Republic                                                                                            | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1400000 | PA      | $1235066.00    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Republic of Armenia                                                   | Republic of Armenia                                                                                           | CUSIP: 042207AD2<br>LEI: 5299000H77JSW90G7935 | Long             | DBT              | NUSS              | AM        |    2760000 | PA      | $2542650.00    | 0.02%             | 2031-02-02      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                 | Arroyo Mortgage Trust, Series 2019-2, Class A3                                                                | CUSIP: 042858AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192368 | PA      | $189664.87     | 0.00%             | 2049-04-25      | Variable      | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                 | Arroyo Mortgage Trust, Series 2019-3, Class M1                                                                | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $958880.70     | 0.01%             | 2048-10-25      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                         | Asbury Automotive Group, Inc.                                                                                 | CUSIP: 043436AU8<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |    5460000 | PA      | $5427692.09    | 0.03%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                         | Asbury Automotive Group, Inc.                                                                                 | CUSIP: 043436AV6<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |    3856000 | PA      | $3795255.66    | 0.02%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                         | Asbury Automotive Group, Inc.                                                                                 | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |    1568000 | PA      | $1543575.26    | 0.01%             | 2029-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Ascent Resources Utica Holdings LLC                                   | Ascent Resources Utica Holdings LLC                                                                           | CUSIP: 04364VAX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3745000 | PA      | $3890669.27    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Ascent Resources Utica Holdings LLC                                   | Ascent Resources Utica Holdings LLC                                                                           | CUSIP: 04364VBA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2255000 | PA      | $2339984.19    | 0.01%             | 2033-07-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| ABFC Trust                                                            | ABFC Trust, Series 2002-OPT1, Class M1                                                                        | CUSIP: 04542BBL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36573 | PA      | $41286.63      | 0.00%             | 2032-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Asurion LLC and Asurion Co-Issuer, Inc.                               | Asurion LLC and Asurion Co-Issuer, Inc.                                                                       | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3938000 | PA      | $4136112.90    | 0.03%             | 2032-12-31      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                           | Allied Universal Holdco LLC                                                                                   | CUSIP: 049362AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1622000 | PA      | $1606598.62    | 0.01%             | 2028-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | Audacy, Inc.                                                                                                  | CUSIP: 05070N111<br>LEI: N/A                  | N/A              | DO               |  | US        |       5496 | NS      | $30915.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Audacy, Inc.                                                                                                  | CUSIP: 05070N129<br>LEI: N/A                  | N/A              | DO               |  | US        |       6661 | NS      | $103.25        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                   | Audacy, Inc.                                                                                                  | CUSIP: 05070N137<br>LEI: N/A                  | N/A              | DO               |  | US        |       1110 | NS      | $17.21         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Avantor Funding, Inc.                                                 | Avantor Funding, Inc.                                                                                         | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |   16584000 | PA      | $16432821.25   | 0.10%             | 2028-07-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                            | Avis Budget Car Rental LLC                                                                                    | CUSIP: 053773BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2476000 | PA      | $2472695.28    | 0.02%             | 2027-07-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                            | Avis Budget Car Rental LLC                                                                                    | CUSIP: 053773BG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18035000 | PA      | $17622427.73   | 0.11%             | 2028-04-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                            | Avis Budget Car Rental LLC                                                                                    | CUSIP: 053773BH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2210487.50    | 0.01%             | 2031-02-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                            | Avis Budget Car Rental LLC                                                                                    | CUSIP: 053773BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3088000 | PA      | $3036624.02    | 0.02%             | 2032-06-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class C                                             | CUSIP: 05377RHA5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    3530000 | PA      | $3702902.93    | 0.02%             | 2029-06-20      | Fixed         | 7.24%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C                                             | CUSIP: 05377RJA3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2619256.00    | 0.02%             | 2030-06-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class B                                             | CUSIP: 05377RJL9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    2625000 | PA      | $2725545.64    | 0.02%             | 2030-12-20      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class C                                             | CUSIP: 05377RJM7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    2450000 | PA      | $2541476.88    | 0.02%             | 2030-12-20      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2023-6A, Class D                                             | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1650368.16    | 0.01%             | 2029-12-20      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class D                                             | CUSIP: 05377RJY1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3636111.50    | 0.02%             | 2030-02-20      | Fixed         | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems LLC                                            | Axalta Coating Systems LLC                                                                                    | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $6944892.48    | 0.04%             | 2029-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems LLC                                            | Axalta Coating Systems LLC                                                                                    | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12512000 | PA      | $12505597.61   | 0.08%             | 2027-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems Dutch Holding B BV                             | Axalta Coating Systems Dutch Holding B BV                                                                     | CUSIP: 05455JAA5<br>LEI: 5493007DMEBZH3CQ5E51 | Long             | DBT              | CORP              | NL        |    1250000 | PA      | $1314088.26    | 0.01%             | 2031-02-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Axon Enterprise, Inc.                                                 | Axon Enterprise, Inc.                                                                                         | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1257363.72    | 0.01%             | 2030-03-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Axon Enterprise, Inc.                                                 | Axon Enterprise, Inc.                                                                                         | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    2705000 | PA      | $2803783.90    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                  | BBCMS Mortgage Trust, Series 2021-C11, Class XA                                                               | CUSIP: 05493MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  154566066 | PA      | $7690156.40    | 0.05%             | 2054-09-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                  | BBCMS Mortgage Trust, Series 2021-C11, Class XB                                                               | CUSIP: 05493MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30040000 | PA      | $1443983.75    | 0.01%             | 2054-09-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                  | BBCMS Mortgage Trust, Series 2023-5C23, Class A3                                                              | CUSIP: 05493QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15110000 | PA      | $16023213.65   | 0.10%             | 2056-12-15      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                  | BBCMS Mortgage Trust, Series 2018-TALL, Class E                                                               | CUSIP: 05548WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5030433.00    | 0.03%             | 2037-03-15      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                  | BBCMS Mortgage Trust, Series 2023-C22, Class A5                                                               | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7100000 | PA      | $8025184.67    | 0.05%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-Remic Trust                                                   | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 3AB                                                              | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10499000 | PA      | $9336550.72    | 0.06%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BMD2 Re-REMIC Trust                                                   | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 4A                                                               | CUSIP: 055631FB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4345772.50    | 0.03%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    8540000 | PA      | $9090027.24    | 0.06%             | 2029-08-16      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2023-C7, Class A5                                                                  | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10900000 | PA      | $11846300.94   | 0.07%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-C9, Class A5                                                                  | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10710000 | PA      | $11570038.70   | 0.07%             | 2057-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-C9, Class XA                                                                  | CUSIP: 05593MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   80006598 | PA      | $4927774.40    | 0.03%             | 2057-07-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-5C6, Class A3                                                                 | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10200000 | PA      | $10567566.18   | 0.06%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2023-5C1, Class A3                                                                 | CUSIP: 055986AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39786000 | PA      | $41682550.88   | 0.26%             | 2056-08-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2023-C5, Class A5                                                                  | CUSIP: 055988AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17900000 | PA      | $18995549.81   | 0.12%             | 2056-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                | CUSIP: 05602XJC3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3450000 | PA      | $3623997.30    | 0.02%             | 2034-09-10      | Variable      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| BWX Technologies, Inc.                                                | BWX Technologies, Inc.                                                                                        | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |    4404000 | PA      | $4361747.58    | 0.03%             | 2028-06-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2022-C1, Class XA                                                                  | CUSIP: 05609MCE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   78389686 | PA      | $1647453.33    | 0.01%             | 2055-02-17      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2023-5C2, Class A3                                                                 | CUSIP: 05610QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27530000 | PA      | $29457135.79   | 0.18%             | 2056-11-15      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                          | BX Commercial Mortgage Trust, Series 2024-MF, Class A                                                         | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7942527 | PA      | $7942527.28    | 0.05%             | 2039-02-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                          | BX Commercial Mortgage Trust, Series 2024-MF, Class B                                                         | CUSIP: 05612EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3223055 | PA      | $3224061.75    | 0.02%             | 2039-02-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth of the Bahamas                                           | Commonwealth of the Bahamas                                                                                   | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    6247000 | PA      | $6991205.11    | 0.04%             | 2036-06-24      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Kingdom of Bahrain                                                    | Kingdom of Bahrain                                                                                            | CUSIP: 05675M2D5<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |    5389000 | PA      | $5143153.82    | 0.03%             | 2032-09-16      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO Ltd.                                                    | Ballyrock CLO Ltd., Series 2024-27A, Class A2                                                                 | CUSIP: 05874UAE5<br>LEI: 254900WCB773D35B5908 | Long             | ABS-CBDO         | CORP              | KY        |    3775000 | PA      | $3779658.35    | 0.02%             | 2037-10-25      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                    | Banco Bilbao Vizcaya Argentaria SA                                                                            | CUSIP: 05946KAM3<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   11187000 | PA      | $12462194.94   | 0.08%             | 2029-03-19      | Variable      | 9.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2007-5, Class 4A1                                                       | CUSIP: 059523AL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     548025 | PA      | $383061.97     | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                            | CUSIP: 05971KAP4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   10800000 | PA      | $11994663.60   | 0.07%             | 2028-11-21      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple      | FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple                                              | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    2523813 | PA      | $2629401.59    | 0.02%             | 2041-01-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2017-BNK6, Class D                                                                               | CUSIP: 060352AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3195000 | PA      | $2789432.13    | 0.02%             | 2060-07-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2018-BN14, Class XB                                                                              | CUSIP: 06035RAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  132263000 | PA      | $302432.58     | 0.00%             | 2060-09-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2018-BN14, Class F                                                                               | CUSIP: 06035RBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $575229.30     | 0.00%             | 2060-09-15      | Fixed         | 3.94%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2018-BN15, Class E                                                                               | CUSIP: 06036FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1578505.40    | 0.01%             | 2061-11-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                         | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   29605000 | PA      | $30462424.15   | 0.19%             | 2030-07-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                 | BANK5, Series 2023-5YR3, Class A2                                                                             | CUSIP: 06211EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19617658 | PA      | $20402962.59   | 0.12%             | 2056-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                 | BANK5, Series 2023-5YR4, Class A3                                                                             | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6665225 | PA      | $7019055.42    | 0.04%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2018-BN13, Class D                                                                               | CUSIP: 06539LAJ9<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1523006.80    | 0.01%             | 2061-08-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2020-BN25, Class E                                                                               | CUSIP: 06539WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $3146429.70    | 0.02%             | 2063-01-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN18, Class E                                                                               | CUSIP: 065402AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2150000 | PA      | $1243851.11    | 0.01%             | 2062-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN17, Class D                                                                               | CUSIP: 065403AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2371400.08    | 0.01%             | 2052-04-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN17, Class E                                                                               | CUSIP: 065403AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2034583.75    | 0.01%             | 2052-04-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2018-BN10, Class D                                                                               | CUSIP: 065404AA3<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1309872.60    | 0.01%             | 2061-02-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN16, Class D                                                                               | CUSIP: 065405AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8795000 | PA      | $6985803.42    | 0.04%             | 2052-02-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN16, Class F                                                                               | CUSIP: 065405AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $1130106.90    | 0.01%             | 2052-02-15      | Variable      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN20, Class XA                                                                              | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48277961 | PA      | $1184055.61    | 0.01%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN20, Class D                                                                               | CUSIP: 06540AAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6721000 | PA      | $3966437.13    | 0.02%             | 2062-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN20, Class E                                                                               | CUSIP: 06540AAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $4559339.88    | 0.03%             | 2062-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN21, Class E                                                                               | CUSIP: 06540BAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $6006779.22    | 0.04%             | 2052-10-17      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN21, Class F                                                                               | CUSIP: 06540BAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2841000 | PA      | $1662481.04    | 0.01%             | 2052-10-17      | Fixed         | 2.68%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2021-BN35, Class E                                                                               | CUSIP: 06540CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5300000 | PA      | $3749025.49    | 0.02%             | 2064-06-15      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2021-BN35, Class XB                                                                              | CUSIP: 06540CBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40000000 | PA      | $1177804.00    | 0.01%             | 2064-06-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2020-BN26, Class D                                                                               | CUSIP: 06540JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3250000 | PA      | $2440923.88    | 0.01%             | 2063-03-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2020-BN26, Class E                                                                               | CUSIP: 06540JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5520000 | PA      | $3781449.50    | 0.02%             | 2063-03-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2020-BN26, Class AS                                                                              | CUSIP: 06540JBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7278419 | PA      | $6666722.47    | 0.04%             | 2063-03-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2017-BNK9, Class D                                                                               | CUSIP: 06540RAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2149000 | PA      | $1427914.44    | 0.01%             | 2054-11-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN24, Class D                                                                               | CUSIP: 06540VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7380000 | PA      | $5970583.84    | 0.04%             | 2062-11-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN24, Class XA                                                                              | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   97601419 | PA      | $2095970.94    | 0.01%             | 2062-11-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN19, Class C                                                                               | CUSIP: 06540WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $1872965.25    | 0.01%             | 2061-08-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN22, Class D                                                                               | CUSIP: 06540XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $3363551.58    | 0.02%             | 2062-11-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2021-BN33, Class D                                                                               | CUSIP: 06541CAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $2832796.96    | 0.02%             | 2064-05-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2021-BN33, Class E                                                                               | CUSIP: 06541CAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3850000 | PA      | $2687507.13    | 0.02%             | 2064-05-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2018-BN12, Class D                                                                               | CUSIP: 06541KAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $997476.50     | 0.01%             | 2061-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2019-BN23, Class XA                                                                              | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38055875 | PA      | $818726.49     | 0.01%             | 2052-12-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2020-BN29, Class D                                                                               | CUSIP: 06541TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4001049.50    | 0.02%             | 2053-11-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2020-BN29, Class E                                                                               | CUSIP: 06541TAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $2631185.20    | 0.02%             | 2053-11-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2020-BN30, Class D                                                                               | CUSIP: 06541UAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5231252 | PA      | $4168027.76    | 0.03%             | 2053-12-15      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2020-BN30, Class E                                                                               | CUSIP: 06541UAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4145008 | PA      | $3085541.05    | 0.02%             | 2053-12-15      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2017-BNK5, Class D                                                                               | CUSIP: 06541WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $890062.90     | 0.01%             | 2060-06-15      | Variable      | 3.08%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2017-BNK5, Class C                                                                               | CUSIP: 06541WBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2050000 | PA      | $1967900.17    | 0.01%             | 2060-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BANK                                                                  | BANK, Series 2017-BNK7, Class D                                                                               | CUSIP: 06541XAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2388184.80    | 0.01%             | 2060-09-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| BANK5                                                                 | BANK5, Series 2023-5YR1, Class A3                                                                             | CUSIP: 06644EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26446000 | PA      | $27425628.60   | 0.17%             | 2056-04-15      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                      | Barings CLO Ltd., Series 2022-3A, Class A2R                                                                   | CUSIP: 06762VAH9<br>LEI: 549300P3XUH38MXFT836 | Long             | ABS-CBDO         | CORP              | KY        |    5250000 | PA      | $5259507.75    | 0.03%             | 2037-10-20      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                      | Barings CLO Ltd., Series 2023-4A, Class D1R                                                                   | CUSIP: 06763MAU9<br>LEI: 5493000KFDA0OKC5JK34 | Long             | ABS-CBDO         | CORP              | KY        |    6380000 | PA      | $6380000.00    | 0.04%             | 2039-01-20      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                      | Barings CLO Ltd., Series 2023-4A, Class D2R                                                                   | CUSIP: 06763MAW5<br>LEI: 5493000KFDA0OKC5JK34 | Long             | ABS-CBDO         | CORP              | KY        |    2860000 | PA      | $2861664.52    | 0.02%             | 2039-01-20      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                      | Barings CLO Ltd., Series 2023-3A, Class D2R                                                                   | CUSIP: 067932AY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2270000 | PA      | $2188779.40    | 0.01%             | 2038-10-15      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                 | Bastion Funding I LLC, Series 2023-1A, Class C                                                                | CUSIP: 07030UAE2<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |     317726 | PA      | $317757.73     | 0.00%             | 2038-04-25      | Fixed         | 11.73%                | Yes           |                  3 | On Loan: No      |
| Bausch Health Cos., Inc.                                              | Bausch Health Cos., Inc.                                                                                      | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    9902000 | PA      | $7476010.00    | 0.05%             | 2029-02-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Bausch Health Cos., Inc.                                              | Bausch Health Cos., Inc.                                                                                      | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    3300000 | PA      | $3071079.00    | 0.02%             | 2028-06-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                  | BBCMS Mortgage Trust, Series 2017-C1, Class D                                                                 | CUSIP: 07332VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $732721.70     | 0.00%             | 2050-02-15      | Variable      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                                    | Barclays Commercial Mortgage Trust, Series 2019-C4, Class D                                                   | CUSIP: 07335CAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8451000 | PA      | $5508840.13    | 0.03%             | 2052-08-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC                               | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class C                                                | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     691143 | PA      | $693715.98     | 0.00%             | 2031-12-26      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC                               | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class D                                                | CUSIP: 07336QAD4<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     174901 | PA      | $176110.54     | 0.00%             | 2031-12-26      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC                               | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class E                                                | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     524702 | PA      | $531965.64     | 0.00%             | 2031-12-26      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                            | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC4, Class M1                                         | CUSIP: 07384YKH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55731 | PA      | $48186.77      | 0.00%             | 2033-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                              | Bear Stearns ALT-A Trust, Series 2004-7, Class 2A1                                                            | CUSIP: 07386HKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45979 | PA      | $45165.43      | 0.00%             | 2034-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2019-B9, Class D                                                             | CUSIP: 08160JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1365545.40    | 0.01%             | 2052-03-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2019-B9, Class F                                                             | CUSIP: 08160JBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $2681236.20    | 0.02%             | 2052-03-15      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2019-B15, Class E                                                            | CUSIP: 08160KAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9150000 | PA      | $5352358.38    | 0.03%             | 2072-12-15      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2018-B2, Class XA                                                            | CUSIP: 08161CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31987587 | PA      | $197440.18     | 0.00%             | 2051-02-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2020-B16, Class E                                                            | CUSIP: 08161NAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7250000 | PA      | $5035297.55    | 0.03%             | 2053-02-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2019-B11, Class D                                                            | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1059253.42    | 0.01%             | 2052-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2018-B1, Class D                                                             | CUSIP: 08162PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1212112.60    | 0.01%             | 2051-01-15      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2018-B1, Class C                                                             | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5140000 | PA      | $4254024.37    | 0.03%             | 2051-01-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2018-B8, Class D                                                             | CUSIP: 08162UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3050000 | PA      | $2304476.61    | 0.01%             | 2052-01-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2019-B14, Class E                                                            | CUSIP: 08162YAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $1060878.90    | 0.01%             | 2062-12-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2020-B21, Class E                                                            | CUSIP: 08163LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $1359455.75    | 0.01%             | 2053-12-17      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2023-V3, Class A3                                                            | CUSIP: 08163VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278000 | PA      | $291037.62     | 0.00%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2024-V5, Class A3                                                            | CUSIP: 08163XAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4132621 | PA      | $4310314.61    | 0.03%             | 2057-01-10      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2024-V7, Class A3                                                            | CUSIP: 08163YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27131000 | PA      | $28724680.37   | 0.18%             | 2056-05-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2026-V20, Class XA                                                           | CUSIP: 08164KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $1088350.00    | 0.01%             | 2059-02-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark Mortgage Trust, Series 2024-V9, Class A3                                                            | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15500000 | PA      | $16195762.45   | 0.10%             | 2057-08-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BMARK                                                                 | BMARK, Series 2023-V4, Class A3                                                                               | CUSIP: 081926AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28900000 | PA      | $30641444.64   | 0.19%             | 2056-11-15      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                   | Benin Government Bond                                                                                         | CUSIP: 08205QAA6<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |    8132000 | PA      | $8526480.07    | 0.05%             | 2038-02-13      | Fixed         | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Berry Global, Inc.                                                    | Berry Global, Inc.                                                                                            | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    5576000 | PA      | $5577030.56    | 0.03%             | 2026-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| BHMS Commercial Mortgage Trust                                        | BHMS Commercial Mortgage Trust, Series 2025-ATLS, Class A                                                     | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21450000 | PA      | $21584225.52   | 0.13%             | 2042-08-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Big River Steel LLC                                                   | Big River Steel LLC                                                                                           | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2951000 | PA      | $2966808.51    | 0.02%             | 2029-01-31      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Blue Racer Midstream LLC                                              | Blue Racer Midstream LLC                                                                                      | CUSIP: 095796AJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2187994.20    | 0.01%             | 2029-07-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Blue Racer Midstream LLC                                              | Blue Racer Midstream LLC                                                                                      | CUSIP: 095796AK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1798108.70    | 0.01%             | 2032-07-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                 | BlueMountain CLO Ltd., Series 2019-26A, Class CR                                                              | CUSIP: 09630GAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6006564.00    | 0.04%             | 2034-10-20      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    5030000 | PA      | $5222732.45    | 0.03%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-5C3, Class A3                                                                 | CUSIP: 09660QAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18530000 | PA      | $19276510.70   | 0.12%             | 2057-02-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-5C4, Class A3                                                                 | CUSIP: 09660SAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24700000 | PA      | $26320927.62   | 0.16%             | 2057-05-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-5C7, Class A3                                                                 | CUSIP: 09660WAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $7310625.00    | 0.04%             | 2057-11-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-5C7, Class XA                                                                 | CUSIP: 09660WAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   91954491 | PA      | $2832464.98    | 0.02%             | 2057-11-15      | Variable      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-5C7, Class AS                                                                 | CUSIP: 09660WAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550000 | PA      | $1600982.91    | 0.01%             | 2057-11-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2024-C10, Class XA                                                                 | CUSIP: 096920AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  385257711 | PA      | $18668355.85   | 0.11%             | 2057-11-15      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2025-5C11, Class XA                                                                | CUSIP: 096941AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48247382 | PA      | $2114388.43    | 0.01%             | 2058-07-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                    | BMO Mortgage Trust, Series 2026-C14, Class XA                                                                 | CUSIP: 096942AX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48830000 | PA      | $4018757.83    | 0.02%             | 2059-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Bombardier, Inc.                                                      | Bombardier, Inc.                                                                                              | CUSIP: 097751CA7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    4795000 | PA      | $5137084.89    | 0.03%             | 2030-11-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Bombardier, Inc.                                                      | Bombardier, Inc.                                                                                              | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    4089000 | PA      | $4350340.26    | 0.03%             | 2031-07-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Bombardier, Inc.                                                      | Bombardier, Inc.                                                                                              | CUSIP: 097751CC3<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    2292000 | PA      | $2414374.46    | 0.01%             | 2032-06-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Bombardier, Inc.                                                      | Bombardier, Inc.                                                                                              | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1650000 | PA      | $1738675.95    | 0.01%             | 2033-06-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Boyne USA, Inc.                                                       | Boyne USA, Inc.                                                                                               | CUSIP: 103557AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4913000 | PA      | $4877992.91    | 0.03%             | 2029-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Braskem Netherlands Finance BV                                        | Braskem Netherlands Finance BV                                                                                | CUSIP: 10554TAG0<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    1302000 | PA      | $537075.00     | 0.00%             | 2033-02-13      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Federative Republic of Brazil                                         | Federative Republic of Brazil                                                                                 | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    2605000 | PA      | $2653088.30    | 0.02%             | 2054-05-13      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2026-1, Class D                                         | CUSIP: 107927AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5490000 | PA      | $5552164.37    | 0.03%             | 2031-11-17      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D                                         | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2651094.94    | 0.02%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class E                                         | CUSIP: 10805MAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10432826.00   | 0.06%             | 2031-01-15      | Fixed         | 8.21%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class D                                         | CUSIP: 10805NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8430000 | PA      | $8607785.33    | 0.05%             | 2030-05-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class D                                         | CUSIP: 10806EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17000000 | PA      | $17253371.40   | 0.11%             | 2030-08-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class E                                         | CUSIP: 10806EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10344469.00   | 0.06%             | 2031-08-15      | Fixed         | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D                                         | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10237000 | PA      | $10464003.43   | 0.06%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D                                         | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3710000 | PA      | $3800147.44    | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class E                                         | CUSIP: 10807UAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $8231671.20    | 0.05%             | 2032-11-15      | Fixed         | 7.18%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    5000000 | PA      | $-657144.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2500000 | PA      | $-328572.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   12500000 | PA      | $-1857861.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Brink's Co. (The)                                                     | Brink's Co. (The)                                                                                             | CUSIP: 109696AA2<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |    3555000 | PA      | $3550803.32    | 0.02%             | 2027-10-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   12500000 | PA      | $-2063293.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    5500000 | PA      | $-904046.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    8017000 | PA      | $-1317771.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   12500000 | PA      | $-2133555.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                                   | Buckeye Partners LP                                                                                           | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    3120000 | PA      | $3097411.51    | 0.02%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                                   | Buckeye Partners LP                                                                                           | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    7992000 | PA      | $7974563.85    | 0.05%             | 2028-03-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Buckeye Partners LP                                                   | Buckeye Partners LP                                                                                           | CUSIP: 118230AW1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    4488000 | PA      | $4685081.54    | 0.03%             | 2030-02-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                            | Builders FirstSource, Inc.                                                                                    | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    4188000 | PA      | $3994177.27    | 0.02%             | 2032-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                            | Builders FirstSource, Inc.                                                                                    | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    3885000 | PA      | $3991800.55    | 0.02%             | 2032-06-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                            | Builders FirstSource, Inc.                                                                                    | CUSIP: 12008RAS6<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    2685000 | PA      | $2765592.96    | 0.02%             | 2034-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                            | Builders FirstSource, Inc.                                                                                    | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    1702000 | PA      | $1776147.10    | 0.01%             | 2035-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2024-1A, Class A                                                          | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8941747 | PA      | $9251788.43    | 0.06%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2024-1A, Class C                                                          | CUSIP: 12327CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1228065 | PA      | $1276514.71    | 0.01%             | 2039-05-15      | Fixed         | 9.13%                 | Yes           |                  3 | On Loan: No      |
| BX Mortgage Trust                                                     | BX Mortgage Trust, Series 2025-BIO3, Class C                                                                  | CUSIP: 123911AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15700000 | PA      | $16103706.66   | 0.10%             | 2042-02-10      | Variable      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| BX Mortgage Trust                                                     | BX Mortgage Trust, Series 2025-BIO3, Class D                                                                  | CUSIP: 123911AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7900000 | PA      | $8032580.17    | 0.05%             | 2042-02-10      | Variable      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                      | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3694000 | PA      | $3685211.90    | 0.02%             | 2029-06-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                      | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   57876000 | PA      | $55952386.96   | 0.34%             | 2030-03-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                      | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   42413000 | PA      | $40454681.52   | 0.25%             | 2030-08-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                      | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26762000 | PA      | $24944869.03   | 0.15%             | 2031-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                      | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6675000 | PA      | $6108656.29    | 0.04%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC                                                      | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12741000 | PA      | $12910682.98   | 0.08%             | 2029-09-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                      | CCO Holdings LLC                                                                                              | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9460000 | PA      | $9760572.58    | 0.06%             | 2031-03-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2017-CD6, Class C                                                                   | CUSIP: 125039AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     913793 | PA      | $860002.76     | 0.01%             | 2050-11-13      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class B2                                                                         | CUSIP: 12510HAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4290000 | PA      | $4237488.26    | 0.03%             | 2050-02-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class B3                                                                         | CUSIP: 12510HAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4510000 | PA      | $4271469.71    | 0.03%             | 2050-02-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Churchill Downs, Inc.                                                 | Churchill Downs, Inc.                                                                                         | CUSIP: 12511VAA6<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |    2076000 | PA      | $2092614.23    | 0.01%             | 2030-04-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2018-CD7, Class D                                                                   | CUSIP: 12512JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1629000 | PA      | $1377610.93    | 0.01%             | 2051-08-15      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2018-CD7, Class C                                                                   | CUSIP: 12512JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2700000 | PA      | $2543324.94    | 0.02%             | 2051-08-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2016-CD1, Class C                                                                   | CUSIP: 12514MBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $1659821.40    | 0.01%             | 2049-08-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2019-CD8, Class XB                                                                  | CUSIP: 12515BAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   78512000 | PA      | $1691289.80    | 0.01%             | 2057-08-15      | Variable      | 0.70%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2019-CD8, Class E                                                                   | CUSIP: 12515BAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1910000 | PA      | $1141580.64    | 0.01%             | 2057-08-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2017-CD4, Class D                                                                   | CUSIP: 12515DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3550000 | PA      | $3144647.51    | 0.02%             | 2050-05-10      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2017-CD3, Class A4                                                                  | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1725000 | PA      | $1687130.90    | 0.01%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2017-CD3, Class D                                                                   | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     641495 | PA      | $36776.40      | 0.00%             | 2050-02-10      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2017-CD5, Class D                                                                   | CUSIP: 12515HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266000 | PA      | $246885.03     | 0.00%             | 2050-08-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| CD&R Smokey Buyer, Inc.                                               | CD&R Smokey Buyer, Inc.                                                                                       | CUSIP: 12515KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5232000 | PA      | $4294518.21    | 0.03%             | 2029-10-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                                 | Cantor Commercial Real Estate Lending, Series 2019-CF2, Class E                                               | CUSIP: 12528YAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $1671740.74    | 0.01%             | 2052-11-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK58                                                  | CUSIP: 12529YBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $10693650.00   | 0.07%             | 2029-09-29      | Variable      | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK98                                                  | CUSIP: 12529YBY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6970000 | PA      | $5574313.26    | 0.03%             | 2029-08-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK99                                                  | CUSIP: 12529YCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $6514432.00    | 0.04%             | 2029-09-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK99                                                  | CUSIP: 12529YCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $10722124.00   | 0.07%             | 2029-09-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                             | CFIN 2022-RTL1 Issuer LLC, Class A                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   11985114 | PA      | $11970132.14   | 0.07%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                             | CFIN 2022-RTL1 Issuer LLC, Class B-1                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   26803118 | PA      | $26769614.30   | 0.16%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFIN Issuer LLC                                                       | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                                   | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1261741 | PA      | $1255937.12    | 0.01%             | 2026-02-16      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| CFIN Issuer LLC                                                       | CFIN Issuer LLC, Series 2022-RTL1, Class AB                                                                   | CUSIP: 12531CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1270670 | PA      | $1263681.17    | 0.01%             | 2026-02-16      | Variable      | 6.50%                 | Yes           |                  3 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                       | CFCRE Commercial Mortgage Trust, Series 2016-C6, Class D                                                      | CUSIP: 12532AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1579548.66    | 0.01%             | 2049-11-10      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                       | CFCRE Commercial Mortgage Trust, Series 2016-C6, Class C                                                      | CUSIP: 12532ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $727345.12     | 0.00%             | 2049-11-10      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                        | Community Health Systems, Inc.                                                                                | CUSIP: 12543DBH2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    7176000 | PA      | $7148590.84    | 0.04%             | 2029-01-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                        | Community Health Systems, Inc.                                                                                | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    4540000 | PA      | $4165410.32    | 0.03%             | 2031-02-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                        | Community Health Systems, Inc.                                                                                | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    3410000 | PA      | $3276437.73    | 0.02%             | 2030-05-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                        | Community Health Systems, Inc.                                                                                | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2330010.90    | 0.01%             | 2032-01-15      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                     | CIFC Funding Ltd., Series 2022-2A, Class BR                                                                   | CUSIP: 12567MAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14750000 | PA      | $14742035.00   | 0.09%             | 2035-04-19      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2014-UBS2, Class D                                                          | CUSIP: 12591UAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266605 | PA      | $117698.00     | 0.00%             | 2047-03-10      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2014-CR19, Class E                                                          | CUSIP: 12592GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3290072 | PA      | $3174886.44    | 0.02%             | 2047-08-10      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2014-UBS5, Class D                                                          | CUSIP: 12592KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4760000 | PA      | $3142064.10    | 0.02%             | 2047-09-10      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2014-CR20, Class D                                                          | CUSIP: 12592LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4375000 | PA      | $3221050.00    | 0.02%             | 2047-11-10      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-CR22, Class D                                                          | CUSIP: 12592XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4173500 | PA      | $3297148.47    | 0.02%             | 2048-03-10      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-LC21, Class E                                                          | CUSIP: 12593FAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $1957500.00    | 0.01%             | 2048-07-10      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-LC21, Class D                                                          | CUSIP: 12593FBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $3957492.00    | 0.02%             | 2048-07-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-CR24, Class D                                                          | CUSIP: 12593JBL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1458000 | PA      | $1355794.20    | 0.01%             | 2048-08-10      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-CR25, Class D                                                          | CUSIP: 12593PBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     664668 | PA      | $648051.47     | 0.00%             | 2048-08-10      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2016-CR28, Class E                                                          | CUSIP: 12593YAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3587500 | PA      | $2843080.48    | 0.02%             | 2049-02-10      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2016-DC2, Class C                                                           | CUSIP: 12594CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2457500.00    | 0.02%             | 2049-02-10      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2016-COR1, Class XB                                                         | CUSIP: 12594MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27554000 | PA      | $22238.83      | 0.00%             | 2049-10-10      | Variable      | 0.42%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2016-COR1, Class C                                                          | CUSIP: 12594MBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $861710.00     | 0.01%             | 2049-10-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class AS                                                   | CUSIP: 12595JAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6775472.90    | 0.04%             | 2050-11-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                   | COMM Mortgage Trust, Series 2018-COR3, Class B                                                                | CUSIP: 12595VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1743426.20    | 0.01%             | 2051-05-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2018-COR3, Class D                                                          | CUSIP: 12595VAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3250000 | PA      | $1341220.08    | 0.01%             | 2051-05-10      | Variable      | 2.84%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D                                                     | CUSIP: 12596GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1504020.20    | 0.01%             | 2051-11-15      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class C                                                     | CUSIP: 12596GBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3610000 | PA      | $3272693.15    | 0.02%             | 2051-11-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA                                                    | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   69255533 | PA      | $2772769.94    | 0.02%             | 2052-06-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D                                                     | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $3055473.85    | 0.02%             | 2052-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class XA                                                    | CUSIP: 12597DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   44795989 | PA      | $1314618.94    | 0.01%             | 2052-12-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class XB                                                    | CUSIP: 12597DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   61932000 | PA      | $375729.06     | 0.00%             | 2052-12-15      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2020-C19, Class D                                                     | CUSIP: 12597NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4450000 | PA      | $2287601.71    | 0.01%             | 2053-03-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                              | COLT Mortgage Loan Trust, Series 2023-2, Class A1                                                             | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |    1371371 | PA      | $1375546.89    | 0.01%             | 2068-07-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2013-CR11, Class D                                                          | CUSIP: 12626LAY8<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |    2595309 | PA      | $2504473.65    | 0.02%             | 2050-08-10      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| CSC Holdings LLC                                                      | CSC Holdings LLC                                                                                              | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2229807.96    | 0.01%             | 2028-02-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CSC Holdings LLC                                                      | CSC Holdings LLC                                                                                              | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   14326000 | PA      | $9050454.80    | 0.06%             | 2029-02-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| CSC Holdings LLC                                                      | CSC Holdings LLC                                                                                              | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    4770000 | PA      | $1842954.85    | 0.01%             | 2030-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2014-CR14, Class C                                                          | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $981350.00     | 0.01%             | 2047-02-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                                                      | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    1547810 | PA      | $1478174.07    | 0.01%             | 2057-06-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                                                      | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    4775000 | PA      | $4192975.25    | 0.03%             | 2057-06-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C                                                      | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    1260000 | PA      | $1166130.00    | 0.01%             | 2048-08-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class D                                                      | CUSIP: 12635FBA1<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    1750000 | PA      | $1315125.00    | 0.01%             | 2048-08-15      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-CR27, Class D                                                          | CUSIP: 12635QAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2072000 | PA      | $1802640.00    | 0.01%             | 2048-10-10      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-LC23, Class D                                                          | CUSIP: 12636FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1717980.00    | 0.01%             | 2048-10-10      | Variable      | 3.68%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-LC23, Class E                                                          | CUSIP: 12636FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $2835315.00    | 0.02%             | 2048-10-10      | Variable      | 3.68%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class D                                                      | CUSIP: 12636LAG5<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2585000.00    | 0.02%             | 2048-11-15      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2016-C6, Class D                                                      | CUSIP: 12636MAV0<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    2655000 | PA      | $2262473.12    | 0.01%             | 2049-01-15      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class D                                                                         | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   12636000 | PA      | $10895138.28   | 0.07%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2018-CX11, Class C                                                    | CUSIP: 12652UBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6734000 | PA      | $6340016.56    | 0.04%             | 2051-04-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| CNX Resources Corp.                                                   | CNX Resources Corp.                                                                                           | CUSIP: 12653CAM0<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1768227.14    | 0.01%             | 2034-03-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2019-GC44, Class E                                                          | CUSIP: 12655TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8493000 | PA      | $5802595.10    | 0.04%             | 2057-08-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2004-18CB, Class 5A1                                                           | CUSIP: 12667FQU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13121 | PA      | $13784.31      | 0.00%             | 2034-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2004-24CB, Class 1A1                                                           | CUSIP: 12667FVN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9276 | PA      | $9738.12       | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-23CB, Class A7                                                            | CUSIP: 12667GLH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13032 | PA      | $10424.67      | 0.00%             | 2035-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-23CB, Class A16                                                           | CUSIP: 12667GMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36382 | PA      | $29529.52      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-64CB, Class 1A15                                                          | CUSIP: 12668AA21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225072 | PA      | $201942.09     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-J14, Class A3                                                             | CUSIP: 12668AQ24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198115 | PA      | $117286.12     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1                                                   | CUSIP: 126694M96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     673752 | PA      | $601251.47     | 0.00%             | 2046-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                   | COMM Mortgage Trust, Series 2024-CBM, Class A1                                                                | CUSIP: 12674GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6922650 | PA      | $7029783.55    | 0.04%             | 2041-12-10      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                   | COMM Mortgage Trust, Series 2024-CBM, Class A2                                                                | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5483928 | PA      | $5609366.27    | 0.03%             | 2041-12-10      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                   | COMM Mortgage Trust, Series 2024-CBM, Class B                                                                 | CUSIP: 12674GAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5976000 | PA      | $6157094.31    | 0.04%             | 2041-12-10      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                           | Caesars Entertainment, Inc.                                                                                   | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    3478000 | PA      | $3402552.44    | 0.02%             | 2029-10-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                           | Caesars Entertainment, Inc.                                                                                   | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    7950000 | PA      | $8150650.05    | 0.05%             | 2030-02-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                           | Caesars Entertainment, Inc.                                                                                   | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   10098000 | PA      | $10261557.31   | 0.06%             | 2032-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| California Housing Finance Agency                                     | California Housing Finance Agency, Series 2021-2, Class X                                                     | CUSIP: 13033DAH8<br>LEI: 549300BOPCVLBA552Z14 | Long             | ABS-MBS          | MUN               | US        |   60927548 | PA      | $2316404.47    | 0.01%             | 2035-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| California Infrastructure & Economic Development Bank                 | California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project, Series 2025B | CUSIP: 13034A7E4<br>LEI: 549300C1OG9RDIM8ET06 | Long             | STIV             | MUN               | US        |    7140000 | PA      | $3855600.00    | 0.02%             | 2065-01-01      | Variable      | 12.00%                | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                             | Carlyle Global Market Strategies CLO Ltd., Series 2015-4A, Class BR3                                          | CUSIP: 14311NBJ2<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $8001336.00    | 0.05%             | 2032-07-20      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                             | Carlyle Global Market Strategies CLO Ltd., Series 2016-1A, Class CR3                                          | CUSIP: 14312HBL9<br>LEI: 549300N3CJKPCWZ7KX23 | Long             | ABS-CBDO         | CORP              | KY        |   12378000 | PA      | $12040055.84   | 0.07%             | 2034-04-20      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                   | Carlyle US CLO Ltd., Series 2018-4A, Class D2R                                                                | CUSIP: 14315RAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3492636.00    | 0.02%             | 2037-10-17      | Floating      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                   | Carlyle US CLO Ltd., Series 2021-7A, Class CR                                                                 | CUSIP: 14316WAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7529512.50    | 0.05%             | 2040-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                                        | Carnival Corp.                                                                                                | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   12348000 | PA      | $12783341.09   | 0.08%             | 2033-02-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                                        | Carnival Corp.                                                                                                | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    8862000 | PA      | $9196974.74    | 0.06%             | 2032-08-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust                                         | CarNow Auto Receivables Trust, Series 2022-1A, Class E                                                        | CUSIP: 14367LAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5770000 | PA      | $163596.81     | 0.00%             | 2028-08-15      | Fixed         | 8.29%                 | Yes           |                  2 | On Loan: No      |
| Carpenter Technology Corp.                                            | Carpenter Technology Corp.                                                                                    | CUSIP: 144285AN3<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |     987000 | PA      | $1006423.17    | 0.01%             | 2034-03-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                         | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                                       | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2727666 | PA      | $2641729.71    | 0.02%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                | Cascade MH Asset Trust, Series 2019-MH1, Class A                                                              | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4127958 | PA      | $4009048.82    | 0.02%             | 2044-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                              | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7938651 | PA      | $7806724.48    | 0.05%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                         | Six Flags Entertainment Corp.                                                                                 | CUSIP: 150190AE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4935000 | PA      | $4746614.76    | 0.03%             | 2029-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                              | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    3435000 | PA      | $3690378.51    | 0.02%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                              | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QBC7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    1728000 | PA      | $1779824.45    | 0.01%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                              | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QBD5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   12669000 | PA      | $13015053.74   | 0.08%             | 2034-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust                | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2026-RTL1, Class A1                            | CUSIP: 151704AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7390000 | PA      | $7420032.96    | 0.05%             | 2030-12-25      | Variable      | 5.38%                 | Yes           |                  3 | On Loan: No      |
| Axia Energia                                                          | Axia Energia                                                                                                  | CUSIP: 15234VAA5<br>LEI: 254900I8KYDELP4B4Z08 | Long             | DBT              | CORP              | BR        |    4730000 | PA      | $4920873.47    | 0.03%             | 2035-01-11      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Central Garden & Pet Co.                                              | Central Garden & Pet Co.                                                                                      | CUSIP: 153527AM8<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |    8885000 | PA      | $8875850.23    | 0.05%             | 2028-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Central Garden & Pet Co.                                              | Central Garden & Pet Co.                                                                                      | CUSIP: 153527AN6<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |    4585000 | PA      | $4424646.96    | 0.03%             | 2030-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                                                | Chart Industries, Inc.                                                                                        | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    8982000 | PA      | $9330608.58    | 0.06%             | 2030-01-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Chemours Co. (The)                                                    | Chemours Co. (The)                                                                                            | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    7871000 | PA      | $7916761.99    | 0.05%             | 2028-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Chemours Co. (The)                                                    | Chemours Co. (The)                                                                                            | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    4922000 | PA      | $4662169.10    | 0.03%             | 2029-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Chemours Co. (The)                                                    | Chemours Co. (The)                                                                                            | CUSIP: 163851AL2<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    1753000 | PA      | $1750809.28    | 0.01%             | 2034-03-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Churchill Downs, Inc.                                                 | Churchill Downs, Inc.                                                                                         | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |    1275000 | PA      | $1313385.15    | 0.01%             | 2031-05-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Cinemark USA, Inc.                                                    | Cinemark USA, Inc.                                                                                            | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    1387000 | PA      | $1444592.15    | 0.01%             | 2032-08-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Cipher Compute LLC                                                    | Cipher Compute LLC                                                                                            | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2070000 | PA      | $2157652.08    | 0.01%             | 2030-11-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2016-C2, Class D                                                  | CUSIP: 17291CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1438825.35    | 0.01%             | 2049-08-10      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2016-P6, Class D                                                  | CUSIP: 17291EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1470360.40    | 0.01%             | 2049-12-10      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CITI Asset Receivables Trust I                                        | CITI Asset Receivables Trust I, Series 2025-2, Class CERT                                                     | CUSIP: 17292CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10844794 | PA      | $10664770.59   | 0.07%             | 2031-05-20      | Fixed         | 24.76%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust I, Series 2025-10, Class CERT                                                    | CUSIP: 17292HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32619918 | PA      | $33904453.58   | 0.21%             | 2032-01-20      | Fixed         | 24.78%                | Yes           |                  3 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc., Series T                                                                                     | CUSIP: 172967KM2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      83000 | PA      | $83382.80      | 0.00%             | 2026-08-15      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc., Series EE                                                                                    | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7630000 | PA      | $7805070.35    | 0.05%             | 2030-02-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                               | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3232000 | PA      | $3341180.64    | 0.02%             | 2031-02-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust    | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-8, Class 1A5                  | CUSIP: 1729734C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25209 | PA      | $23725.96      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITI Asset Receivables Trust I                                        | CITI Asset Receivables Trust I, Series 2025-1, Class CERT                                                     | CUSIP: 17302EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22184641 | PA      | $21725418.80   | 0.13%             | 2031-03-15      | Fixed         | 27.07%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust I, Series 2026-1, Class CERT                                                     | CUSIP: 17302LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40828463 | PA      | $41930831.88   | 0.26%             | 2032-02-20      | Fixed         | 25.47%                | Yes           |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3A5                                                 | CUSIP: 17307GBU1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      28525 | PA      | $28548.79      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 3CB2                                             | CUSIP: 17307GHE1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       5565 | PA      | $5563.03       | 0.00%             | 2019-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class D                                                | CUSIP: 17322YAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3750000 | PA      | $2025375.00    | 0.01%             | 2047-10-10      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class D                                                | CUSIP: 17323VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8955000 | PA      | $6022416.60    | 0.04%             | 2048-04-10      | Fixed         | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class D                                                | CUSIP: 17323YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $242664.58     | 0.00%             | 2048-06-10      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class D                                                  | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42776 | PA      | $41813.66      | 0.00%             | 2048-09-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2016-GC36, Class B                                                | CUSIP: 17324TAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2380500.00    | 0.01%             | 2049-02-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2016-GC36, Class C                                                | CUSIP: 17324TAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $878390.00     | 0.01%             | 2049-02-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2016-C3, Class D                                                  | CUSIP: 17325GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1175399.85    | 0.01%             | 2049-11-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CGMS Commercial Mortgage Trust                                        | CGMS Commercial Mortgage Trust, Series 2017-B1, Class D                                                       | CUSIP: 17326CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4358750 | PA      | $3864163.51    | 0.02%             | 2050-08-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CGMS Commercial Mortgage Trust                                        | CGMS Commercial Mortgage Trust, Series 2017-B1, Class E                                                       | CUSIP: 17326CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     809000 | PA      | $587943.34     | 0.00%             | 2050-08-15      | Variable      | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class D                                                  | CUSIP: 17326FAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5452500 | PA      | $4836941.10    | 0.03%             | 2050-10-12      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc., Series FF                                                                                    | CUSIP: 17327CAV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7303000 | PA      | $7508112.06    | 0.05%             | 2030-02-15      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class E                                                | CUSIP: 17328HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9287000 | PA      | $5712805.18    | 0.03%             | 2052-11-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class E                                                | CUSIP: 17328RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $2499813.00    | 0.02%             | 2053-02-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust I, Series 2026-2, Class CERT                                                     | CUSIP: 17332QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40028056 | PA      | $41519962.89   | 0.25%             | 2032-03-20      | Fixed         | 25.72%                | Yes           |                  3 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 17888HAA1<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    5230000 | PA      | $5405539.72    | 0.03%             | 2028-07-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 17888HAB9<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    5512000 | PA      | $5786933.05    | 0.04%             | 2031-07-01      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 17888HAC7<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    7753000 | PA      | $8205372.04    | 0.05%             | 2030-11-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 17888HAD5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1736005.52    | 0.01%             | 2033-06-15      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                     | Clarios Global LP                                                                                             | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1605887.06    | 0.01%             | 2028-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                     | Clarios Global LP                                                                                             | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3080000 | PA      | $3226176.80    | 0.02%             | 2030-02-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                     | Clarios Global LP                                                                                             | CUSIP: 18060TAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6451000 | PA      | $6696299.28    | 0.04%             | 2032-09-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Clarivate Science Holdings Corp.                                      | Clarivate Science Holdings Corp.                                                                              | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6219000 | PA      | $5816715.22    | 0.04%             | 2028-07-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Clarivate Science Holdings Corp.                                      | Clarivate Science Holdings Corp.                                                                              | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6373000 | PA      | $5228209.79    | 0.03%             | 2029-07-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Clean Harbors, Inc.                                                   | Clean Harbors, Inc.                                                                                           | CUSIP: 184496AR8<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2814999.00    | 0.02%             | 2033-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                  | Clear Channel Outdoor Holdings, Inc.                                                                          | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |       5550 | NS      | $13320.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                  | Clear Channel Outdoor Holdings, Inc.                                                                          | CUSIP: 18453HAC0<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    8369000 | PA      | $8435416.38    | 0.05%             | 2028-04-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                  | Clear Channel Outdoor Holdings, Inc.                                                                          | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |   11586000 | PA      | $12246528.87   | 0.07%             | 2031-02-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                  | Clear Channel Outdoor Holdings, Inc.                                                                          | CUSIP: 18453HAH9<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    5161000 | PA      | $5571407.88    | 0.03%             | 2033-03-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                | Cleveland-Cliffs, Inc.                                                                                        | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3534051.29    | 0.02%             | 2031-03-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                | Cleveland-Cliffs, Inc.                                                                                        | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    1622000 | PA      | $1647345.37    | 0.01%             | 2032-03-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                | Cleveland-Cliffs, Inc.                                                                                        | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    1987000 | PA      | $2073925.29    | 0.01%             | 2031-09-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                | Cleveland-Cliffs, Inc.                                                                                        | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    3312000 | PA      | $3399010.12    | 0.02%             | 2034-01-15      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                 | Clydesdale Acquisition Holdings, Inc.                                                                         | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    7967000 | PA      | $8027155.55    | 0.05%             | 2032-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Coinbase Global, Inc.                                                 | Coinbase Global, Inc.                                                                                         | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |    1440000 | PA      | $1373515.92    | 0.01%             | 2028-10-01      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Coinbase Global, Inc.                                                 | Coinbase Global, Inc.                                                                                         | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     982000 | PA      | $858340.57     | 0.01%             | 2031-10-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                       | Permian Resources Operating LLC                                                                               | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    2460000 | PA      | $2468344.32    | 0.02%             | 2029-07-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Republic of Colombia                                                  | Republic of Colombia                                                                                          | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    2010000 | PA      | $2151705.00    | 0.01%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                  | Republic of Colombia                                                                                          | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     860000 | PA      | $893110.00     | 0.01%             | 2034-02-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                  | Republic of Colombia                                                                                          | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1600000 | PA      | $1707600.00    | 0.01%             | 2035-11-14      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                  | Republic of Colombia                                                                                          | CUSIP: 195325EM3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    7368000 | PA      | $8092274.40    | 0.05%             | 2053-11-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Colorado Health Facilities Authority                                  | Colorado Health Facilities Authority, Vail Valley Medical Centre Project                                      | CUSIP: 19648A4N2<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |     175000 | PA      | $170742.09     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                    | Columbia Pipelines Holding Co. LLC                                                                            | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5590000 | PA      | $5843263.28    | 0.04%             | 2028-08-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Comision Ejecutiva Hidroelectrica del Rio Lempa                       | Comision Ejecutiva Hidroelectrica del Rio Lempa                                                               | CUSIP: 200444AA5<br>LEI: 254900YU43PQQ27Q0E71 | Long             | DBT              | NUSS              | SV        |     767000 | PA      | $813787.00     | 0.00%             | 2033-01-24      | Fixed         | 8.65%                 | Yes           |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                      | Comision Federal de Electricidad                                                                              | CUSIP: 200447AR1<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | NUSS              | MX        |    1541000 | PA      | $1559106.75    | 0.01%             | 2051-01-28      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-LC19, Class D                                                          | CUSIP: 200474AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2812530.00    | 0.02%             | 2048-02-10      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Commercial Credit, Inc.                                               | Commercial Credit, Inc., Series QIB                                                                           | CUSIP: 201616AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12000000 | PA      | $11831278.92   | 0.07%             | 2030-08-30      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Commercial Metals Co.                                                 | Commercial Metals Co.                                                                                         | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |    1989000 | PA      | $2029346.87    | 0.01%             | 2033-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Compass Minerals International, Inc.                                  | Compass Minerals International, Inc.                                                                          | CUSIP: 20451NAJ0<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |    1295000 | PA      | $1366289.75    | 0.01%             | 2030-07-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                              | Comstock Resources, Inc.                                                                                      | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |   13316000 | PA      | $13264520.34   | 0.08%             | 2029-03-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                              | Comstock Resources, Inc.                                                                                      | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    5725000 | PA      | $5517433.77    | 0.03%             | 2030-01-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Connect Finco SARL                                                    | Connect Finco SARL                                                                                            | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2105000 | PA      | $2233769.17    | 0.01%             | 2029-09-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M2                                               | CUSIP: 20753BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1682000 | PA      | $1738650.94    | 0.01%             | 2043-09-25      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Connect Holding II LLC                                                | Connect Holding II LLC                                                                                        | CUSIP: 20753PAD3<br>LEI: 254900LCX7S2QHYUOI31 | Long             | DBT              | CORP              | US        |    5665000 | PA      | $5478265.17    | 0.03%             | 2031-04-03      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2018-R07, Class 1B1                                               | CUSIP: 20753QAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5865677 | PA      | $6202583.09    | 0.04%             | 2031-04-25      | Floating      | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2019-R04, Class 2B1                                               | CUSIP: 20753TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8485991 | PA      | $8598859.29    | 0.05%             | 2039-06-25      | Floating      | 9.03%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2019-R07, Class 1B1                                               | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25905296 | PA      | $26271506.00   | 0.16%             | 2039-10-25      | Floating      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1B1                                               | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5662000 | PA      | $5970547.29    | 0.04%             | 2042-03-25      | Floating      | 9.92%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1B1                                               | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $6067500.00    | 0.04%             | 2041-12-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1                                               | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22660000 | PA      | $23064678.14   | 0.14%             | 2040-01-25      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2                                               | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2960000 | PA      | $3038225.10    | 0.02%             | 2043-07-25      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M2                                               | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3160000 | PA      | $3176779.60    | 0.02%             | 2044-02-25      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2019-R05, Class 1B1                                               | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6250876 | PA      | $6321905.13    | 0.04%             | 2039-07-25      | Floating      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2019-R06, Class 2B1                                               | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26355586 | PA      | $26743631.98   | 0.16%             | 2039-09-25      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2M2                                               | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   12140272 | PA      | $12178104.64   | 0.07%             | 2041-11-25      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2B1                                               | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    4983000 | PA      | $5062791.78    | 0.03%             | 2041-11-25      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1                                               | CUSIP: 20754PAD2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |   61101177 | PA      | $64219585.43   | 0.39%             | 2039-11-25      | Floating      | 13.03%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R04, Class 1M2                                               | CUSIP: 20754QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5235553.00    | 0.03%             | 2043-05-25      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R04, Class 1B1                                               | CUSIP: 20754QAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4317364.00    | 0.03%             | 2043-05-25      | Floating      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1                                               | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2634630.96    | 0.02%             | 2041-10-25      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1                                               | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14634000 | PA      | $14860693.83   | 0.09%             | 2040-01-25      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M2                                               | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11850000 | PA      | $12313823.22   | 0.08%             | 2043-01-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1B1                                               | CUSIP: 20755AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7600000 | PA      | $8137506.96    | 0.05%             | 2043-01-25      | Floating      | 9.22%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1M2                                               | CUSIP: 20755CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4495000 | PA      | $4576494.35    | 0.03%             | 2043-10-25      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                           | CUSIP: 210385AG5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    1105000 | PA      | $1105204.39    | 0.01%             | 2029-02-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Constellium SE                                                        | Constellium SE                                                                                                | CUSIP: 21039CAD6<br>LEI: 724500KRJEMC79KAAU28 | Long             | DBT              | CORP              | FR        |    1500000 | PA      | $1561402.50    | 0.01%             | 2032-08-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   12500000 | PA      | $-997820.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    7500000 | PA      | $-838022.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    7500000 | PA      | $-733219.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2500000 | PA      | $-278156.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    7500000 | PA      | $-834415.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   12500000 | PA      | $-862131.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    5000000 | PA      | $-333769.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    5000000 | PA      | $-624993.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   10000000 | PA      | $-1286189.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   10000000 | PA      | $-740232.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   20000000 | PA      | $-1607560.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   15000000 | PA      | $-1264701.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDSCMBX                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    8000000 | PA      | $-1135945.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                      | Cooper-Standard Automotive, Inc.                                                                              | CUSIP: 216762AH7<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |    4608989 | PA      | $4711751.02    | 0.03%             | 2027-03-31      | Fixed         | 13.50%                | Yes           |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                      | Cooper-Standard Automotive, Inc.                                                                              | CUSIP: 216762AJ3<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |     968879 | PA      | $981738.93     | 0.01%             | 2027-05-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                      | Cooper-Standard Automotive, Inc.                                                                              | CUSIP: 216762AK0<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |   15569000 | PA      | $15612904.58   | 0.10%             | 2031-03-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| CoreCivic, Inc.                                                       | CoreCivic, Inc.                                                                                               | CUSIP: 21871NAC5<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |    4965000 | PA      | $5162835.39    | 0.03%             | 2029-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                    | CUSIP: 21871XAU3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   15094000 | PA      | $15480089.43   | 0.09%             | 2030-12-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-1, Class E                                                       | CUSIP: 21872FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1493000 | PA      | $1511050.37    | 0.01%             | 2052-03-15      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-2, Class E                                                       | CUSIP: 21872GAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5576000 | PA      | $5266663.59    | 0.03%             | 2052-06-15      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-3, Class XA                                                      | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2102008 | PA      | $457.19        | 0.00%             | 2052-10-15      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-3, Class XB                                                      | CUSIP: 21872NAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   53875000 | PA      | $2138471.15    | 0.01%             | 2052-10-15      | Variable      | 1.36%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-3, Class D                                                       | CUSIP: 21872NAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8689000 | PA      | $8234940.66    | 0.05%             | 2052-10-15      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-3, Class E                                                       | CUSIP: 21872NAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5810000 | PA      | $5429237.58    | 0.03%             | 2052-10-15      | Variable      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                       | CoreWeave, Inc.                                                                                               | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    5478000 | PA      | $5365426.00    | 0.03%             | 2030-06-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                       | CoreWeave, Inc.                                                                                               | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    5495000 | PA      | $5301940.26    | 0.03%             | 2031-02-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H030633<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -432200000 | PA      | $-396361422.78 | -2.43%            | 2056-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H040632<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -334300000 | PA      | $-321554324.42 | -1.97%            | 2056-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -659000000 | PA      | $-651225862.67 | -3.99%            | 2056-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -132400000 | PA      | $-132849205.40 | -0.81%            | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 1833970313 | PA      | $1857374378.43 | 11.37%            | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Single Family, 30 Year                                                                               | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  363200000 | PA      | $370485632.19  | 2.27%             | 2056-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of Costa Rica                                                | Republic of Costa Rica                                                                                        | CUSIP: 221597CV7<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    4403000 | PA      | $5029505.51    | 0.03%             | 2054-11-13      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                             | Republic of Cote d'Ivoire                                                                                     | CUSIP: 221625AU0<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    1488000 | PA      | $1624896.00    | 0.01%             | 2037-01-30      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                             | Republic of Cote d'Ivoire                                                                                     | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   10750000 | PA      | $11590005.00   | 0.07%             | 2036-04-01      | Fixed         | 8.07%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                             | Republic of Cote d'Ivoire                                                                                     | CUSIP: 221625AX4<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   17842000 | PA      | $17021268.00   | 0.10%             | 2041-02-25      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                                                    | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2295000 | PA      | $2326737.33    | 0.01%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class D                                                    | CUSIP: 22534QAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22000000 | PA      | $22198792.00   | 0.14%             | 2033-04-18      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class B                                                    | CUSIP: 22535LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8645000 | PA      | $8702773.67    | 0.05%             | 2034-11-15      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                                                    | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5320000 | PA      | $5399712.75    | 0.03%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class B                                                    | CUSIP: 22535PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3866000 | PA      | $3935889.93    | 0.02%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                                                    | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     143555 | PA      | $143668.48     | 0.00%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class B                                                    | CUSIP: 22537GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5988000 | PA      | $6078234.37    | 0.04%             | 2034-05-15      | Fixed         | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C                                                    | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7860000 | PA      | $8052586.51    | 0.05%             | 2034-07-17      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 2A5                                      | CUSIP: 225458PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139780 | PA      | $88748.48      | 0.00%             | 2035-06-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                       | CSAIL Commercial Mortgage Trust, Series 2021-C20, Class E                                                     | CUSIP: 22945EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5659000 | PA      | $3816579.00    | 0.02%             | 2054-03-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                   | DBGS Mortgage Trust, Series 2018-C1, Class D                                                                  | CUSIP: 23307DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $744298.60     | 0.00%             | 2051-10-15      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                  | DBJPM Mortgage Trust, Series 2017-C6, Class D                                                                 | CUSIP: 23312JAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1477991.70    | 0.01%             | 2050-06-10      | Variable      | 3.19%                 | Yes           |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                  | DBJPM Mortgage Trust, Series 2016-C3, Class D                                                                 | CUSIP: 23312VAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2950000 | PA      | $1921809.95    | 0.01%             | 2049-08-10      | Variable      | 3.48%                 | Yes           |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                  | DBJPM Mortgage Trust, Series 2016-C3, Class E                                                                 | CUSIP: 23312VAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $539326.25     | 0.00%             | 2049-08-10      | Variable      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                    | DT Midstream, Inc.                                                                                            | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5485000 | PA      | $5407072.69    | 0.03%             | 2031-06-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-3A, Class E                                                                  | CUSIP: 23345RAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8500000 | PA      | $8876476.90    | 0.05%             | 2029-07-16      | Fixed         | 10.99%                | Yes           |                  2 | On Loan: No      |
| DailyPay Securitization Trust 2025-1                                  | DailyPay Securitization Trust, Series 2025-1A, Class A                                                        | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2690000 | PA      | $2708534.91    | 0.02%             | 2028-06-26      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Dana, Inc.                                                            | Dana, Inc.                                                                                                    | CUSIP: 235825AH9<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |    1016000 | PA      | $975537.60     | 0.01%             | 2030-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                          | DaVita, Inc.                                                                                                  | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $2026377.86    | 0.01%             | 2030-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| DaVita, Inc.                                                          | DaVita, Inc.                                                                                                  | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    9477000 | PA      | $8856188.36    | 0.05%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc. Mortgage Loan Trust                | Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-1, Class 3A5                              | CUSIP: 251563CA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33711 | PA      | $33501.32      | 0.00%             | 2033-12-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Diamond Foreign Asset Co.                                             | Diamond Foreign Asset Co.                                                                                     | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    2300000 | PA      | $2444849.40    | 0.01%             | 2030-10-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Diebold Nixdorf, Inc.                                                 | Diebold Nixdorf, Inc.                                                                                         | CUSIP: 253651AK9<br>LEI: 549300XZK6EWDBAZSY16 | Long             | DBT              | CORP              | US        |    2569000 | PA      | $2709575.68    | 0.02%             | 2030-03-31      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Digicel International Finance Ltd.                                    | Digicel International Finance Ltd.                                                                            | CUSIP: 25381MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5820000 | PA      | $6057266.85    | 0.04%             | 2032-08-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| State of Nevada Department of Business & Industry                     | State of Nevada Department of Business and Industry, Brighline West Passenger Rail Project, Series 2025B      | CUSIP: 25457VBV7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    9665000 | PA      | $5219100.00    | 0.03%             | 2065-01-01      | Variable      | 12.00%                | Yes           |                  2 | On Loan: No      |
| Directv Financing LLC                                                 | Directv Financing LLC                                                                                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8352000 | PA      | $8361705.02    | 0.05%             | 2027-08-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| DISH Network Corp.                                                    | DISH Network Corp.                                                                                            | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   19297000 | PA      | $19977720.97   | 0.12%             | 2027-11-15      | Fixed         | 11.75%                | Yes           |                  2 | On Loan: No      |
| DISH DBS Corp.                                                        | DISH DBS Corp.                                                                                                | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19231000 | PA      | $18992779.83   | 0.12%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp.                                                        | DISH DBS Corp.                                                                                                | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12175000 | PA      | $11825958.58   | 0.07%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                        | Diversified ABS Phase LLC, Series 2024-1A, Class A2                                                           | CUSIP: 255123AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14211283 | PA      | $14367223.74   | 0.09%             | 2044-05-30      | Fixed         | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                    | Dominican Republic Government Bond                                                                            | CUSIP: 25714PEE4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   11450000 | PA      | $10327900.00   | 0.06%             | 2060-01-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                    | Dominican Republic Government Bond                                                                            | CUSIP: 25714PFB9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1300000 | PA      | $1396200.00    | 0.01%             | 2037-03-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                    | Dominican Republic Government Bond                                                                            | CUSIP: 25714PFC7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1500000 | PA      | $1626000.00    | 0.01%             | 2055-02-24      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                    | Dominican Republic Government Bond                                                                            | CUSIP: 25714PFH6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    5880000 | PA      | $5889601.45    | 0.04%             | 2038-05-17      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series C                                                                               | CUSIP: 25746UDM8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    5240000 | PA      | $5214583.90    | 0.03%             | 2027-01-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc.                                                                                         | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   15875000 | PA      | $16109203.88   | 0.10%             | 2056-02-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Dornoch Debt Merger Sub, Inc.                                         | Dornoch Debt Merger Sub, Inc.                                                                                 | CUSIP: 25830JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4565000 | PA      | $4123905.05    | 0.03%             | 2029-10-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                          | Drive Auto Receivables Trust, Series 2025-1, Class D                                                          | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7900000 | PA      | $8044084.94    | 0.05%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                                       | Dryden CLO Ltd., Series 2022-109A, Class BR                                                                   | CUSIP: 26248KAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4000296.00    | 0.02%             | 2038-04-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Dycom Industries, Inc.                                                | Dycom Industries, Inc.                                                                                        | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3771219.84    | 0.02%             | 2029-04-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| ELM Trust                                                             | ELM Trust, Series 2024-ELM, Class C10                                                                         | CUSIP: 26860XBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12915000 | PA      | $12964804.11   | 0.08%             | 2039-06-10      | Variable      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                       | Permian Resources Operating LLC                                                                               | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    9292000 | PA      | $9941891.77    | 0.06%             | 2031-07-15      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-306166.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $253934.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-404658.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1134494.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $674839.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $174120.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2699088.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $33740.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-406817.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $153888.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $46704.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-149651.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $295552.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-153298.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $76895.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1015746.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-189257.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-80834.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $215884.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-508664.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-152607.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-493832.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $135347.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $14454.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-498474.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $82725.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-142457.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-65715.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $79122.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EchoStar Corp.                                                        | EchoStar Corp.                                                                                                | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    4807074 | PA      | $4868383.42    | 0.03%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EchoStar Corp.                                                        | EchoStar Corp.                                                                                                | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    9910000 | PA      | $10821165.04   | 0.07%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                          | Ecopetrol SA                                                                                                  | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     855000 | PA      | $642105.00     | 0.00%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                          | Ecopetrol SA                                                                                                  | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    5025000 | PA      | $5336047.50    | 0.03%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                          | Ecopetrol SA                                                                                                  | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     974000 | PA      | $1000785.00    | 0.01%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Republic of Ecuador                                                   | Republic of Ecuador                                                                                           | CUSIP: 27927WAQ5<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    2890000 | PA      | $2916010.00    | 0.02%             | 2034-01-29      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                   | Republic of Ecuador                                                                                           | CUSIP: 27927WAR3<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |   31191000 | PA      | $31721247.00   | 0.19%             | 2039-01-29      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Edgewell Personal Care Co.                                            | Edgewell Personal Care Co.                                                                                    | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |   16240000 | PA      | $16224913.04   | 0.10%             | 2028-06-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Edgewell Personal Care Co.                                            | Edgewell Personal Care Co.                                                                                    | CUSIP: 28035QAB8<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |    3618000 | PA      | $3491209.72    | 0.02%             | 2029-04-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                               | Republic of El Salvador                                                                                       | CUSIP: 283875CE0<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |    9300000 | PA      | $10067250.00   | 0.06%             | 2030-04-17      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                               | Republic of El Salvador                                                                                       | CUSIP: 283875CG5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |    7327000 | PA      | $8326311.21    | 0.05%             | 2054-11-21      | Fixed         | 9.65%                 | Yes           |                  2 | On Loan: No      |
| Elanco Animal Health, Inc.                                            | Elanco Animal Health, Inc.                                                                                    | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    6647000 | PA      | $6910234.49    | 0.04%             | 2028-08-28      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                                        | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class D                                                        | CUSIP: 28416LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     912506 | PA      | $874469.44     | 0.01%             | 2035-08-27      | Fixed         | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                                        | Elara HGV Timeshare Issuer LLC, Series 2019-A, Class C                                                        | CUSIP: 28416TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     289871 | PA      | $289448.73     | 0.00%             | 2034-01-25      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Element Solutions, Inc.                                               | Element Solutions, Inc.                                                                                       | CUSIP: 28618MAA4<br>LEI: 549300FLGN6P5CU20J91 | Long             | DBT              | CORP              | US        |    7541000 | PA      | $7412754.74    | 0.05%             | 2028-09-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO III Ltd.                                                  | Elmwood CLO Ltd., Series 2019-3A, Class BRR                                                                   | CUSIP: 29002HBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8200000 | PA      | $8219114.20    | 0.05%             | 2037-07-18      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO Ltd.                                                      | Elmwood CLO Ltd., Series 2021-1A, Class BR                                                                    | CUSIP: 29003EAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5004060.00    | 0.03%             | 2037-04-20      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd.                                                   | Elmwood CLO Ltd., Series 2021-2A, Class ER                                                                    | CUSIP: 29003VAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1397971.50    | 0.01%             | 2038-04-20      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 36 Ltd.                                                   | Elmwood CLO Ltd., Series 2024-12RA, Class CR                                                                  | CUSIP: 29004MAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11079999 | PA      | $11100574.56   | 0.07%             | 2037-10-20      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| EMRLD Borrower LP                                                     | EMRLD Borrower LP                                                                                             | CUSIP: 29103CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18006000 | PA      | $18636119.97   | 0.11%             | 2030-12-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Encompass Health Corp.                                                | Encompass Health Corp.                                                                                        | CUSIP: 29261AAA8<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    6149000 | PA      | $6120437.28    | 0.04%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Encompass Health Corp.                                                | Encompass Health Corp.                                                                                        | CUSIP: 29261AAB6<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    4214000 | PA      | $4191848.69    | 0.03%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Encompass Health Corp.                                                | Encompass Health Corp.                                                                                        | CUSIP: 29261AAE0<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    6147000 | PA      | $6034811.10    | 0.04%             | 2031-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Energizer Holdings, Inc.                                              | Energizer Holdings, Inc.                                                                                      | CUSIP: 29272WAC3<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |   11118000 | PA      | $11011656.33   | 0.07%             | 2028-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Energizer Holdings, Inc.                                              | Energizer Holdings, Inc.                                                                                      | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |    1817000 | PA      | $1765023.62    | 0.01%             | 2029-03-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                            | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     430000 | PA      | $392958.81     | 0.00%             | 2047-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                            | CUSIP: 29273VBG4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7633000 | PA      | $7712657.99    | 0.05%             | 2056-02-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Endo GUC Trust                                                        | Endo GUC Trust                                                                                                | CUSIP: 29281F105<br>LEI: N/A                  | Long             |  | PF                | US        |      10295 | NS      | $5919.63       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Endo Finance Holdings LP                                              | Endo Finance Holdings LP                                                                                      | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1436000 | PA      | $1526170.75    | 0.01%             | 2031-04-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Enpro, Inc.                                                           | Enpro, Inc.                                                                                                   | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |    1206000 | PA      | $1244649.89    | 0.01%             | 2033-06-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Entegris, Inc.                                                        | Entegris, Inc.                                                                                                | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    3813000 | PA      | $3780401.14    | 0.02%             | 2028-04-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Entegris, Inc.                                                        | Entegris, Inc.                                                                                                | CUSIP: 29362UAD6<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     946000 | PA      | $907985.84     | 0.01%             | 2029-05-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Entergy Corp.                                                         | Entergy Corp.                                                                                                 | CUSIP: 29364GAQ6<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   11327000 | PA      | $11850364.04   | 0.07%             | 2054-12-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                         | Entergy Corp.                                                                                                 | CUSIP: 29364GAR4<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    7570000 | PA      | $7606404.13    | 0.05%             | 2056-06-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Entegris, Inc.                                                        | Entegris, Inc.                                                                                                | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |   10075000 | PA      | $10083372.33   | 0.06%             | 2029-04-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Entegris, Inc.                                                        | Entegris, Inc.                                                                                                | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    6060000 | PA      | $6179594.10    | 0.04%             | 2030-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D                                                | CUSIP: 29425AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $5624100.00    | 0.03%             | 2058-09-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class E                                                | CUSIP: 29425AAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4330000 | PA      | $2125597.00    | 0.01%             | 2058-09-10      | Variable      | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                   | Citigroup Commercial Mortgage Trust, Series 2016-P3, Class B                                                  | CUSIP: 29429CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1152777.12    | 0.01%             | 2049-04-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| EquipmentShare.com, Inc.                                              | EquipmentShare.com, Inc.                                                                                      | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |   12550000 | PA      | $13145158.65   | 0.08%             | 2028-05-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| EquipmentShare.com, Inc.                                              | EquipmentShare.com, Inc.                                                                                      | CUSIP: 29450YAB5<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |     985000 | PA      | $1053598.36    | 0.01%             | 2032-05-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Esab Corp.                                                            | Esab Corp.                                                                                                    | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |    2590000 | PA      | $2654900.22    | 0.02%             | 2029-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| EUSHI Finance, Inc.                                                   | EUSHI Finance, Inc.                                                                                           | CUSIP: 29882DAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12107000 | PA      | $12196761.30   | 0.07%             | 2056-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-4A, Class E                                                  | CUSIP: 30166BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1138000 | PA      | $1162168.16    | 0.01%             | 2030-03-15      | Fixed         | 8.23%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-2A, Class E                                                  | CUSIP: 30166QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5876387.40    | 0.04%             | 2029-10-15      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-4A, Class D                                                  | CUSIP: 30166TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5129839.00    | 0.03%             | 2029-12-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-5A, Class E                                                  | CUSIP: 30166VAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5570000 | PA      | $5756135.48    | 0.04%             | 2033-06-15      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                                                  | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7370000 | PA      | $7570732.27    | 0.05%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-3A, Class E                                                  | CUSIP: 30166XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2091448.80    | 0.01%             | 2032-12-15      | Fixed         | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-1A, Class E                                                  | CUSIP: 30167JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1330000 | PA      | $1325196.84    | 0.01%             | 2029-10-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                                                  | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10895000 | PA      | $11083657.82   | 0.07%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-1A, Class E                                                  | CUSIP: 30168BAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4350000 | PA      | $4828039.34    | 0.03%             | 2030-09-16      | Fixed         | 12.07%                | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-2A, Class D                                                  | CUSIP: 30168CAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3060084.30    | 0.02%             | 2029-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2026-1A, Class D                                                  | CUSIP: 30168HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14570000 | PA      | $14723085.53   | 0.09%             | 2032-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                               | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6979027.30    | 0.04%             | 2028-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                               | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25000000 | PA      | $24274340.00   | 0.15%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2021-GT2, Class B                                                               | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19140000 | PA      | $18794327.77   | 0.12%             | 2026-10-25      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2022-GT1, Class B                                                               | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10092972.00   | 0.06%             | 2027-04-25      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                              | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $15275062.50   | 0.09%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Tierra Mojada Luxembourg II SARL                                      | Tierra Mojada Luxembourg II SARL                                                                              | CUSIP: 30260LAA3<br>LEI: 254900H2U8PBIY32VI94 | Long             | DBT              | CORP              | LU        |    6518804 | PA      | $6393368.99    | 0.04%             | 2040-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 19K-1510, Class X2B                                                              | CUSIP: 30265DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81410434 | PA      | $475559.05     | 0.00%             | 2034-01-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K115, Class D                                                               | CUSIP: 302673AG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $18654745.00   | 0.11%             | 2053-09-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K115, Class X2A                                                             | CUSIP: 302673AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  267066116 | PA      | $921431.51     | 0.01%             | 2053-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K115, Class X2B                                                             | CUSIP: 302673AL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60800000 | PA      | $221014.08     | 0.00%             | 2053-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K739, Class X2A                                                             | CUSIP: 30289SAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  119801656 | PA      | $120041.26     | 0.00%             | 2053-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K739, Class X2B                                                             | CUSIP: 30289SAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31000000 | PA      | $38058.70      | 0.00%             | 2053-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K739, Class D                                                               | CUSIP: 30289SAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12500000 | PA      | $10734587.50   | 0.07%             | 2053-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KF75, Class B                                                               | CUSIP: 30294SAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1166633 | PA      | $1090735.98    | 0.01%             | 2029-12-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-K156, Class X2A                                                             | CUSIP: 302957AL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  146575543 | PA      | $700279.32     | 0.00%             | 2036-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-K83, Class D                                                                | CUSIP: 302958AS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16800000 | PA      | $13594914.48   | 0.08%             | 2051-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KC05, Class B                                                               | CUSIP: 30295SAN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16737000 | PA      | $15478178.43   | 0.09%             | 2029-07-25      | Variable      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-K75, Class X2A                                                              | CUSIP: 30296PAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  456592920 | PA      | $666123.41     | 0.00%             | 2051-04-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-K75, Class X2B                                                              | CUSIP: 30296PAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  114000000 | PA      | $189297.00     | 0.00%             | 2051-04-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-K75, Class D                                                                | CUSIP: 30296PAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30000000 | PA      | $25138302.00   | 0.15%             | 2051-04-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K92, Class D                                                                | CUSIP: 302973AL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16000000 | PA      | $12644886.40   | 0.08%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K92, Class X2A                                                              | CUSIP: 302973AU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  168726632 | PA      | $402092.44     | 0.00%             | 2029-04-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K92, Class X2B                                                              | CUSIP: 302973AW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   37520000 | PA      | $103375.10     | 0.00%             | 2029-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K105, Class X2A                                                             | CUSIP: 302975BA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  350135942 | PA      | $1037907.97    | 0.01%             | 2053-03-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K105, Class X2B                                                             | CUSIP: 302975BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81000000 | PA      | $268531.20     | 0.00%             | 2053-03-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K105, Class D                                                               | CUSIP: 302975BJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $23372263.20   | 0.14%             | 2053-03-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW07, Class B                                                               | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $921474.30     | 0.01%             | 2031-10-25      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW07, Class C                                                               | CUSIP: 30297NAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12089138 | PA      | $9849853.67    | 0.06%             | 2031-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW07, Class X2A                                                             | CUSIP: 30297NAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   98975424 | PA      | $187845.46     | 0.00%             | 2031-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW07, Class X2B                                                             | CUSIP: 30297NAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16500000 | PA      | $35314.95      | 0.00%             | 2031-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF57, Class B                                                               | CUSIP: 30297VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     765495 | PA      | $735291.49     | 0.00%             | 2029-01-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KW08, Class B                                                               | CUSIP: 30297YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16320000 | PA      | $15809874.34   | 0.10%             | 2029-01-25      | Variable      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K107, Class D                                                               | CUSIP: 302982AA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $15897100.50   | 0.10%             | 2030-02-25      | Variable      | 3.51%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KC07, Class C                                                               | CUSIP: 302988AN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9977000 | PA      | $8537466.56    | 0.05%             | 2029-10-25      | Variable      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KG01, Class B                                                               | CUSIP: 30298CAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2782401.90    | 0.02%             | 2029-04-25      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KW09, Class X2A                                                             | CUSIP: 30298GAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  228255620 | PA      | $506293.79     | 0.00%             | 2029-05-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KW09, Class X2B                                                             | CUSIP: 30298GAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $53898.00      | 0.00%             | 2029-06-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KW09, Class B                                                               | CUSIP: 30298GAN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15670000 | PA      | $14844737.88   | 0.09%             | 2029-05-25      | Variable      | 3.99%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KW09, Class C                                                               | CUSIP: 30298GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22210000 | PA      | $17323147.03   | 0.11%             | 2029-06-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF65, Class B                                                               | CUSIP: 30298JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3776964 | PA      | $3491083.24    | 0.02%             | 2029-07-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KS11, Class C                                                               | CUSIP: 30298KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $10016223.80   | 0.06%             | 2029-06-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF67, Class B                                                               | CUSIP: 30298NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1479219 | PA      | $1409745.29    | 0.01%             | 2029-08-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF67, Class C                                                               | CUSIP: 30298NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4437654 | PA      | $3891447.32    | 0.02%             | 2029-08-25      | Floating      | 9.79%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF70, Class B                                                               | CUSIP: 30298UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     789970 | PA      | $781412.14     | 0.00%             | 2029-09-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KW10, Class X2A                                                             | CUSIP: 30298XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  121765770 | PA      | $328609.28     | 0.00%             | 2032-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KW10, Class X2B                                                             | CUSIP: 30298XAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14881889 | PA      | $42605.36      | 0.00%             | 2032-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KW10, Class C                                                               | CUSIP: 30298XAH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11011889 | PA      | $8328912.72    | 0.05%             | 2032-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-KF33, Class B                                                               | CUSIP: 30303CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3884821 | PA      | $3768363.13    | 0.02%             | 2027-06-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-KF38, Class B                                                               | CUSIP: 30305MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162388 | PA      | $162195.35     | 0.00%             | 2024-09-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-KF40, Class B                                                               | CUSIP: 30306JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124254 | PA      | $123397.45     | 0.00%             | 2027-11-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-KF41, Class B                                                               | CUSIP: 30306KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124656 | PA      | $127579.66     | 0.00%             | 2024-11-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW06, Class X2A                                                             | CUSIP: 30306WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  100306352 | PA      | $167541.70     | 0.00%             | 2028-06-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW06, Class X2B                                                             | CUSIP: 30306WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16000000 | PA      | $30115.20      | 0.00%             | 2028-06-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW06, Class B                                                               | CUSIP: 30306WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6326000 | PA      | $6154922.19    | 0.04%             | 2028-06-25      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW06, Class C                                                               | CUSIP: 30306WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $10138915.20   | 0.06%             | 2028-06-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KF56, Class B                                                               | CUSIP: 30307QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258281 | PA      | $243886.41     | 0.00%             | 2028-11-25      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-K158, Class B                                                               | CUSIP: 30308PAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1750000 | PA      | $1569205.05    | 0.01%             | 2033-10-25      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KHG1, Class C                                                               | CUSIP: 30309FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26000000 | PA      | $24937575.00   | 0.15%             | 2027-12-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 19K-1511, Class C                                                                | CUSIP: 30309KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $9705427.20    | 0.06%             | 2034-04-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF63, Class B                                                               | CUSIP: 30311FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3462363 | PA      | $3259868.04    | 0.02%             | 2029-05-25      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF61, Class B                                                               | CUSIP: 30311LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1341410 | PA      | $1286993.68    | 0.01%             | 2029-04-25      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KL05, Class BHG                                                             | CUSIP: 30311NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3401871.12    | 0.02%             | 2029-02-25      | Variable      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KL05, Class CHG                                                             | CUSIP: 30311NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9161089.00    | 0.06%             | 2029-02-25      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KBF3, Class C                                                               | CUSIP: 30311TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3289788 | PA      | $3182557.75    | 0.02%             | 2029-01-25      | Floating      | 8.54%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KC06, Class B                                                               | CUSIP: 30312MAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7609000 | PA      | $7483504.00    | 0.05%             | 2026-09-25      | Variable      | 3.83%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF73, Class B                                                               | CUSIP: 30313BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5190921 | PA      | $4835423.06    | 0.03%             | 2029-11-25      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KF74, Class B                                                               | CUSIP: 30313MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     742375 | PA      | $737503.17     | 0.00%             | 2027-01-25      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF66, Class B                                                               | CUSIP: 30314CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1084419 | PA      | $1025473.36    | 0.01%             | 2029-07-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KF71, Class B                                                               | CUSIP: 30314GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2898211 | PA      | $2724800.03    | 0.02%             | 2029-10-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 19K-1513, Class X2A                                                              | CUSIP: 30314MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  527350880 | PA      | $3054099.88    | 0.02%             | 2034-08-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K109, Class X2A                                                             | CUSIP: 30314RAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  275723744 | PA      | $889567.51     | 0.01%             | 2053-05-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K109, Class X2B                                                             | CUSIP: 30314RAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   65781399 | PA      | $225393.39     | 0.00%             | 2053-05-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K109, Class D                                                               | CUSIP: 30314RAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $17291535.00   | 0.11%             | 2053-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 19K-1514, Class C                                                                | CUSIP: 30315AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $6926242.70    | 0.04%             | 2034-10-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K113, Class D                                                               | CUSIP: 30315KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26843404 | PA      | $19129675.37   | 0.12%             | 2053-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF                                                                 | FREMF, Series 20K-1517, Class C                                                                               | CUSIP: 30315VAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $9259581.60    | 0.06%             | 2035-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FS Luxembourg Sarl                                                    | FS Luxembourg SARL                                                                                            | CUSIP: 30315XAC8<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    2753000 | PA      | $2849355.00    | 0.02%             | 2031-02-12      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| FS Luxembourg Sarl                                                    | FS Luxembourg SARL                                                                                            | CUSIP: 30315XAD6<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    2510000 | PA      | $2485276.50    | 0.02%             | 2033-06-25      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KF76, Class B                                                               | CUSIP: 30316EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     782348 | PA      | $766112.68     | 0.00%             | 2030-01-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KSG1, Class X2A                                                             | CUSIP: 30316JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  132968404 | PA      | $458222.42     | 0.00%             | 2030-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KSG1, Class X2B                                                             | CUSIP: 30316JAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10900000 | PA      | $40574.16      | 0.00%             | 2030-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KSG1, Class C                                                               | CUSIP: 30316JAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10900000 | PA      | $7777764.76    | 0.05%             | 2030-09-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K118, Class X2A                                                             | CUSIP: 30316TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  247305638 | PA      | $873458.78     | 0.01%             | 2053-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K118, Class X2B                                                             | CUSIP: 30316TAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50947305 | PA      | $189330.37     | 0.00%             | 2053-10-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K118, Class D                                                               | CUSIP: 30316TAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22812305 | PA      | $16456785.42   | 0.10%             | 2053-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2021-K126, Class X2A                                                             | CUSIP: 30319DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  260314418 | PA      | $977012.07     | 0.01%             | 2054-01-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2021-K126, Class X2B                                                             | CUSIP: 30319DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   66000000 | PA      | $267029.40     | 0.00%             | 2054-01-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2021-K126, Class D                                                               | CUSIP: 30319DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $17287212.50   | 0.11%             | 2054-01-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multi-Family ML Certificates                                    | FHLMC Multi-Family ML Certificates, Series 2021-ML09, Class XUS                                               | CUSIP: 30319NAA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   54403368 | PA      | $5755751.23    | 0.04%             | 2040-02-25      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 21K-F116, Class CS                                                               | CUSIP: 30320XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22846542 | PA      | $22732229.29   | 0.14%             | 2028-06-25      | Floating      | 10.08%                | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2021-KHG3, Class BFX                                                             | CUSIP: 30323AAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11071000 | PA      | $10247168.14   | 0.06%             | 2028-09-25      | Variable      | 2.40%                 | Yes           |                  2 | On Loan: No      |
| Fair Isaac Corp.                                                      | Fair Isaac Corp.                                                                                              | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    2019000 | PA      | $2040757.13    | 0.01%             | 2033-05-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2022-KF132, Class CS                                                             | CUSIP: 30325VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25806022 | PA      | $23973325.13   | 0.15%             | 2032-02-25      | Floating      | 10.08%                | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2023-K752, Class D                                                               | CUSIP: 30333RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13100000 | PA      | $9306403.75    | 0.06%             | 2030-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2023-K752, Class X2A                                                             | CUSIP: 30333RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  216270609 | PA      | $724333.52     | 0.00%             | 2060-09-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2023-K752, Class X2B                                                             | CUSIP: 30333RAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44900000 | PA      | $160710.57     | 0.00%             | 2030-08-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2018-C06, Class 1B1                                               | CUSIP: 30711X3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   16560000 | PA      | $17836737.91   | 0.11%             | 2031-03-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2018-C06, Class 2B1                                               | CUSIP: 30711X5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2860000 | PA      | $3090712.48    | 0.02%             | 2031-03-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2017-C02, Class 2B1                                               | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   28544000 | PA      | $29998034.21   | 0.18%             | 2029-09-25      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2018-C03, Class 1B1                                               | CUSIP: 30711XJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   16054400 | PA      | $17068049.13   | 0.10%             | 2030-10-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2017-C05, Class 1B1                                               | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   11760000 | PA      | $12227440.01   | 0.07%             | 2030-01-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2017-C06, Class 1B1                                               | CUSIP: 30711XQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    7255000 | PA      | $7621222.97    | 0.05%             | 2030-02-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2018-C04, Class 2B1                                               | CUSIP: 30711XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $4603687.55    | 0.03%             | 2030-12-25      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2017-C06, Class 2B1                                               | CUSIP: 30711XSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    8015000 | PA      | $8446597.33    | 0.05%             | 2030-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Connecticut Avenue Securities, Series 2018-C05, Class 1B1                                               | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3262529.70    | 0.02%             | 2031-01-25      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                   | FARM Mortgage Trust, Series 2021-1, Class B                                                                   | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1312405 | PA      | $989084.61     | 0.01%             | 2051-07-25      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Forvia SE                                                             | Forvia SE                                                                                                     | CUSIP: 31209DAC9<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |    1010000 | PA      | $1040240.05    | 0.01%             | 2033-09-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                         | CUSIP: 31288RHQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6511832 | PA      | $6660611.32    | 0.04%             | 2055-10-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 304, Class C32                                                                          | CUSIP: 31325UPM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15402 | PA      | $213.97        | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 342, Class S7                                                                           | CUSIP: 31325VM50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5432665 | PA      | $639789.11     | 0.00%             | 2045-02-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DT6D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15273807 | PA      | $16162359.56   | 0.10%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DTRC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17263358 | PA      | $18239133.53   | 0.11%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DTUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33981746 | PA      | $35039332.91   | 0.21%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DUFA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11414401 | PA      | $12061619.37   | 0.07%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132DUUV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   62102805 | PA      | $64733174.15   | 0.40%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132E0PP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5812428 | PA      | $6138207.47    | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132E0YR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58020768 | PA      | $60535557.24   | 0.37%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3132E0ZE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13910682 | PA      | $14724814.47   | 0.09%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                       | CUSIP: 3132XGSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2160000 | PA      | $2200636.10    | 0.01%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                       | CUSIP: 3132XGXW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7942304 | PA      | $8040917.56    | 0.05%             | 2028-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2539037 | PA      | $2683291.49    | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-78, Class JS                                                                         | CUSIP: 3136A0UA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1187112 | PA      | $119636.03     | 0.00%             | 2041-08-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-79, Class SD                                                                         | CUSIP: 3136A0WN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2403804 | PA      | $328412.79     | 0.00%             | 2041-08-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-93, Class FS                                                                         | CUSIP: 3136A8JC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1119217 | PA      | $116776.59     | 0.00%             | 2032-09-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-133, Class HS                                                                        | CUSIP: 3136AAYZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133210 | PA      | $16389.23      | 0.00%             | 2042-12-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-148, Class US                                                                        | CUSIP: 3136ABMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1005890 | PA      | $893856.85     | 0.01%             | 2043-01-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-55, Class AI                                                                         | CUSIP: 3136AEQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024359 | PA      | $78329.11      | 0.00%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2016-6, Class KI                                                                          | CUSIP: 3136AQ5C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185637 | PA      | $19595.90      | 0.00%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2016-43, Class MI                                                                         | CUSIP: 3136ASWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207826 | PA      | $32607.54      | 0.00%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2016-56, Class ST                                                                         | CUSIP: 3136ATAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3718537 | PA      | $475119.31     | 0.00%             | 2046-08-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2016-68, Class BI                                                                         | CUSIP: 3136ATQ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253663 | PA      | $11985.74      | 0.00%             | 2031-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2016-M12, Class X2                                                                          | CUSIP: 3136AULA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56265240 | PA      | $163.17        | 0.00%             | 2026-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2016-90, Class IN                                                                         | CUSIP: 3136AUMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245166 | PA      | $38031.42      | 0.00%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2016-95, Class ES                                                                         | CUSIP: 3136AUWF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1128985 | PA      | $145627.49     | 0.00%             | 2046-12-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2017-6, Class SB                                                                          | CUSIP: 3136AVDL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79937 | PA      | $10208.68      | 0.00%             | 2047-02-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M8, Class X                                                                            | CUSIP: 3136AW7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34193147 | PA      | $27539.16      | 0.00%             | 2027-05-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2017-39, Class ST                                                                         | CUSIP: 3136AWHF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     966547 | PA      | $124003.11     | 0.00%             | 2047-05-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2017-90, Class SP                                                                         | CUSIP: 3136AYQT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1808186 | PA      | $245407.22     | 0.00%             | 2047-11-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2017-112, Class SC                                                                        | CUSIP: 3136B0QA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2447897 | PA      | $321134.97     | 0.00%             | 2048-01-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M15, Class X                                                                           | CUSIP: 3136B3YT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6041214 | PA      | $137559.65     | 0.00%             | 2036-01-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M11, Class X1                                                                          | CUSIP: 3136B4C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12138512 | PA      | $294273.95     | 0.00%             | 2029-06-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2019-32, Class PI                                                                         | CUSIP: 3136B4YN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647343 | PA      | $115397.25     | 0.00%             | 2048-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2019-37, Class CS                                                                         | CUSIP: 3136B4Z76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2543565 | PA      | $292320.71     | 0.00%             | 2049-07-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M19, Class X2                                                                          | CUSIP: 3136B56Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78789979 | PA      | $1272332.10    | 0.01%             | 2029-09-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2019-47, Class QI                                                                         | CUSIP: 3136B5SB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1159366 | PA      | $244837.10     | 0.00%             | 2049-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M30, Class X1                                                                          | CUSIP: 3136B7F97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69484646 | PA      | $291071.18     | 0.00%             | 2028-11-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M30, Class X2                                                                          | CUSIP: 3136B7G62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89030811 | PA      | $31356.65      | 0.00%             | 2029-12-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M30, Class X4                                                                          | CUSIP: 3136B7G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16509885 | PA      | $2004.30       | 0.00%             | 2028-08-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M28, Class XA2                                                                         | CUSIP: 3136B7GF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13205101 | PA      | $75100.05      | 0.00%             | 2030-02-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M28, Class XAV3                                                                        | CUSIP: 3136B7GL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13636625 | PA      | $25829.13      | 0.00%             | 2027-02-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M28, Class XA3                                                                         | CUSIP: 3136B7GP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23582896 | PA      | $357408.22     | 0.00%             | 2030-02-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M30, Class X5                                                                          | CUSIP: 3136B7H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   96026429 | PA      | $1031794.37    | 0.01%             | 2033-05-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M31, Class X1                                                                          | CUSIP: 3136B7S93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37895183 | PA      | $2111205.07    | 0.01%             | 2034-04-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M31, Class X                                                                           | CUSIP: 3136B7T84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24734451 | PA      | $590154.10     | 0.00%             | 2028-09-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M32, Class X2                                                                          | CUSIP: 3136B7U41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23039297 | PA      | $668690.27     | 0.00%             | 2029-10-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M3, Class X1                                                                           | CUSIP: 3136B8MM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14735738 | PA      | $123772.83     | 0.00%             | 2030-02-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M4, Class 1X2                                                                          | CUSIP: 3136B8TR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13053258 | PA      | $147212.03     | 0.00%             | 2028-02-25      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M4, Class 1X3                                                                          | CUSIP: 3136B8TZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71569950 | PA      | $1089394.83    | 0.01%             | 2028-02-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M6, Class XL                                                                           | CUSIP: 3136B8UC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30155890 | PA      | $1570093.57    | 0.01%             | 2049-11-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M6, Class XD                                                                           | CUSIP: 3136B8UU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5558226 | PA      | $55940.77      | 0.00%             | 2030-02-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M7, Class X                                                                            | CUSIP: 3136B9DH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27673318 | PA      | $737488.38     | 0.00%             | 2030-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M10, Class X1                                                                          | CUSIP: 3136B9DS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  104404497 | PA      | $5757145.85    | 0.04%             | 2030-12-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M10, Class X3                                                                          | CUSIP: 3136B9DY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45017989 | PA      | $1136357.59    | 0.01%             | 2028-11-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M10, Class X5                                                                          | CUSIP: 3136B9ED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44665096 | PA      | $1302233.22    | 0.01%             | 2028-11-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M10, Class X6                                                                          | CUSIP: 3136B9EF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17262136 | PA      | $466721.54     | 0.00%             | 2028-08-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M10, Class X7                                                                          | CUSIP: 3136B9EH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27240940 | PA      | $544788.84     | 0.00%             | 2027-11-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M19, Class X1                                                                          | CUSIP: 3136B9G76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28833176 | PA      | $373207.97     | 0.00%             | 2030-05-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M22, Class X                                                                           | CUSIP: 3136B9H59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69507957 | PA      | $1648527.16    | 0.01%             | 2031-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M21, Class XA                                                                          | CUSIP: 3136B9L62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60916627 | PA      | $2766485.99    | 0.02%             | 2032-03-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M26, Class X1                                                                          | CUSIP: 3136BARA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20552944 | PA      | $352536.42     | 0.00%             | 2032-04-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M26, Class X3                                                                          | CUSIP: 3136BARE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20252120 | PA      | $142880.74     | 0.00%             | 2028-01-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M30, Class X                                                                           | CUSIP: 3136BARS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17622991 | PA      | $586130.12     | 0.00%             | 2031-07-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M31, Class X1                                                                          | CUSIP: 3136BASF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89417966 | PA      | $1211997.94    | 0.01%             | 2032-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M33, Class X                                                                           | CUSIP: 3136BBAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17791976 | PA      | $210536.02     | 0.00%             | 2028-06-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M37, Class X                                                                           | CUSIP: 3136BBGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   82945373 | PA      | $2731474.07    | 0.02%             | 2032-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M39, Class X2                                                                          | CUSIP: 3136BBTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35930798 | PA      | $1723708.18    | 0.01%             | 2031-08-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2020-89, Class GI                                                                         | CUSIP: 3136BC5D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42702829 | PA      | $7177290.81    | 0.04%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M47, Class X1                                                                          | CUSIP: 3136BCHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51449827 | PA      | $456390.84     | 0.00%             | 2032-10-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2020-100, Class IA                                                                        | CUSIP: 3136BDDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71508979 | PA      | $12032551.29   | 0.07%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2021-13, Class DI                                                                         | CUSIP: 3136BFQV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4229574 | PA      | $415593.27     | 0.00%             | 2036-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2021-M16, Class X                                                                           | CUSIP: 3136BGGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  103762718 | PA      | $895420.38     | 0.01%             | 2031-01-01      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M2, Class X2                                                                           | CUSIP: 3136BK7C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65247340 | PA      | $554739.41     | 0.00%             | 2032-01-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2023-31, Class LZ                                                                         | CUSIP: 3136BP7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4692172 | PA      | $4949621.19    | 0.03%             | 2053-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2023-28, Class EZ                                                                         | CUSIP: 3136BQAM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3401825 | PA      | $3571764.92    | 0.02%             | 2053-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2023-34, Class LZ                                                                         | CUSIP: 3136BQEN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2918018 | PA      | $3100505.27    | 0.02%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2024-25, Class ZA                                                                         | CUSIP: 3136BRTP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14507638 | PA      | $15266286.00   | 0.09%             | 2053-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2024-25, Class ZB                                                                         | CUSIP: 3136BRTR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10726624 | PA      | $11011069.04   | 0.07%             | 2054-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2024-20, Class MS                                                                         | CUSIP: 3136BRU62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22425292 | PA      | $1547851.97    | 0.01%             | 2054-05-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2024-58, Class BS                                                                         | CUSIP: 3136BSWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20557859 | PA      | $1222976.74    | 0.01%             | 2054-08-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2024-92, Class SH                                                                         | CUSIP: 3136BT5E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18476869 | PA      | $1378487.14    | 0.01%             | 2054-12-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2024-M5, Class 1A2C                                                                         | CUSIP: 3136BTHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11500000 | PA      | $11659795.95   | 0.07%             | 2034-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-7, Class SE                                                                          | CUSIP: 3136BUWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28692502 | PA      | $1993293.93    | 0.01%             | 2055-02-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-11, Class SB                                                                         | CUSIP: 3136BUZ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29474148 | PA      | $2215380.14    | 0.01%             | 2055-03-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-24, Class SC                                                                         | CUSIP: 3136BVSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42029538 | PA      | $2818215.04    | 0.02%             | 2055-04-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-73, Class Z                                                                          | CUSIP: 3136BW5D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7648621 | PA      | $7682125.11    | 0.05%             | 2055-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-78, Class BV                                                                         | CUSIP: 3136BW7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2897430 | PA      | $2994586.22    | 0.02%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-69, Class Z                                                                          | CUSIP: 3136BWD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9323666 | PA      | $9345542.12    | 0.06%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-47, Class SM                                                                         | CUSIP: 3136BWKR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   91813515 | PA      | $6042917.66    | 0.04%             | 2055-06-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-57, Class Z                                                                          | CUSIP: 3136BWPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4191192 | PA      | $4203502.84    | 0.03%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-55, Class SC                                                                         | CUSIP: 3136BWSE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37251106 | PA      | $2707797.78    | 0.02%             | 2055-07-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-55, Class SG                                                                         | CUSIP: 3136BWTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54050257 | PA      | $3314626.60    | 0.02%             | 2055-07-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-55, Class UN                                                                         | CUSIP: 3136BWTV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2809016 | PA      | $2805401.92    | 0.02%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-66, Class SL                                                                         | CUSIP: 3136BWZW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35208732 | PA      | $2294296.06    | 0.01%             | 2055-08-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2026-5, Class ZY                                                                          | CUSIP: 3136BYB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2291815 | PA      | $2271457.33    | 0.01%             | 2056-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-106, Class UZ                                                                        | CUSIP: 3136BYBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5429554 | PA      | $5417095.07    | 0.03%             | 2055-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2026-11, Class SB                                                                         | CUSIP: 3136BYN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3450000.00    | 0.02%             | 2056-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4102, Class BI                                                                           | CUSIP: 3137AUKS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269584 | PA      | $3532.68       | 0.00%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4149                                                                                     | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143179 | PA      | $8541.37       | 0.00%             | 2033-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4160                                                                                     | CUSIP: 3137AXUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     466996 | PA      | $28545.30      | 0.00%             | 2033-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4212, Class MI                                                                           | CUSIP: 3137B2RB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     665752 | PA      | $52073.59      | 0.00%             | 2033-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4321, Class PI                                                                           | CUSIP: 3137B8GR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184317 | PA      | $28188.43      | 0.00%             | 2044-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4495, Class PI                                                                           | CUSIP: 3137BKQV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110597 | PA      | $5442.54       | 0.00%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4550, Class DI                                                                           | CUSIP: 3137BMZ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78162 | PA      | $4488.79       | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4585, Class JI                                                                           | CUSIP: 3137BPGA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179951 | PA      | $20505.31      | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4612, Class PI                                                                           | CUSIP: 3137BRSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15460 | PA      | $1487.71       | 0.00%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4612, Class QI                                                                           | CUSIP: 3137BRSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158419 | PA      | $13525.85      | 0.00%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4628, Class PI                                                                           | CUSIP: 3137BSWW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117110 | PA      | $11380.77      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K724, Class X3                               | CUSIP: 3137BTU58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95480 | PA      | $35.98         | 0.00%             | 2044-12-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4657, Class QI                                                                           | CUSIP: 3137BVPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137347 | PA      | $6996.93       | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4670, Class TI                                                                           | CUSIP: 3137BWFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112255 | PA      | $4415.00       | 0.00%             | 2044-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K064, Class X3                               | CUSIP: 3137BXR38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18830000 | PA      | $440608.82     | 0.00%             | 2027-05-25      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4681, Class SD                                                                           | CUSIP: 3137BYHQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306877 | PA      | $40532.95      | 0.00%             | 2047-05-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4694, Class SA                                                                           | CUSIP: 3137BYWM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     530075 | PA      | $70706.80      | 0.00%             | 2047-06-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4689, Class SD                                                                           | CUSIP: 3137F1DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     441832 | PA      | $57476.28      | 0.00%             | 2047-06-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class X3                               | CUSIP: 3137F1G77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $343207.80     | 0.00%             | 2045-07-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K066, Class X3                               | CUSIP: 3137F2LM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25000122 | PA      | $726583.55     | 0.00%             | 2045-08-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K075, Class X3                               | CUSIP: 3137F4XA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5471000 | PA      | $209089.04     | 0.00%             | 2028-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K739, Class X3                               | CUSIP: 3137F64S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39674788 | PA      | $1384043.08    | 0.01%             | 2048-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K119, Class X1                               | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34124950 | PA      | $1194349.38    | 0.01%             | 2030-09-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class X1                               | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  112119973 | PA      | $1008059.46    | 0.01%             | 2027-09-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class X3                               | CUSIP: 3137F72E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21422537 | PA      | $772192.48     | 0.00%             | 2047-11-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q014, Class X                                | CUSIP: 3137F72J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4978315 | PA      | $717918.32     | 0.00%             | 2055-10-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K120, Class X3                               | CUSIP: 3137F72S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38372365 | PA      | $4137918.51    | 0.03%             | 2048-11-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5052, Class EI                                                                           | CUSIP: 3137F7HC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23246987 | PA      | $3878817.95    | 0.02%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K122, Class X1                               | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36610470 | PA      | $1249105.30    | 0.01%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K121, Class X3                               | CUSIP: 3137F83T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52191816 | PA      | $5904376.64    | 0.04%             | 2048-11-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K122, Class X3                               | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36631000 | PA      | $3836617.38    | 0.02%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                       | FHLMC, Multi-Class Certificates, Series 2020-RR14, Class X                                                    | CUSIP: 3137F85E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31380905 | PA      | $4032735.00    | 0.02%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K123, Class X1                               | CUSIP: 3137F8ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12479801 | PA      | $373793.77     | 0.00%             | 2030-12-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5072, Class BI                                                                           | CUSIP: 3137F96G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29143733 | PA      | $4887176.63    | 0.03%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K124, Class X1                               | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65094192 | PA      | $1886293.00    | 0.01%             | 2030-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K124, Class XAM                              | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17689000 | PA      | $719503.61     | 0.00%             | 2031-01-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                       | FHLMC, Multi-Class Certificates, Series 2021-RR16, Class X                                                    | CUSIP: 3137F9ZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $2554192.00    | 0.02%             | 2034-10-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K067, Class X3                               | CUSIP: 3137FAWV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   91000000 | PA      | $2737425.60    | 0.02%             | 2044-09-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class X3                               | CUSIP: 3137FCJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42244907 | PA      | $1430666.02    | 0.01%             | 2044-12-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4746, Class SC                                                                           | CUSIP: 3137FDDW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5322051 | PA      | $710236.69     | 0.00%             | 2048-01-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class X3                               | CUSIP: 3137FEBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20640000 | PA      | $772435.49     | 0.00%             | 2045-12-25      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K078, Class X3                               | CUSIP: 3137FGR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2680000 | PA      | $121067.66     | 0.00%             | 2046-06-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K079, Class X3                               | CUSIP: 3137FGZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $412376.40     | 0.00%             | 2046-07-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K080, Class X1                               | CUSIP: 3137FHPL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  136773289 | PA      | $467368.01     | 0.00%             | 2028-07-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K081, Class X3                               | CUSIP: 3137FJEL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29425000 | PA      | $1530659.08    | 0.01%             | 2046-09-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K082, Class X3                               | CUSIP: 3137FJKH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49000000 | PA      | $2656074.40    | 0.02%             | 2046-10-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K083, Class X3                               | CUSIP: 3137FJXY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $858901.50     | 0.01%             | 2046-11-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K084, Class X3                               | CUSIP: 3137FJZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19450000 | PA      | $1048008.79    | 0.01%             | 2028-11-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K087, Class X3                               | CUSIP: 3137FKUS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   87707499 | PA      | $5043277.69    | 0.03%             | 2046-01-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1510, Class X3                             | CUSIP: 3137FL2P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $41789.90      | 0.00%             | 2037-01-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class X3                               | CUSIP: 3137FL6H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   94986525 | PA      | $6021081.84    | 0.04%             | 2047-02-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K089, Class X3                               | CUSIP: 3137FL6S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  132506354 | PA      | $8356128.95    | 0.05%             | 2046-01-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K090, Class X3                               | CUSIP: 3137FLMY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  147080000 | PA      | $9944931.86    | 0.06%             | 2029-10-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K734, Class X3                               | CUSIP: 3137FLN67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14524812 | PA      | $54802.11      | 0.00%             | 2026-07-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K091, Class X1                               | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8796999 | PA      | $139628.60     | 0.00%             | 2029-03-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K091, Class X3                               | CUSIP: 3137FLNC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   81933000 | PA      | $5788451.74    | 0.04%             | 2046-04-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K092, Class X3                               | CUSIP: 3137FLYY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  103000000 | PA      | $6681208.30    | 0.04%             | 2047-05-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC04, Class X1                               | CUSIP: 3137FMCG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20705144 | PA      | $203809.01     | 0.00%             | 2026-12-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K093, Class X3                               | CUSIP: 3137FMCU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  136527499 | PA      | $8802159.96    | 0.05%             | 2047-05-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1512, Class X3                             | CUSIP: 3137FMTV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7134407 | PA      | $1490443.26    | 0.01%             | 2034-10-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K094, Class X3                               | CUSIP: 3137FMU34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35331062 | PA      | $2372784.66    | 0.01%             | 2047-07-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K735, Class X3                               | CUSIP: 3137FMU91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $153612.00     | 0.00%             | 2047-05-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KW09, Class X1                               | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  132459370 | PA      | $2487388.28    | 0.02%             | 2029-05-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K095, Class X3                               | CUSIP: 3137FNAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   91253142 | PA      | $5895628.25    | 0.04%             | 2047-08-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K095, Class XAM                              | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $353212.20     | 0.00%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K096, Class X3                               | CUSIP: 3137FNBB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48669127 | PA      | $2857388.78    | 0.02%             | 2051-08-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4910, Class PI                                                                           | CUSIP: 3137FNHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1444002 | PA      | $314134.19     | 0.00%             | 2049-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K736, Class X3                               | CUSIP: 3137FNX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   89230486 | PA      | $628325.39     | 0.00%             | 2047-09-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K097, Class X3                               | CUSIP: 3137FNX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   93876048 | PA      | $5910792.71    | 0.04%             | 2046-09-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4919, Class SH                                                                           | CUSIP: 3137FPA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8017431 | PA      | $977562.21     | 0.01%             | 2049-09-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K098, Class X3                               | CUSIP: 3137FPHN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  145702259 | PA      | $9064516.36    | 0.06%             | 2047-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG02, Class X1                               | CUSIP: 3137FPHS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23534086 | PA      | $623027.27     | 0.00%             | 2029-08-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1513, Class X3                             | CUSIP: 3137FPJB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12475100 | PA      | $2409166.36    | 0.01%             | 2037-12-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K099, Class X3                               | CUSIP: 3137FPJK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49100000 | PA      | $2944232.40    | 0.02%             | 2047-10-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC05, Class X1                               | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  117878484 | PA      | $984792.22     | 0.01%             | 2027-06-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K100, Class X1                               | CUSIP: 3137FQ3C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  227189780 | PA      | $4515942.14    | 0.03%             | 2029-09-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K101, Class X3                               | CUSIP: 3137FQ4C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   81000000 | PA      | $5076934.20    | 0.03%             | 2029-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1514, Class X1                             | CUSIP: 3137FQK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48972167 | PA      | $1850668.00    | 0.01%             | 2034-10-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K102, Class X3                               | CUSIP: 3137FQKF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   69791338 | PA      | $4564793.19    | 0.03%             | 2046-12-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K103, Class X3                               | CUSIP: 3137FQKR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   80100000 | PA      | $4940207.55    | 0.03%             | 2046-12-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K737, Class X3                               | CUSIP: 3137FQXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74853020 | PA      | $958455.49     | 0.01%             | 2048-01-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K104, Class X1                               | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6586389 | PA      | $237366.20     | 0.00%             | 2030-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K104, Class X3                               | CUSIP: 3137FREL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45985000 | PA      | $3067139.72    | 0.02%             | 2047-02-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K105, Class X1                               | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63784070 | PA      | $3192718.01    | 0.02%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K105, Class X3                               | CUSIP: 3137FRUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  118746000 | PA      | $8468525.36    | 0.05%             | 2048-03-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K106, Class X3                               | CUSIP: 3137FRUW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  100621542 | PA      | $6450786.68    | 0.04%             | 2048-03-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                       | FHLMC, Multi-Class Certificates, Series 2020-RR05, Class X                                                    | CUSIP: 3137FRV24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38620000 | PA      | $1888042.97    | 0.01%             | 2029-01-27      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K107, Class X1                               | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  183750650 | PA      | $9725719.78    | 0.06%             | 2030-01-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K108, Class X3                               | CUSIP: 3137FTBQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63492000 | PA      | $7562316.25    | 0.05%             | 2048-04-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K738, Class X3                               | CUSIP: 3137FTFV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   71537135 | PA      | $2363150.56    | 0.01%             | 2048-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K109, Class X1                               | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38698069 | PA      | $2068539.51    | 0.01%             | 2030-04-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K109, Class X3                               | CUSIP: 3137FTG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13770000 | PA      | $1686714.84    | 0.01%             | 2048-05-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class X1                             | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19664908 | PA      | $1895775.84    | 0.01%             | 2035-02-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class X3                             | CUSIP: 3137FTZN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $1512795.60    | 0.01%             | 2038-03-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K110, Class X1                               | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  123847555 | PA      | $6892104.03    | 0.04%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K110, Class X3                               | CUSIP: 3137FTZT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28200000 | PA      | $3451107.54    | 0.02%             | 2048-06-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K111, Class X3                               | CUSIP: 3137FUZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52233991 | PA      | $6264991.89    | 0.04%             | 2048-04-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1516, Class X3                             | CUSIP: 3137FUZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $614488.50     | 0.00%             | 2038-10-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K112, Class X3                               | CUSIP: 3137FUZY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47630000 | PA      | $5438326.72    | 0.03%             | 2048-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                       | FHLMC, Multi-Class Certificates, Series 2020-RR11, Class BX                                                   | CUSIP: 3137FV2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14556415 | PA      | $363207.29     | 0.00%             | 2028-12-27      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K114, Class X3                               | CUSIP: 3137FVNK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10750000 | PA      | $1070769.88    | 0.01%             | 2048-08-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q012, Class X                                | CUSIP: 3137FVNQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25589910 | PA      | $3747708.89    | 0.02%             | 2035-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5011, Class MI                                                                           | CUSIP: 3137FVSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27390736 | PA      | $4397782.67    | 0.03%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KX04, Class XFX                              | CUSIP: 3137FWHN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51867166 | PA      | $1806201.44    | 0.01%             | 2034-01-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K116, Class X3                               | CUSIP: 3137FWHW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23000000 | PA      | $2636685.50    | 0.02%             | 2047-09-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K117, Class X1                               | CUSIP: 3137FX3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   86400461 | PA      | $3868753.44    | 0.02%             | 2030-08-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K117, Class X3                               | CUSIP: 3137FX3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36500000 | PA      | $4013423.20    | 0.02%             | 2048-10-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K119, Class X3                               | CUSIP: 3137FXQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $872586.40     | 0.01%             | 2048-09-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1518, Class X1                             | CUSIP: 3137FXQX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14499863 | PA      | $846921.07     | 0.01%             | 2035-10-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K126, Class X3                               | CUSIP: 3137FXYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39727360 | PA      | $4430863.97    | 0.03%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K127, Class X3                               | CUSIP: 3137FXZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8065740 | PA      | $896716.71     | 0.01%             | 2049-03-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K128, Class X1                               | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   94906052 | PA      | $2001635.08    | 0.01%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Debt Notes                                                | FHLMC STACR, Whole Loan, Series 2017-DNA2, Class B1                                                           | CUSIP: 3137G0PR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $11558627.30   | 0.07%             | 2029-10-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                        | FHLMC STACR, Whole Loan, Series 2017-DNA3, Class B1                                                           | CUSIP: 3137G0RJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15800000 | PA      | $16711893.84   | 0.10%             | 2030-03-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                        | FHLMC STACR, Whole Loan, Series 2018-HQA1, Class B1                                                           | CUSIP: 3137G0UX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34415000 | PA      | $36928089.99   | 0.23%             | 2030-09-25      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K742, Class X1                               | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21470874 | PA      | $228452.24     | 0.00%             | 2028-03-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K742, Class X3                               | CUSIP: 3137H0GY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16000000 | PA      | $825243.20     | 0.01%             | 2028-04-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K129, Class X3                               | CUSIP: 3137H13S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26500000 | PA      | $3725033.45    | 0.02%             | 2031-05-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K743, Class X1                               | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3902155 | PA      | $69205.49      | 0.00%             | 2028-05-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K743, Class X3                               | CUSIP: 3137H14E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $295837.50     | 0.00%             | 2049-06-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K130, Class X1                               | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29769647 | PA      | $1360987.89    | 0.01%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5143, Class PI                                                                           | CUSIP: 3137H2HC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2427200 | PA      | $270389.11     | 0.00%             | 2051-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K131, Class X1                               | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18832827 | PA      | $632097.48     | 0.00%             | 2031-07-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K131, Class X3                               | CUSIP: 3137H2N91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19368680 | PA      | $2606389.04    | 0.02%             | 2031-09-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                       | FHLMC, Multi-Class Certificates, Series 2021-P011, Class X1                                                   | CUSIP: 3137H2NR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9409489 | PA      | $1006557.54    | 0.01%             | 2045-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1521, Class X1                             | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17774158 | PA      | $1329363.05    | 0.01%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1521, Class X3                             | CUSIP: 3137H2P24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10834295 | PA      | $2761135.25    | 0.02%             | 2039-09-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5148, Class PI                                                                           | CUSIP: 3137H2UZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6854934 | PA      | $672106.41     | 0.00%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5154, Class QI                                                                           | CUSIP: 3137H2YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9404225 | PA      | $994922.78     | 0.01%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5154, Class ZQ                                                                           | CUSIP: 3137H2YT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11022895 | PA      | $7499138.96    | 0.05%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG06, Class X1                               | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56012161 | PA      | $1374476.81    | 0.01%             | 2031-10-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K136, Class X1                               | CUSIP: 3137H4SK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   98533825 | PA      | $1594829.08    | 0.01%             | 2031-12-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K140, Class X1                               | CUSIP: 3137H6M36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  169739064 | PA      | $2737093.33    | 0.02%             | 2032-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K749, Class XAM                              | CUSIP: 3137H74T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  100000000 | PA      | $798560.00     | 0.00%             | 2029-04-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K147, Class X3                               | CUSIP: 3137H8C74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $2910751.50    | 0.02%             | 2050-06-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K148, Class X3                               | CUSIP: 3137H8UC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18414000 | PA      | $4019853.54    | 0.02%             | 2054-08-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class X1                              | CUSIP: 3137H9CB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24924835 | PA      | $505939.26     | 0.00%             | 2032-09-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-152, Class X3                              | CUSIP: 3137H9MB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2625000 | PA      | $613720.28     | 0.00%             | 2055-11-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family, Structured Pass-Through Certificates, Series K-153, Class X1                             | CUSIP: 3137H9PD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21980585 | PA      | $632330.89     | 0.00%             | 2032-12-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-154, Class X1                              | CUSIP: 3137H9UF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10890908 | PA      | $262222.58     | 0.00%             | 2033-01-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-161, Class X3                              | CUSIP: 3137HB3A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8038000 | PA      | $2603220.44    | 0.02%             | 2033-11-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                       | FHLMC, Multi-Class Certificates, Series 2023-RR21, Class X                                                    | CUSIP: 3137HBCL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  186283329 | PA      | $37411355.48   | 0.23%             | 2036-04-27      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5387, Class KB                                                                           | CUSIP: 3137HBSQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9906690 | PA      | $10661859.15   | 0.07%             | 2054-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5414, Class DZ                                                                           | CUSIP: 3137HCRC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5579861 | PA      | $5872836.97    | 0.04%             | 2054-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5413, Class KS                                                                           | CUSIP: 3137HCVR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15752766 | PA      | $1114063.97    | 0.01%             | 2054-05-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K528, Class X1                               | CUSIP: 3137HFP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   67000000 | PA      | $1756545.70    | 0.01%             | 2029-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5508, Class SN                                                                           | CUSIP: 3137HJW29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29153078 | PA      | $1581271.68    | 0.01%             | 2055-02-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K759, Class X3                               | CUSIP: 3137HJZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4588679 | PA      | $1205680.00    | 0.01%             | 2057-02-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5520, Class SD                                                                           | CUSIP: 3137HK3P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   70542708 | PA      | $4613225.03    | 0.03%             | 2055-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5520, Class SE                                                                           | CUSIP: 3137HK3Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34479591 | PA      | $2026100.09    | 0.01%             | 2055-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K537, Class X1                               | CUSIP: 3137HKPH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  296437184 | PA      | $1759562.19    | 0.01%             | 2030-02-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5528, Class SA                                                                           | CUSIP: 3137HKR89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74706107 | PA      | $4011807.59    | 0.02%             | 2055-04-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5549, Class SA                                                                           | CUSIP: 3137HLTF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43256096 | PA      | $2755465.25    | 0.02%             | 2055-06-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5562, Class Z                                                                            | CUSIP: 3137HLYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4512589 | PA      | $4492895.43    | 0.03%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5558, Class BV                                                                           | CUSIP: 3137HM3G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2862688 | PA      | $2947677.44    | 0.02%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5564, Class PZ                                                                           | CUSIP: 3137HME22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28075111 | PA      | $27820332.47   | 0.17%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5565, Class AZ                                                                           | CUSIP: 3137HMFK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3397462 | PA      | $3212227.49    | 0.02%             | 2055-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5565, Class SA                                                                           | CUSIP: 3137HMGY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52095257 | PA      | $3481942.80    | 0.02%             | 2055-08-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5565, Class ZU                                                                           | CUSIP: 3137HMH94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2333700 | PA      | $2318142.63    | 0.01%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5578, Class ZC                                                                           | CUSIP: 3137HMVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10704401 | PA      | $10673080.50   | 0.07%             | 2055-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5580, Class UZ                                                                           | CUSIP: 3137HMYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29670 | PA      | $29538.36      | 0.00%             | 2055-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5580, Class Z                                                                            | CUSIP: 3137HMYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5654812 | PA      | $5590290.95    | 0.03%             | 2055-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5607, Class KT                                                                           | CUSIP: 3137HP2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15005870 | PA      | $15074838.89   | 0.09%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5613, Class ZG                                                                           | CUSIP: 3137HPJG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14645991 | PA      | $14616349.29   | 0.09%             | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5616, Class GB                                                                           | CUSIP: 3137HPKU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13878496 | PA      | $13902503.93   | 0.09%             | 2032-12-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5632, Class UZ                                                                           | CUSIP: 3137HPVR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13045647 | PA      | $12881752.18   | 0.08%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5623, Class ZA                                                                           | CUSIP: 3137HPZZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10779405 | PA      | $10725740.32   | 0.07%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5633, Class ZC                                                                           | CUSIP: 3137HQ6G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6016809 | PA      | $5916862.10    | 0.04%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5633, Class ZG                                                                           | CUSIP: 3137HQ6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7700583 | PA      | $7551311.40    | 0.05%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-76, Class SB                                                                         | CUSIP: 31393D5Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914281 | PA      | $94769.59      | 0.00%             | 2033-08-25      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-42, Class LI                                                                         | CUSIP: 31395DVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757783 | PA      | $89828.09      | 0.00%             | 2036-06-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3145, Class GI                                                                           | CUSIP: 31396NCP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1000466 | PA      | $100178.16     | 0.00%             | 2036-04-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 421, Class 7                                                                             | CUSIP: 31397VEB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16231 | PA      | $437.58        | 0.00%             | 2030-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 421, Class C3                                                                            | CUSIP: 31397VGA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84789 | PA      | $3144.06       | 0.00%             | 2030-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140ASK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     882918 | PA      | $897573.18     | 0.01%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140AUYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7436453 | PA      | $7630853.00    | 0.05%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140B9NV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12734454 | PA      | $13069284.48   | 0.08%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BNDZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1906257 | PA      | $1938173.92    | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BQSQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1495454 | PA      | $1520546.06    | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BRR68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1497836 | PA      | $1525604.90    | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BRR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298548 | PA      | $1320296.30    | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BSD46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1338513 | PA      | $1360902.89    | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BSND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     811250 | PA      | $788840.86     | 0.00%             | 2055-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BUL59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1368738 | PA      | $1391654.93    | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                          | CUSIP: 3140BUSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6886738 | PA      | $7042103.68    | 0.04%             | 2055-11-01      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BUYM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813838 | PA      | $827433.38     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BVXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     905402 | PA      | $920558.57     | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BWZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2396106 | PA      | $2439045.70    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BWZU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2004040 | PA      | $2044610.31    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BWZW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     891142 | PA      | $917558.35     | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1867318 | PA      | $1900284.18    | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2600982 | PA      | $2649187.27    | 0.02%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2427054 | PA      | $2475813.73    | 0.02%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXK54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3617141 | PA      | $3683949.16    | 0.02%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140BXVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502889 | PA      | $532636.30     | 0.00%             | 2056-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                          | CUSIP: 3140JCWV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14717205 | PA      | $14966613.35   | 0.09%             | 2055-11-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                          | CUSIP: 3140JCWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3859620 | PA      | $3937938.82    | 0.02%             | 2055-10-01      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                          | CUSIP: 3140JCXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22070646 | PA      | $22577499.94   | 0.14%             | 2055-11-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                   | CUSIP: 3140LDXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2190000 | PA      | $1952774.91    | 0.01%             | 2031-10-01      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                   | CUSIP: 3140LDXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10869067 | PA      | $9756111.94    | 0.06%             | 2031-10-01      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                   | CUSIP: 3140LEXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $2075576.35    | 0.01%             | 2034-01-01      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                   | CUSIP: 3140LH3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23000000 | PA      | $23585073.54   | 0.14%             | 2029-11-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140ME4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27742959 | PA      | $28474329.51   | 0.17%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                   | CUSIP: 3140NVKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4700000 | PA      | $4963474.48    | 0.03%             | 2034-06-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                   | CUSIP: 3140NX4X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11327462 | PA      | $11902039.48   | 0.07%             | 2035-04-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7755148 | PA      | $8158317.49    | 0.05%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QS4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17354006 | PA      | $18339993.38   | 0.11%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QT3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11049971 | PA      | $11515928.27   | 0.07%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QUNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36275924 | PA      | $37816108.65   | 0.23%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140QVE34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45570659 | PA      | $47668868.75   | 0.29%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U03Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619639 | PA      | $629966.62     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U0DC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675949 | PA      | $688899.11     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U0V38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1510753 | PA      | $1536055.62    | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U0WS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     790491 | PA      | $817475.85     | 0.01%             | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U12G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2857736 | PA      | $2968131.78    | 0.02%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U12S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742730 | PA      | $763366.76     | 0.00%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U12X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1169723 | PA      | $1225435.50    | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U13H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492050 | PA      | $512845.66     | 0.00%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1N43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1054402 | PA      | $1103043.74    | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1N50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     923645 | PA      | $968873.29     | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1N68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1007535 | PA      | $1055740.26    | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4644845 | PA      | $4790082.50    | 0.03%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6195459 | PA      | $6388239.08    | 0.04%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6061807 | PA      | $6249052.32    | 0.04%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5501991 | PA      | $5665072.75    | 0.03%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6824046 | PA      | $7038457.15    | 0.04%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2415715 | PA      | $2499991.52    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2031737 | PA      | $2101551.02    | 0.01%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1474061 | PA      | $1543148.62    | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     509463 | PA      | $532125.97     | 0.00%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1NZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493964 | PA      | $514903.24     | 0.00%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1TB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1921050 | PA      | $1956650.59    | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3669624 | PA      | $3737736.48    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1TQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658173 | PA      | $670549.59     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U1ZZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1077731 | PA      | $1142894.13    | 0.01%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U34B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2440429 | PA      | $2521161.39    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U34C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2065851 | PA      | $2159052.85    | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U34U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2573429 | PA      | $2663063.06    | 0.02%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U3JX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     784651 | PA      | $797649.16     | 0.00%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4SW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1478669 | PA      | $1507428.95    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4SZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2077126 | PA      | $2142645.74    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4TV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3233552 | PA      | $3300990.93    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4UB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228687 | PA      | $1256904.50    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4W54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3405854 | PA      | $3468711.13    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4W96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2370937 | PA      | $2421936.07    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4X38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645655 | PA      | $674812.44     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4X46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467469 | PA      | $490534.76     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6269827 | PA      | $6374132.32    | 0.04%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1966618 | PA      | $2028996.50    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4405212 | PA      | $4542952.87    | 0.03%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2719055 | PA      | $2803668.15    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U4XU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1657034 | PA      | $1710847.04    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U52D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     932163 | PA      | $952615.13     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U52Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3821001 | PA      | $3934265.17    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U54T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1771814 | PA      | $1818747.08    | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U5GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2528517 | PA      | $2575202.27    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U5GS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3047055 | PA      | $3102941.37    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U5JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     807072 | PA      | $847318.22     | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U5Z41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3359196 | PA      | $3428503.70    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U6FL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1367624 | PA      | $1424415.87    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U6FU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426862 | PA      | $436064.73     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U6LX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2615021 | PA      | $2677671.41    | 0.02%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U75K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2457589 | PA      | $2507390.86    | 0.02%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U75T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559362 | PA      | $571784.81     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U77L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1285638 | PA      | $1311123.05    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7B68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593192 | PA      | $608825.66     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7B92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1005467 | PA      | $1026107.85    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7C26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     996799 | PA      | $1040513.85    | 0.01%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7C34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     655090 | PA      | $686388.56     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7C75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474206 | PA      | $498338.23     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1145694 | PA      | $1173781.19    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     668584 | PA      | $686202.35     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1045840 | PA      | $1081699.51    | 0.01%             | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526293 | PA      | $552067.98     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493749 | PA      | $517339.09     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492700 | PA      | $514308.45     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730361 | PA      | $762392.60     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7ER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514600 | PA      | $528721.16     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140U7EV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1061668 | PA      | $1087094.22    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W0P66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866726 | PA      | $881133.90     | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W0S71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44644102 | PA      | $46576553.74   | 0.29%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W1CG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5921885 | PA      | $6085617.68    | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W2D73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35190982 | PA      | $36331122.17   | 0.22%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W3DK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17373606 | PA      | $18349173.87   | 0.11%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W3GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   96859824 | PA      | $101027778.75  | 0.62%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W3PD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6985566 | PA      | $7185530.44    | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140W3YV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36262577 | PA      | $37822987.90   | 0.23%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140XMM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6049544 | PA      | $6150087.04    | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140XNWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8243409 | PA      | $8598200.22    | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 3140XQ3V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20932241 | PA      | $22201500.34   | 0.14%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 31418FTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   88929600 | PA      | $90424007.99   | 0.55%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 31418FTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12840187 | PA      | $13338380.45   | 0.08%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                            | CUSIP: 31418FUY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4816349 | PA      | $4896917.85    | 0.03%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427D5P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2995313 | PA      | $3050358.21    | 0.02%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427D5S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4630436 | PA      | $4712590.03    | 0.03%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427GW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3496268 | PA      | $3559156.18    | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427H6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3426125 | PA      | $3483344.97    | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427KDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2371773 | PA      | $2414664.57    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427PZJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28647780 | PA      | $30256400.55   | 0.19%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427QRN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  107288770 | PA      | $111905514.69  | 0.69%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 31427RCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18581362 | PA      | $18922656.37   | 0.12%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                         | CUSIP: 3142BBEC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6890936 | PA      | $7057462.12    | 0.04%             | 2055-06-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                         | CUSIP: 3142BBK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11729634 | PA      | $11975166.91   | 0.07%             | 2055-11-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                         | CUSIP: 3142BBKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3978718 | PA      | $4056460.64    | 0.02%             | 2055-11-01      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142J6CA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25812667 | PA      | $26247736.25   | 0.16%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142J6CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   60810121 | PA      | $61833537.75   | 0.38%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142J6CY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23256708 | PA      | $23871745.01   | 0.15%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142J6DH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45076857 | PA      | $45830909.43   | 0.28%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JNKC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4468617 | PA      | $4543964.28    | 0.03%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JPBM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2085267 | PA      | $2120259.94    | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JPKC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1398433 | PA      | $1421854.12    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JPYQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1100825 | PA      | $1122908.22    | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JR3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2292943 | PA      | $2331357.14    | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JS2H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8360942 | PA      | $8528922.39    | 0.05%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JS2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8515153 | PA      | $8684927.06    | 0.05%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JS2K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     712681 | PA      | $726809.03     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JS2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3808857 | PA      | $3879180.41    | 0.02%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7554422 | PA      | $7687432.41    | 0.05%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSXE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352038 | PA      | $357905.49     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2159471 | PA      | $2203805.66    | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3090023 | PA      | $3156502.93    | 0.02%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3078634 | PA      | $3143838.56    | 0.02%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6524225 | PA      | $6658856.19    | 0.04%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JSZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6512541 | PA      | $6646245.91    | 0.04%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTT45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12229636 | PA      | $12559474.40   | 0.08%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2619386 | PA      | $2674014.79    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1310826 | PA      | $1355751.96    | 0.01%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTWX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1256687 | PA      | $1300988.44    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     465747 | PA      | $488992.22     | 0.00%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTXT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     722280 | PA      | $765006.11     | 0.00%             | 2056-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTZT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1376439 | PA      | $1446688.52    | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JTZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     925987 | PA      | $944733.23     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1455724 | PA      | $1504852.64    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUA75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3786833 | PA      | $3856720.66    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUB25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     685671 | PA      | $699357.02     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     643705 | PA      | $654905.04     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUB58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1055959 | PA      | $1078324.37    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8741769 | PA      | $8887067.75    | 0.05%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1145434 | PA      | $1182634.66    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     520242 | PA      | $543736.18     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2682986 | PA      | $2765875.81    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     439565 | PA      | $460826.88     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2706978 | PA      | $2791630.60    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1038956 | PA      | $1085481.10    | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     789924 | PA      | $824561.31     | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     526730 | PA      | $538288.03     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     575697 | PA      | $601307.57     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUFX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1289300 | PA      | $1325649.65    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUJ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2292056 | PA      | $2330513.79    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUJZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     972090 | PA      | $990134.31     | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUT91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479126 | PA      | $488254.23     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1506867 | PA      | $1532073.15    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     391276 | PA      | $402068.07     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JUYW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2211457 | PA      | $2256225.01    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338900 | PA      | $353874.77     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301395 | PA      | $316445.32     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308650 | PA      | $321124.67     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     315003 | PA      | $331031.46     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2006492 | PA      | $2046498.18    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JV4P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1344981 | PA      | $1372593.04    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVKE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     976181 | PA      | $1001912.56    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVKM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1343034 | PA      | $1391350.55    | 0.01%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVKN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332239 | PA      | $349838.02     | 0.00%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4004108 | PA      | $4078155.57    | 0.02%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVNW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1011090 | PA      | $1031133.32    | 0.01%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVP28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2844895 | PA      | $2933425.88    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2714886 | PA      | $2798759.93    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     566000 | PA      | $591687.07     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2667570 | PA      | $2756540.80    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2693459 | PA      | $2777685.24    | 0.02%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7317678 | PA      | $7439250.68    | 0.05%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     561300 | PA      | $589461.47     | 0.00%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     478500 | PA      | $501358.24     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     378100 | PA      | $396164.71     | 0.00%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVPQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1023442 | PA      | $1069276.84    | 0.01%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JVY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     587670 | PA      | $598548.74     | 0.00%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     777227 | PA      | $804344.81     | 0.00%             | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334250 | PA      | $344158.13     | 0.00%             | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWRE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3427249 | PA      | $3496630.57    | 0.02%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311467 | PA      | $317861.67     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWRJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     596750 | PA      | $608885.44     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JWSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     766032 | PA      | $782512.06     | 0.00%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JXBS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3825561 | PA      | $3889117.68    | 0.02%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                           | CUSIP: 3142JXBV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1894521 | PA      | $1932076.32    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Student Bidco, Inc.                                             | First Student Bidco, Inc.                                                                                     | CUSIP: 337120AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2655000 | PA      | $2572598.62    | 0.02%             | 2029-07-31      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class F1                                                              | CUSIP: 33767WAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7333000 | PA      | $7256260.16    | 0.04%             | 2038-08-17      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class F1                                                              | CUSIP: 33768EAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9500000 | PA      | $9300170.35    | 0.06%             | 2038-07-17      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class F2                                                              | CUSIP: 33768EAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $7828584.00    | 0.05%             | 2038-07-17      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR1, Class F1                                                              | CUSIP: 33768NAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12700000 | PA      | $11890479.14   | 0.07%             | 2039-05-19      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR1, Class F2                                                              | CUSIP: 33768NAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5559000 | PA      | $5195490.88    | 0.03%             | 2039-05-19      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Flash Compute LLC                                                     | Flash Compute LLC                                                                                             | CUSIP: 33853QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2452000 | PA      | $2509913.40    | 0.02%             | 2030-12-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                             | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2101000 | PA      | $2100592.55    | 0.01%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                             | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5479272.43    | 0.03%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                             | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397D26<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6033000 | PA      | $6064175.17    | 0.04%             | 2026-06-10      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                             | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2816000 | PA      | $3040404.22    | 0.02%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                             | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2108051.78    | 0.01%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                             | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   10276000 | PA      | $10567428.08   | 0.06%             | 2030-09-05      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                             | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397J38<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4585585.82    | 0.03%             | 2033-04-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                             | Ford Motor Credit Co. LLC                                                                                     | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5460000 | PA      | $5458919.52    | 0.03%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust                      | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class A                                    | CUSIP: 34962ABD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12500000 | PA      | $12531250.00   | 0.08%             | 2031-05-15      | Fixed         | 5.92%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2021-MN1, Class M1                                                                   | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |     234295 | PA      | $233819.20     | 0.00%             | 2051-01-25      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2021-MN1, Class M2                                                                   | CUSIP: 35563FAB7<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |   14639988 | PA      | $15191373.87   | 0.09%             | 2051-01-25      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2021-MN1, Class B1                                                                   | CUSIP: 35563FAC5<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |    2100455 | PA      | $2331740.09    | 0.01%             | 2051-01-25      | Floating      | 11.42%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2021-MN3, Class M2                                                                   | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | USGSE             | US        |   18800000 | PA      | $19456546.76   | 0.12%             | 2051-11-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2021-MN3, Class B1                                                                   | CUSIP: 35563GAC3<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3704074.50    | 0.02%             | 2051-11-25      | Floating      | 10.52%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Credit Risk, Series 2022-MN4, Class M2                                         | CUSIP: 35563HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2200838.00    | 0.01%             | 2052-05-25      | Floating      | 10.17%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2021-MN2, Class M2                                                                   | CUSIP: 35563JAB9<br>LEI: 549300OXOJE8K5OHDX86 | Long             | ABS-MBS          | USGSE             | US        |   11393986 | PA      | $11394048.94   | 0.07%             | 2041-07-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2021-MN2, Class B1                                                                   | CUSIP: 35563JAC7<br>LEI: 549300OXOJE8K5OHDX86 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2000026.80    | 0.01%             | 2041-07-25      | Floating      | 9.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                                     | FHLMC STACR Trust, Series 2019-DNA1, Class B2                                                                 | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |    8135000 | PA      | $10040716.49   | 0.06%             | 2049-01-25      | Floating      | 14.53%                | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-2, Class BXS                                           | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4860880 | PA      | $3872223.48    | 0.02%             | 2060-11-25      | Variable      | 13.59%                | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-3, Class A                                             | CUSIP: 35563PCH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16525264 | PA      | $0.17          | 0.00%             | 2056-07-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2023-MN7, Class M1                                                                   | CUSIP: 35563QAA5<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |    3189055 | PA      | $3200172.49    | 0.02%             | 2043-09-25      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2023-MN7, Class M2                                                                   | CUSIP: 35563QAB3<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $10721285.00   | 0.07%             | 2043-09-25      | Floating      | 9.37%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2023-MN7, Class B1                                                                   | CUSIP: 35563QAC1<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $12739424.50   | 0.08%             | 2043-09-25      | Floating      | 12.52%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2024-MN8, Class M1                                                                   | CUSIP: 35563RAA3<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | USGSE             | US        |    4107358 | PA      | $4132507.42    | 0.03%             | 2044-05-25      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2024-MN8, Class M2                                                                   | CUSIP: 35563RAB1<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | USGSE             | US        |   12025000 | PA      | $12519983.87   | 0.08%             | 2044-05-25      | Floating      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2024-MN8, Class B1                                                                   | CUSIP: 35563RAC9<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | USGSE             | US        |    8300000 | PA      | $9682197.34    | 0.06%             | 2044-05-25      | Floating      | 11.02%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                                     | FHLMC STACR Trust, Series 2018-DNA2, Class B1                                                                 | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1066671.50    | 0.01%             | 2030-12-25      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2025-MN10, Class M1                                                                  | CUSIP: 35563UAA6<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |   11332437 | PA      | $11230843.81   | 0.07%             | 2045-02-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2025-MN10, Class M2                                                                  | CUSIP: 35563UAB4<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |    6900000 | PA      | $6934582.11    | 0.04%             | 2045-02-25      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2025-MN10, Class B1                                                                  | CUSIP: 35563UAC2<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |     820000 | PA      | $830122.90     | 0.01%             | 2045-02-25      | Floating      | 8.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                                     | FHLMC STACR Trust, Series 2018-HQA2, Class B1                                                                 | CUSIP: 35563XBD3<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    3935000 | PA      | $4187491.64    | 0.03%             | 2048-10-25      | Floating      | 8.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Series 2025-MN11, Class M1                                                                             | CUSIP: 35563YAA8<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |    6093957 | PA      | $6092532.43    | 0.04%             | 2045-07-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Series 2025-MN11, Class M2                                                                             | CUSIP: 35563YAB6<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1998938.80    | 0.01%             | 2045-07-25      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2025-MN11, Class B1                                                                  | CUSIP: 35563YAC4<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |    6300000 | PA      | $6296871.42    | 0.04%             | 2045-07-25      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| STACR Trust                                                           | STACR Trust, Series 2018-HRP2, Class B1                                                                       | CUSIP: 35564ACB5<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    2825000 | PA      | $3047333.43    | 0.02%             | 2047-02-25      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M1B                                                          | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |   15655000 | PA      | $16099988.68   | 0.10%             | 2043-06-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M2                                                           | CUSIP: 35564K2K4<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |   18040000 | PA      | $18939986.74   | 0.12%             | 2043-06-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2022-HQA2, Class M2                                                           | CUSIP: 35564KB65<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | CORP              | US        |    6412000 | PA      | $6835624.81    | 0.04%             | 2042-07-25      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2021-DNA1, Class B2                                                           | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $10076157.00   | 0.06%             | 2051-01-25      | Floating      | 8.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class B1                                                           | CUSIP: 35564KCN7<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | CORP              | US        |    6600000 | PA      | $7251606.12    | 0.04%             | 2033-08-25      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class B2                                                           | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | CORP              | US        |   22700000 | PA      | $26866289.90   | 0.16%             | 2033-08-25      | Floating      | 8.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                        | FHLMC STACR REMIC Trust, Series 2021-DNA2, Class B1                                                           | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   18555000 | PA      | $20609038.50   | 0.13%             | 2033-08-25      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                        | FHLMC STACR REMIC Trust, Series 2021-DNA2, Class B2                                                           | CUSIP: 35564KDY2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   23320000 | PA      | $29092914.97   | 0.18%             | 2033-08-25      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2022-HQA3, Class M1B                                                          | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5190309.50    | 0.03%             | 2042-08-25      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2021-DNA3, Class B2                                                           | CUSIP: 35564KFH7<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | CORP              | US        |   24618000 | PA      | $31214873.15   | 0.19%             | 2033-10-25      | Floating      | 9.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2021-HQA2, Class B2                                                           | CUSIP: 35564KGS2<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | CORP              | US        |   24250000 | PA      | $29323199.43   | 0.18%             | 2033-12-25      | Floating      | 9.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M2                                                           | CUSIP: 35564KH77<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $7481804.40    | 0.05%             | 2042-09-25      | Floating      | 9.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class B2                                                           | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |   19900000 | PA      | $24131319.09   | 0.15%             | 2034-01-25      | Floating      | 9.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                                                           | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    3125000 | PA      | $3203125.00    | 0.02%             | 2041-09-25      | Floating      | 9.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class B2                                                           | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |    7450000 | PA      | $7732911.52    | 0.05%             | 2041-10-25      | Floating      | 11.17%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B1                                                           | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   27000000 | PA      | $27519058.80   | 0.17%             | 2041-11-25      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2023-DNA1, Class M1A                                                          | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |     949226 | PA      | $959315.89     | 0.01%             | 2043-03-25      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class B2                                                           | CUSIP: 35564KSQ3<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3192180.00    | 0.02%             | 2042-02-25      | Floating      | 12.17%                | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                        | FHLMC STACR REMIC Trust, Series 2023-DNA2, Class M1A                                                          | CUSIP: 35564KT58<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |    3827124 | PA      | $3879409.77    | 0.02%             | 2043-04-25      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class B2                                                           | CUSIP: 35564KUL1<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    8900000 | PA      | $9739982.00    | 0.06%             | 2042-03-25      | Floating      | 14.67%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1B                                                          | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $10206300.00   | 0.06%             | 2042-04-25      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2023-DNA2, Class B1                                                           | CUSIP: 35564KW70<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |    9350000 | PA      | $10449323.45   | 0.06%             | 2043-04-25      | Floating      | 11.27%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class B1                                                           | CUSIP: 35564KWA3<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $6565651.25    | 0.04%             | 2042-04-25      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M1B                                                          | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4112520.00    | 0.03%             | 2042-05-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M2                                                           | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |    3100000 | PA      | $3254637.30    | 0.02%             | 2042-05-25      | Floating      | 8.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2                                                           | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $12843720.00   | 0.08%             | 2042-06-25      | Floating      | 10.42%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                                     | FHLMC STACR Trust, Series 2019-HQA2, Class B2                                                                 | CUSIP: 35564MBE4<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $4170379.85    | 0.03%             | 2049-04-25      | Floating      | 15.03%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class M2                                                           | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |    8500000 | PA      | $8584899.70    | 0.05%             | 2044-02-25      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                                     | FHLMC STACR Trust, Series 2019-DNA4, Class B2                                                                 | CUSIP: 35565ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5525082.00    | 0.03%             | 2049-10-25      | Floating      | 10.03%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC STACR REMIC Trust, Series 2020-DNA5, Class B2                                                           | CUSIP: 35566ABE8<br>LEI: 5493000ITF7RKPWPZQ19 | Long             | ABS-MBS          | CORP              | US        |   33000000 | PA      | $45897941.10   | 0.28%             | 2050-10-25      | Floating      | 15.17%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                               | FHLMC STACR REMIC Trust, Series 2020-DNA6, Class B2                                                           | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2330094.00    | 0.01%             | 2050-12-25      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2024-MN9, Class M1                                                                   | CUSIP: 355917AA3<br>LEI: 529900KWKEUIIIV9P337 | Long             | ABS-MBS          | USGSE             | US        |    2011037 | PA      | $2028016.94    | 0.01%             | 2044-10-25      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2024-MN9, Class M2                                                                   | CUSIP: 355917AB1<br>LEI: 529900KWKEUIIIV9P337 | Long             | ABS-MBS          | USGSE             | US        |    8900000 | PA      | $9036173.56    | 0.06%             | 2044-10-25      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2024-MN9, Class B1                                                                   | CUSIP: 355917AC9<br>LEI: 529900KWKEUIIIV9P337 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2119226.80    | 0.01%             | 2044-10-25      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-KL1E, Class BE                                                              | CUSIP: 35708RAN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9625000 | PA      | $9178400.00    | 0.06%             | 2027-02-25      | Variable      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KF50, Class B                                                               | CUSIP: 35709BAC9<br>LEI: 549300LI8XT0ZWPV2P54 | Long             | ABS-MBS          | USGSE             | US        |     145449 | PA      | $140559.37     | 0.00%             | 2028-07-25      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2020-K740 Mortgage Trust                                        | FREMF Mortgage Trust, Series 2020-K740, Class X2A                                                             | CUSIP: 35709FAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  250341330 | PA      | $298306.73     | 0.00%             | 2052-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2020-K740 Mortgage Trust                                        | FREMF Mortgage Trust, Series 2020-K740, Class X2B                                                             | CUSIP: 35709FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59133537 | PA      | $78085.84      | 0.00%             | 2052-11-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2020-K740 Mortgage Trust                                        | FREMF Mortgage Trust, Series 2020-K740, Class D                                                               | CUSIP: 35709FAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24122537 | PA      | $21327055.79   | 0.13%             | 2052-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2023-KF149, Class CS                                                             | CUSIP: 35709HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6491605 | PA      | $6617802.41    | 0.04%             | 2032-12-25      | Floating      | 9.83%                 | Yes           |                  2 | On Loan: No      |
| Frontier Communications Holdings LLC                                  | Frontier Communications Holdings LLC                                                                          | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9797000 | PA      | $9802643.07    | 0.06%             | 2028-05-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GCI LLC                                                               | GCI LLC                                                                                                       | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |    7571000 | PA      | $7439001.13    | 0.05%             | 2028-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GCAT Trust                                                            | GCAT Trust, Series 2020-NQM1, Class M1                                                                        | CUSIP: 36167FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10871000 | PA      | $10548151.95   | 0.06%             | 2060-01-25      | Variable      | 2.93%                 | Yes           |                  2 | On Loan: No      |
| GCAT Trust                                                            | GCAT Trust, Series 2020-NQM1, Class B1                                                                        | CUSIP: 36167FAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2712808.20    | 0.02%             | 2060-01-25      | Variable      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                               | GFL Environmental, Inc.                                                                                       | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    5378000 | PA      | $5294771.31    | 0.03%             | 2028-08-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                               | GFL Environmental, Inc.                                                                                       | CUSIP: 36168QAN4<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    4050000 | PA      | $4023749.93    | 0.02%             | 2029-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                               | GFL Environmental, Inc.                                                                                       | CUSIP: 36168QAP9<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |       5000 | PA      | $4911.12       | 0.00%             | 2029-08-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                               | GFL Environmental, Inc.                                                                                       | CUSIP: 36168QAQ7<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    9781000 | PA      | $10258801.85   | 0.06%             | 2031-01-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| GGAM Master Trust International Ltd.                                  | GGAM Master Trust International Ltd., Series 2025-1A, Class Y                                                 | CUSIP: 36173XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   18203288 | PA      | $18801575.75   | 0.12%             | 2060-09-30      | Fixed         | 9.70%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 36179X2P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88456 | PA      | $91922.84      | 0.00%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 36179XBV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $54.69         | 0.00%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 36179XLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36396 | PA      | $37803.31      | 0.00%             | 2052-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3617FTVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     935382 | PA      | $986476.66     | 0.01%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3617G83N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255840 | PA      | $266764.66     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3617HX4Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72016 | PA      | $71516.27      | 0.00%             | 2049-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                             | GMACM Mortgage Loan Trust, Series 2004-J2, Class A8                                                           | CUSIP: 36185N2E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18978 | PA      | $19174.47      | 0.00%             | 2034-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                | CUSIP: 3618FUSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92154 | PA      | $95403.20      | 0.00%             | 2063-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618GCR38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     406238 | PA      | $429480.17     | 0.00%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618GPTL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2122973 | PA      | $2229824.73    | 0.01%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618GQDV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     440496 | PA      | $465698.19     | 0.00%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618GQG88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1389000 | PA      | $1458912.25    | 0.01%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618GQHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     374218 | PA      | $393053.98     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618GSHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1171660 | PA      | $1232044.89    | 0.01%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618H03N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288546 | PA      | $302845.35     | 0.00%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618H0XZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140516 | PA      | $146217.84     | 0.00%             | 2045-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618H3JE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1353378 | PA      | $1421497.20    | 0.01%             | 2054-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618H3VN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     964318 | PA      | $996281.73     | 0.01%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618H4AK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1643246 | PA      | $1725948.86    | 0.01%             | 2054-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618H4AL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     706910 | PA      | $742487.74     | 0.00%             | 2054-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618H96M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     426302 | PA      | $449585.08     | 0.00%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618H96T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     759792 | PA      | $782207.45     | 0.00%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HAJP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2241465 | PA      | $2354276.86    | 0.01%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HAK95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2600262 | PA      | $2681719.13    | 0.02%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HAN76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     402825 | PA      | $423100.46     | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HCAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     892426 | PA      | $916699.57     | 0.01%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HKK44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1602509 | PA      | $1683167.39    | 0.01%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HKLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2484065 | PA      | $2609089.27    | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HKUN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1084612 | PA      | $1140512.60    | 0.01%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HL6F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     854261 | PA      | $900922.33     | 0.01%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMD48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1759632 | PA      | $1817959.38    | 0.01%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMD55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1232376 | PA      | $1270980.80    | 0.01%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1501783 | PA      | $1552017.72    | 0.01%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HMFD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7206669 | PA      | $7432423.83    | 0.05%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HML72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7425484 | PA      | $7658097.82    | 0.05%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HNSG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136937 | PA      | $143829.10     | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HNTT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8432034 | PA      | $8696179.51    | 0.05%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HPG30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     298132 | PA      | $307472.09     | 0.00%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HPG48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     559847 | PA      | $577384.79     | 0.00%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HPGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1319436 | PA      | $1388321.48    | 0.01%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HSJB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     432475 | PA      | $456099.62     | 0.00%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HSU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     420674 | PA      | $443042.91     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618HTT79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5128188 | PA      | $5386307.16    | 0.03%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     471087 | PA      | $496608.80     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461587 | PA      | $482867.57     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234890 | PA      | $246710.67     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     654480 | PA      | $689147.72     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J14S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199943 | PA      | $210533.73     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6A51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     405093 | PA      | $420979.91     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6A77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303835 | PA      | $320431.27     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6A85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     242405 | PA      | $255646.08     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6BA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     331793 | PA      | $349916.60     | 0.00%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J6CG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     661394 | PA      | $682113.31     | 0.00%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J7B74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4105381 | PA      | $4233989.01    | 0.03%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J7CH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3732271 | PA      | $3920121.94    | 0.02%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J92B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2596640 | PA      | $2677980.68    | 0.02%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618J92E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1844661 | PA      | $1902449.48    | 0.01%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JCCD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2738478 | PA      | $2871288.10    | 0.02%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JM5T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     582914 | PA      | $605772.23     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JM5W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     665319 | PA      | $685626.55     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JM6N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1418377 | PA      | $1474001.16    | 0.01%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JN2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     653112 | PA      | $673573.12     | 0.00%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JSF82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8849192 | PA      | $9126414.59    | 0.06%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149903 | PA      | $155781.97     | 0.00%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWD85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1316656 | PA      | $1368290.10    | 0.01%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWDH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     642144 | PA      | $667326.25     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWDU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     673594 | PA      | $697038.71     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWDX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     672689 | PA      | $699102.92     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWDY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     733646 | PA      | $762416.43     | 0.00%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618JWEK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111871 | PA      | $116257.87     | 0.00%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K52C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     370775 | PA      | $385334.19     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5XX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     333692 | PA      | $346794.09     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5Y22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     763212 | PA      | $793144.16     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5YH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     373744 | PA      | $388401.73     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5YX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431577 | PA      | $448502.88     | 0.00%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5YY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1783710 | PA      | $1853664.04    | 0.01%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5YZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575645 | PA      | $592394.96     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5ZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     543656 | PA      | $565004.72     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5ZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1612873 | PA      | $1676126.70    | 0.01%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5ZF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     451890 | PA      | $465039.14     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618K5ZG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     616980 | PA      | $641074.02     | 0.00%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618M23C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11074575 | PA      | $11336205.17   | 0.07%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8T38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36245626 | PA      | $37311081.87   | 0.23%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8T87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3677048 | PA      | $3778853.03    | 0.02%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8TM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4233725 | PA      | $4383750.15    | 0.03%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8TS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4344345 | PA      | $4489047.74    | 0.03%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618M8TW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24692401 | PA      | $25480195.70   | 0.16%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618N53Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  368223730 | PA      | $374036414.00  | 2.29%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618N54A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34180320 | PA      | $35673896.24   | 0.22%             | 2055-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618N56J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49900179 | PA      | $50708944.96   | 0.31%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618N5TQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7781660 | PA      | $8094209.40    | 0.05%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62405667 | PA      | $63790956.60   | 0.39%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                       | CUSIP: 3618N5X38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10949686 | PA      | $11229251.86   | 0.07%             | 2055-10-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3618NHHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3807060 | PA      | $3903774.89    | 0.02%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2013-GC13, Class B                                                       | CUSIP: 36198EAS4<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1467315.00    | 0.01%             | 2046-07-10      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2745006 | PA      | $2883165.38    | 0.02%             | 2054-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADG93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23212131 | PA      | $24523328.80   | 0.15%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADGY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52189396 | PA      | $53689555.08   | 0.33%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADH68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43812860 | PA      | $45207741.46   | 0.28%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADH76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36185213 | PA      | $38041341.74   | 0.23%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADHB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25882899 | PA      | $27226661.91   | 0.17%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADHC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22931796 | PA      | $24182319.47   | 0.15%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28891407 | PA      | $30373449.06   | 0.19%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADKE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5512279 | PA      | $5633576.58    | 0.03%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADKG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7680724 | PA      | $7935186.38    | 0.05%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18950458 | PA      | $19624616.27   | 0.12%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADUJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   75845420 | PA      | $78221465.09   | 0.48%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADUP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39627725 | PA      | $40846614.64   | 0.25%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28174397 | PA      | $28878650.25   | 0.18%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADV47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15407922 | PA      | $15775558.73   | 0.10%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADV54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49065048 | PA      | $50411278.17   | 0.31%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36930124 | PA      | $39084507.26   | 0.24%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622ADZ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16049558 | PA      | $16552354.18   | 0.10%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEAD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18900565 | PA      | $19477470.94   | 0.12%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36606254 | PA      | $38461661.72   | 0.24%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14866198 | PA      | $15328576.75   | 0.09%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEDU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15990215 | PA      | $16783478.16   | 0.10%             | 2055-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEDV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34363258 | PA      | $35079260.89   | 0.21%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                              | CUSIP: 3622AEFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12257905 | PA      | $12864237.78   | 0.08%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSMSC Pass-Through Trust                                              | GSMSC Pass-Through Trust, Series 2008-2R, Class 2A1                                                           | CUSIP: 3622X1AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156118 | PA      | $16670.95      | 0.00%             | 2036-10-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1                                                           | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57284 | PA      | $55071.01      | 0.00%             | 2035-09-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2015-GC30, Class D                                                       | CUSIP: 36250GAX3<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $2480000.00    | 0.02%             | 2050-05-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2015-GC32, Class D                                                       | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |      73029 | PA      | $71385.19      | 0.00%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2015-GC28, Class D                                                       | CUSIP: 36251FAG1<br>LEI: 5493002EPQ51IPGGFX73 | Long             | ABS-MBS          | CORP              | US        |     842571 | PA      | $806736.05     | 0.00%             | 2048-02-10      | Variable      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2015-GS1, Class C                                                        | CUSIP: 36252AAK2<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |    5780000 | PA      | $5086400.00    | 0.03%             | 2048-11-10      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2017-GS5, Class D                                                        | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5547000 | PA      | $693033.86     | 0.00%             | 2050-03-10      | Variable      | 3.51%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2019-GC40, Class E                                                       | CUSIP: 36257HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4950000 | PA      | $3247313.36    | 0.02%             | 2052-07-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2019-GC42, Class D                                                       | CUSIP: 36257UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11880000 | PA      | $8840277.47    | 0.05%             | 2052-09-10      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2020-GC47, Class XA                                                      | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   80169337 | PA      | $3024684.86    | 0.02%             | 2053-05-12      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2020-GC45, Class D                                                       | CUSIP: 36258YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2269131.30    | 0.01%             | 2053-02-13      | Variable      | 2.85%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2020-GC45, Class E                                                       | CUSIP: 36258YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $4989397.00    | 0.03%             | 2053-02-13      | Variable      | 2.85%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2020-GC45, Class XA                                                      | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   69197247 | PA      | $1344703.18    | 0.01%             | 2053-02-13      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2019-GSA1, Class XB                                                      | CUSIP: 36261PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39035000 | PA      | $436020.95     | 0.00%             | 2052-11-10      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2020-GSA2, Class E                                                       | CUSIP: 36264KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $2546837.60    | 0.02%             | 2053-12-12      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                          | GS Mortgage Securities Trust, Series 2020-GSA2, Class D                                                       | CUSIP: 36264KBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18158167 | PA      | $13272917.36   | 0.08%             | 2053-12-12      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class E                                                    | CUSIP: 36265NAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10680000 | PA      | $10733563.40   | 0.07%             | 2029-06-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2023-1A, Class E                                                    | CUSIP: 36266XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1084255.90    | 0.01%             | 2030-03-15      | Fixed         | 11.42%                | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2024-4A, Class D                                                    | CUSIP: 36270YAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12035000 | PA      | $12358836.58   | 0.08%             | 2030-07-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2025-PJ6, Class A1                                                | CUSIP: 36272KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7694799 | PA      | $7823040.99    | 0.05%             | 2055-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2025-PJ7, Class A1                                                | CUSIP: 36272MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13826650 | PA      | $14057085.28   | 0.09%             | 2055-12-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2025-PJ9, Class A1                                                | CUSIP: 36273FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40756897 | PA      | $41358713.41   | 0.25%             | 2056-03-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp. Trust                             | GS Mortgage-Backed Securities Corp. Trust, Series 2025-NQM6, Class A1                                         | CUSIP: 362933AA1<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |   11910770 | PA      | $11961624.38   | 0.07%             | 2066-02-25      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Galaxy 32 CLO Ltd.                                                    | Galaxy CLO Ltd., Series 2023-32A, Class D1R                                                                   | CUSIP: 362943AS1<br>LEI: 391200J1K1EF617W8568 | Long             | ABS-CBDO         | CORP              | KY        |    4882000 | PA      | $4882000.00    | 0.03%             | 2039-01-20      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Gap, Inc. (The)                                                       | Gap, Inc. (The)                                                                                               | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    2520000 | PA      | $2397139.67    | 0.01%             | 2029-10-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Garda World Security Corp.                                            | Garda World Security Corp.                                                                                    | CUSIP: 36485MAP4<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    1998000 | PA      | $2046343.61    | 0.01%             | 2032-11-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Garda World Security Corp.                                            | Garda World Security Corp.                                                                                    | CUSIP: 36485MAQ2<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    2263000 | PA      | $2324924.73    | 0.01%             | 2031-01-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                               | Genesee & Wyoming, Inc.                                                                                       | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1958398.40    | 0.01%             | 2032-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Genesis Energy LP                                                     | Genesis Energy LP                                                                                             | CUSIP: 37185LAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2975000 | PA      | $2979679.68    | 0.02%             | 2028-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Genesis Energy LP                                                     | Genesis Energy LP                                                                                             | CUSIP: 37185LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1157000 | PA      | $1207844.37    | 0.01%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Genesis Energy LP                                                     | Genesis Energy LP                                                                                             | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1662000 | PA      | $1739758.33    | 0.01%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Genesis Energy LP                                                     | Genesis Energy LP                                                                                             | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1106000 | PA      | $1169346.15    | 0.01%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Genesis Energy LP                                                     | Genesis Energy LP                                                                                             | CUSIP: 37185LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1825000 | PA      | $1846051.25    | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Republic of Ghana                                                     | Republic of Ghana                                                                                             | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      59520 | PA      | $58552.80      | 0.00%             | 2026-07-03      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ghana                                                     | Republic of Ghana                                                                                             | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    5031460 | PA      | $4925749.03    | 0.03%             | 2029-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ghana                                                     | Republic of Ghana                                                                                             | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    3394560 | PA      | $3071440.32    | 0.02%             | 2035-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Global Medical Response, Inc.                                         | Global Medical Response, Inc.                                                                                 | CUSIP: 37960BAD7<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |    2212000 | PA      | $2315698.56    | 0.01%             | 2032-10-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Global Infrastructure Solutions, Inc.                                 | Global Infrastructure Solutions, Inc.                                                                         | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1649605.98    | 0.01%             | 2029-06-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Goat Holdco LLC                                                       | Goat Holdco LLC                                                                                               | CUSIP: 38021MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2632000 | PA      | $2719890.38    | 0.02%             | 2032-02-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO Ltd.                                | GoldenTree Loan Management US CLO Ltd., Series 2020-8A, Class DRR                                             | CUSIP: 38136NBE5<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5036581.50    | 0.03%             | 2034-10-20      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The), Series W                                                                     | CUSIP: 38141GA38<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6225000 | PA      | $6654929.63    | 0.04%             | 2029-02-10      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The), Series X                                                                     | CUSIP: 38141GA79<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8361000 | PA      | $8900702.55    | 0.05%             | 2029-05-10      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                      | Goodyear Tire & Rubber Co. (The)                                                                              | CUSIP: 382550BJ9<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    2441000 | PA      | $2340615.83    | 0.01%             | 2031-04-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                      | Goodyear Tire & Rubber Co. (The)                                                                              | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |   10041000 | PA      | $9842543.65    | 0.06%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                      | Goodyear Tire & Rubber Co. (The)                                                                              | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    2855000 | PA      | $2723966.35    | 0.02%             | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                      | Goodyear Tire & Rubber Co. (The)                                                                              | CUSIP: 382550BS9<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    1432000 | PA      | $1463117.36    | 0.01%             | 2030-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-36, Class SL                                                                                | CUSIP: 38376MNL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5195874 | PA      | $795088.19     | 0.00%             | 2047-03-16      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H13, Class GI                                                                               | CUSIP: 38376RCK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207582 | PA      | $6506.25       | 0.00%             | 2065-04-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-89                                                                                          | CUSIP: 38378BXV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5423647 | PA      | $54.24         | 0.00%             | 2053-12-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-88, Class AJ                                                                                | CUSIP: 38378N7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4534588 | PA      | $4086490.80    | 0.03%             | 2055-03-16      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-182, Class MS                                                                               | CUSIP: 38378PFB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6094303 | PA      | $732482.81     | 0.00%             | 2043-12-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-104                                                                                         | CUSIP: 38379KXU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5939597 | PA      | $6785.99       | 0.00%             | 2055-05-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-108, Class SM                                                                               | CUSIP: 38379YYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2034187 | PA      | $324161.29     | 0.00%             | 2046-08-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-108, Class SN                                                                               | CUSIP: 38379YYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8750326 | PA      | $1350055.40    | 0.01%             | 2046-08-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-147, Class AS                                                                               | CUSIP: 38380A2K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3857771 | PA      | $599066.77     | 0.00%             | 2046-10-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2018-4                                                                                           | CUSIP: 38380JLG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3964100 | PA      | $136935.87     | 0.00%             | 2059-10-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-53, Class IA                                                                                | CUSIP: 38380M4K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4155274 | PA      | $207425.04     | 0.00%             | 2061-06-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2018-106                                                                                         | CUSIP: 38380MDA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6472358 | PA      | $328440.43     | 0.00%             | 2060-04-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-9                                                                                           | CUSIP: 38380MH46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11976509 | PA      | $663934.54     | 0.00%             | 2060-08-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2018-119                                                                                         | CUSIP: 38380MMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7540684 | PA      | $422999.22     | 0.00%             | 2060-05-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-28                                                                                          | CUSIP: 38380N3R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16417463 | PA      | $915605.22     | 0.01%             | 2061-11-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-40                                                                                          | CUSIP: 38380N8S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38609725 | PA      | $2282819.27    | 0.01%             | 2062-01-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-67                                                                                          | CUSIP: 38380NBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7949404 | PA      | $444195.19     | 0.00%             | 2060-02-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-6                                                                                           | CUSIP: 38380NP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12740563 | PA      | $729314.41     | 0.00%             | 2062-10-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-144                                                                                         | CUSIP: 38380NSZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13744575 | PA      | $796550.34     | 0.00%             | 2062-01-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-10                                                                                          | CUSIP: 38380NT41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19854826 | PA      | $800417.53     | 0.00%             | 2062-04-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-23                                                                                          | CUSIP: 38380NY52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62265105 | PA      | $2876504.66    | 0.02%             | 2062-04-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-145                                                                                         | CUSIP: 38380P2T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33616510 | PA      | $1759831.01    | 0.01%             | 2063-03-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-143, Class IB                                                                               | CUSIP: 38380P3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45462342 | PA      | $2869992.18    | 0.02%             | 2062-03-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-128                                                                                         | CUSIP: 38380P4H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54911818 | PA      | $3669350.43    | 0.02%             | 2062-10-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-147                                                                                         | CUSIP: 38380P8J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  201620473 | PA      | $13260961.56   | 0.08%             | 2062-06-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-38                                                                                          | CUSIP: 38380PCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10073552 | PA      | $594795.90     | 0.00%             | 2062-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-54                                                                                          | CUSIP: 38380PFX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  157487816 | PA      | $9963482.44    | 0.06%             | 2062-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-56                                                                                          | CUSIP: 38380PGL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43604925 | PA      | $2873250.58    | 0.02%             | 2061-11-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-64                                                                                          | CUSIP: 38380PHR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31040576 | PA      | $2678413.72    | 0.02%             | 2062-07-16      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-72                                                                                          | CUSIP: 38380PKN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   93424695 | PA      | $6280250.91    | 0.04%             | 2062-05-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-70                                                                                          | CUSIP: 38380PLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46807896 | PA      | $2564716.94    | 0.02%             | 2062-04-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-94                                                                                          | CUSIP: 38380PNV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17417413 | PA      | $1190117.88    | 0.01%             | 2062-03-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-91, Class IU                                                                                | CUSIP: 38380PSK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18413698 | PA      | $1233240.87    | 0.01%             | 2062-05-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-114                                                                                         | CUSIP: 38380PT20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69736602 | PA      | $3887815.54    | 0.02%             | 2062-09-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-89, Class IA                                                                                | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38108928 | PA      | $3106944.71    | 0.02%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-124                                                                                         | CUSIP: 38380PU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8377885 | PA      | $487808.23     | 0.00%             | 2061-12-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-120                                                                                         | CUSIP: 38380PV76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7655252 | PA      | $447090.46     | 0.00%             | 2062-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-106, Class IC                                                                               | CUSIP: 38380PVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   67627496 | PA      | $4175098.43    | 0.03%             | 2062-06-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-108                                                                                         | CUSIP: 38380PWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32212740 | PA      | $1853762.64    | 0.01%             | 2062-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-111                                                                                         | CUSIP: 38380PYF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15695938 | PA      | $920803.75     | 0.01%             | 2062-09-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-47                                                                                          | CUSIP: 38380RA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17121572 | PA      | $1144691.83    | 0.01%             | 2061-03-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-161                                                                                         | CUSIP: 38380RAQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30278268 | PA      | $2259282.60    | 0.01%             | 2062-08-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-150                                                                                         | CUSIP: 38380RBL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   80223457 | PA      | $5639067.25    | 0.03%             | 2062-12-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-158                                                                                         | CUSIP: 38380RCM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51818162 | PA      | $2994939.47    | 0.02%             | 2062-09-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-40                                                                                          | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46643980 | PA      | $2859000.76    | 0.02%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-169                                                                                         | CUSIP: 38380RFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  345750939 | PA      | $21713400.99   | 0.13%             | 2062-07-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-195, Class IX                                                                               | CUSIP: 38380RLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8792498 | PA      | $708765.92     | 0.00%             | 2062-12-16      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-194                                                                                         | CUSIP: 38380RMP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12352342 | PA      | $884126.26     | 0.01%             | 2062-06-16      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-192                                                                                         | CUSIP: 38380RNB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59089443 | PA      | $4049576.78    | 0.02%             | 2062-09-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-62, Class AT                                                                                | CUSIP: 38380RP95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40602349 | PA      | $39266584.09   | 0.24%             | 2063-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-3                                                                                           | CUSIP: 38380RQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   73433837 | PA      | $4676942.31    | 0.03%             | 2062-09-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-61                                                                                          | CUSIP: 38380RR44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39677424 | PA      | $2992582.40    | 0.02%             | 2063-08-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-11, Class IX                                                                                | CUSIP: 38380RRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3303245 | PA      | $273975.77     | 0.00%             | 2062-12-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-22                                                                                          | CUSIP: 38380RUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49567993 | PA      | $3458096.17    | 0.02%             | 2063-05-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-71                                                                                          | CUSIP: 38380RV49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  156496389 | PA      | $10358073.42   | 0.06%             | 2062-10-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-33                                                                                          | CUSIP: 38380RVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  115321889 | PA      | $7377256.58    | 0.05%             | 2062-10-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-167                                                                                         | CUSIP: 38381D2W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62543652 | PA      | $4469400.63    | 0.03%             | 2063-12-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-168                                                                                         | CUSIP: 38381D4F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   73643350 | PA      | $4495005.97    | 0.03%             | 2063-05-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-178, Class SA                                                                               | CUSIP: 38381D5B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31071087 | PA      | $1606957.77    | 0.01%             | 2061-10-16      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-180                                                                                         | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18766851 | PA      | $1307642.28    | 0.01%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-82, Class TA                                                                                | CUSIP: 38381DCE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18046394 | PA      | $414036.62     | 0.00%             | 2061-04-16      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-150                                                                                         | CUSIP: 38381DD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31255453 | PA      | $2502767.88    | 0.02%             | 2063-11-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-80                                                                                          | CUSIP: 38381DDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61145840 | PA      | $4204339.05    | 0.03%             | 2062-12-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-88                                                                                          | CUSIP: 38381DET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   89211573 | PA      | $5456376.07    | 0.03%             | 2062-09-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-147                                                                                         | CUSIP: 38381DF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29484160 | PA      | $2138698.37    | 0.01%             | 2061-06-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-95, Class TA                                                                                | CUSIP: 38381DJV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23602237 | PA      | $921775.92     | 0.01%             | 2061-06-01      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-151                                                                                         | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   97942858 | PA      | $6802670.15    | 0.04%             | 2063-04-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-106                                                                                         | CUSIP: 38381DMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   91798070 | PA      | $6022724.52    | 0.04%             | 2063-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-110                                                                                         | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2706692 | PA      | $182701.99     | 0.00%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-144                                                                                         | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28861969 | PA      | $1758698.30    | 0.01%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-108                                                                                         | CUSIP: 38381DPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   67645778 | PA      | $4833744.08    | 0.03%             | 2061-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-148                                                                                         | CUSIP: 38381DQ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64297438 | PA      | $5406057.88    | 0.03%             | 2063-10-16      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-112                                                                                         | CUSIP: 38381DQY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16410872 | PA      | $1253070.19    | 0.01%             | 2063-10-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-101                                                                                         | CUSIP: 38381DRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   78099812 | PA      | $3904607.92    | 0.02%             | 2063-04-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-164                                                                                         | CUSIP: 38381DT91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39950261 | PA      | $2776978.60    | 0.02%             | 2063-10-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-126                                                                                         | CUSIP: 38381DTB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14404952 | PA      | $959462.01     | 0.01%             | 2063-05-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-170                                                                                         | CUSIP: 38381DW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14005435 | PA      | $1033017.11    | 0.01%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-133                                                                                         | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   84566149 | PA      | $5605602.49    | 0.03%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-120                                                                                         | CUSIP: 38381DXT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50619087 | PA      | $3761028.57    | 0.02%             | 2063-02-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-185                                                                                         | CUSIP: 38381EAC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35260490 | PA      | $3108670.54    | 0.02%             | 2063-11-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-181                                                                                         | CUSIP: 38381EBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  133626331 | PA      | $9256763.64    | 0.06%             | 2063-07-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-195, Class IX                                                                               | CUSIP: 38381ECK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50448974 | PA      | $4593873.52    | 0.03%             | 2063-08-16      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-218                                                                                         | CUSIP: 38381EKC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14744373 | PA      | $1087897.31    | 0.01%             | 2061-10-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-224                                                                                         | CUSIP: 38381EMC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   78468071 | PA      | $5011685.08    | 0.03%             | 2064-04-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-4                                                                                           | CUSIP: 38381EQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  359447330 | PA      | $23143986.88   | 0.14%             | 2064-03-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-52                                                                                          | CUSIP: 38381EU55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  144884260 | PA      | $6915267.76    | 0.04%             | 2064-06-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, STRIPS, Series 3, Class 23                                                                              | CUSIP: 38381GBR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30211096 | PA      | $1700250.26    | 0.01%             | 2045-09-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-46                                                                                          | CUSIP: 38381H5Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19614942 | PA      | $1504026.64    | 0.01%             | 2065-07-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-210                                                                                         | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33679620 | PA      | $1833077.30    | 0.01%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-134                                                                                         | CUSIP: 38381HLT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28494404 | PA      | $1110754.60    | 0.01%             | 2064-06-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-147                                                                                         | CUSIP: 38381HMW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  128782869 | PA      | $5684939.46    | 0.03%             | 2064-09-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-149                                                                                         | CUSIP: 38381HNW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47506518 | PA      | $1750871.72    | 0.01%             | 2064-06-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-141                                                                                         | CUSIP: 38381HQB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11464670 | PA      | $720103.98     | 0.00%             | 2064-06-16      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-15                                                                                          | CUSIP: 38381HU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31275301 | PA      | $2105115.46    | 0.01%             | 2064-08-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-166                                                                                         | CUSIP: 38381HUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   78442539 | PA      | $4840822.42    | 0.03%             | 2065-04-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-15, Class AB                                                                                | CUSIP: 38381HV32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8530523 | PA      | $8340536.17    | 0.05%             | 2063-08-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-28                                                                                          | CUSIP: 38381HX48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24416676 | PA      | $1616967.54    | 0.01%             | 2065-02-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-199                                                                                         | CUSIP: 38381HZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31682925 | PA      | $1902480.45    | 0.01%             | 2064-07-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-32                                                                                          | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  124638702 | PA      | $6526630.83    | 0.04%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-52, Class A                                                                                 | CUSIP: 38381J8E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4828404 | PA      | $4836330.11    | 0.03%             | 2056-03-16      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-26                                                                                          | CUSIP: 38381JBM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   58041584 | PA      | $3678611.78    | 0.02%             | 2065-04-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-108                                                                                         | CUSIP: 38381JMN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  203149763 | PA      | $7454580.56    | 0.05%             | 2059-08-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-127                                                                                         | CUSIP: 38381JMQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  392545274 | PA      | $6884144.99    | 0.04%             | 2057-07-16      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-126                                                                                         | CUSIP: 38381JQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62465999 | PA      | $4164370.75    | 0.03%             | 2065-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-179                                                                                         | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  356799853 | PA      | $15841485.32   | 0.10%             | 2063-09-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-21                                                                                          | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  320508878 | PA      | $22849109.94   | 0.14%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-38                                                                                          | CUSIP: 38381L8C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  150619495 | PA      | $6241732.10    | 0.04%             | 2062-01-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-161                                                                                         | CUSIP: 38381LA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  136160702 | PA      | $7813609.10    | 0.05%             | 2064-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-56                                                                                          | CUSIP: 38381LCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10608458 | PA      | $756970.76     | 0.00%             | 2065-11-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-90                                                                                          | CUSIP: 38381LFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19216023 | PA      | $1255073.43    | 0.01%             | 2066-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-121                                                                                         | CUSIP: 38381LLB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9918519 | PA      | $937252.41     | 0.01%             | 2066-07-01      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-195                                                                                         | CUSIP: 38381LR46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  222919610 | PA      | $8843755.94    | 0.05%             | 2061-07-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-42                                                                                          | CUSIP: 38381MBQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  155467958 | PA      | $7517108.95    | 0.05%             | 2065-11-16      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-138, Class A                                                                                | CUSIP: 38381ME63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28940368 | PA      | $29052864.78   | 0.18%             | 2056-05-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-93, Class AM                                                                                | CUSIP: 38381MPH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10900000 | PA      | $10934149.70   | 0.07%             | 2054-12-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-78                                                                                          | CUSIP: 38381MPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  258774529 | PA      | $19175839.55   | 0.12%             | 2063-11-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-142                                                                                         | CUSIP: 38381MR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23162902 | PA      | $1601703.10    | 0.01%             | 2068-02-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-144, Class A                                                                                | CUSIP: 38381MS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20762858 | PA      | $20928030.21   | 0.13%             | 2054-07-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-112                                                                                         | CUSIP: 38381MUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  135822671 | PA      | $6971207.23    | 0.04%             | 2066-03-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-106, Class A                                                                                | CUSIP: 38381MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10412884 | PA      | $10577754.63   | 0.06%             | 2055-07-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-128, Class AD                                                                               | CUSIP: 38381MZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2800871 | PA      | $2845884.75    | 0.02%             | 2056-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-128, Class AW                                                                               | CUSIP: 38381MZC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13886433 | PA      | $13966477.42   | 0.09%             | 2054-03-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-120, Class SJ                                                                               | CUSIP: 38381N7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6782602 | PA      | $7477051.58    | 0.05%             | 2055-07-20      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-120, Class SH                                                                               | CUSIP: 38381N7N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4704594 | PA      | $5174205.92    | 0.03%             | 2055-07-20      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-105, Class PA                                                                               | CUSIP: 38381NAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3086678 | PA      | $3207104.93    | 0.02%             | 2055-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-105, Class PZ                                                                               | CUSIP: 38381NAY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7515897 | PA      | $7238733.24    | 0.04%             | 2055-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-105, Class SD                                                                               | CUSIP: 38381NBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   99036909 | PA      | $6207009.55    | 0.04%             | 2055-06-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-124, Class CS                                                                               | CUSIP: 38381PEY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17026812 | PA      | $737565.75     | 0.00%             | 2055-07-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-124, Class SE                                                                               | CUSIP: 38381PFN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  111555323 | PA      | $7029904.08    | 0.04%             | 2055-07-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-127, Class PZ                                                                               | CUSIP: 38381PP49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16924924 | PA      | $16913885.31   | 0.10%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-127, Class SH                                                                               | CUSIP: 38381PR54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16007344 | PA      | $1242109.08    | 0.01%             | 2055-07-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-132, Class MZ                                                                               | CUSIP: 38381PZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3690943 | PA      | $3504055.17    | 0.02%             | 2055-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-141, Class ZJ                                                                               | CUSIP: 38381Q3X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8604677 | PA      | $8479277.36    | 0.05%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-139, Class B                                                                                | CUSIP: 38381QA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6100695 | PA      | $6197824.17    | 0.04%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-135, Class SE                                                                               | CUSIP: 38381QFM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24661397 | PA      | $27183401.95   | 0.17%             | 2055-08-20      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-139, Class UC                                                                               | CUSIP: 38381QQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3141249 | PA      | $3137213.51    | 0.02%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-139, Class JS                                                                               | CUSIP: 38381QZB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64902102 | PA      | $5407506.85    | 0.03%             | 2055-08-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-213, Class PA                                                                               | CUSIP: 38381SEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2164968 | PA      | $2178861.84    | 0.01%             | 2068-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA                                                                                                          | CUSIP: 38381SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45000000 | PA      | $44701172.10   | 0.27%             | 2060-01-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA                                                                                                          | CUSIP: 38381SRT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38960000 | PA      | $40539706.06   | 0.25%             | 2067-11-16      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-33, Class PI                                                                                | CUSIP: 38381TCG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59587 | PA      | $10561.07      | 0.00%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-152, Class SA                                                                               | CUSIP: 38381UNN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61458241 | PA      | $3663654.82    | 0.02%             | 2055-09-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-152, Class SH                                                                               | CUSIP: 38381UQE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   78097375 | PA      | $4661351.18    | 0.03%             | 2055-09-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-65, Class ST                                                                                | CUSIP: 38381VLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7515756 | PA      | $788356.97     | 0.00%             | 2049-05-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-86, Class ST                                                                                | CUSIP: 38381WF60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3609455 | PA      | $363816.43     | 0.00%             | 2049-07-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-132, Class SK                                                                               | CUSIP: 38381Y4X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5765227 | PA      | $720905.31     | 0.00%             | 2049-10-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-132, Class KI                                                                               | CUSIP: 38381Y6X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158162 | PA      | $3254.89       | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-120, Class DS                                                                               | CUSIP: 38381YSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6808644 | PA      | $951494.39     | 0.01%             | 2049-09-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-86, Class TS                                                                                | CUSIP: 38382GAP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8877052 | PA      | $1230158.79    | 0.01%             | 2050-06-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-9, Class MI                                                                                 | CUSIP: 38382MF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  131423015 | PA      | $19369386.80   | 0.12%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-23, Class IA                                                                                | CUSIP: 38382NVT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65161709 | PA      | $9573910.09    | 0.06%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-91, Class CI                                                                                | CUSIP: 38382TPA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13750575 | PA      | $2426368.77    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-81, Class IC                                                                                | CUSIP: 38382TWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16061597 | PA      | $2707276.94    | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-117, Class NI                                                                               | CUSIP: 38382WFH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45946589 | PA      | $8090826.77    | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-142, Class XI                                                                               | CUSIP: 38382XTB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   53785957 | PA      | $9482916.07    | 0.06%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-156, Class UZ                                                                               | CUSIP: 38383BAB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2180063 | PA      | $2178069.55    | 0.01%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-156, Class Z                                                                                | CUSIP: 38383BDE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8189029 | PA      | $7772597.15    | 0.05%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-156, Class BZ                                                                               | CUSIP: 38383BFT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1834004 | PA      | $1718658.98    | 0.01%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-156, Class CZ                                                                               | CUSIP: 38383BFV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3879829 | PA      | $3793344.26    | 0.02%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-172, Class PZ                                                                               | CUSIP: 38383BYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4639628 | PA      | $4639271.67    | 0.03%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-188, Class IJ                                                                               | CUSIP: 38383CUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17072363 | PA      | $2920854.32    | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-153, Class ZT                                                                               | CUSIP: 38383JBZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13456881 | PA      | $12461267.00   | 0.08%             | 2067-08-16      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-206                                                                                         | CUSIP: 38383JCS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  188285641 | PA      | $11491072.69   | 0.07%             | 2064-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-67, Class DZ                                                                                | CUSIP: 38384ANH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7725524 | PA      | $7899560.94    | 0.05%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-102, Class BG                                                                               | CUSIP: 38384BD81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2518566 | PA      | $2619940.04    | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-117, Class ZM                                                                               | CUSIP: 38384CFG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2865532 | PA      | $2869941.21    | 0.02%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-113, Class GZ                                                                               | CUSIP: 38384CUW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5735207 | PA      | $5935089.41    | 0.04%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-113, Class SJ                                                                               | CUSIP: 38384CZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11264620 | PA      | $618445.69     | 0.00%             | 2053-08-20      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-1, Class MS                                                                                 | CUSIP: 38384H5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29645720 | PA      | $1878053.41    | 0.01%             | 2054-01-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-27, Class GB                                                                                | CUSIP: 38384JEA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2000000 | PA      | $1976872.80    | 0.01%             | 2054-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-30, Class SC                                                                                | CUSIP: 38384JKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18074467 | PA      | $1613196.81    | 0.01%             | 2054-02-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-64, Class SV                                                                                | CUSIP: 38384MTC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14099829 | PA      | $688435.44     | 0.00%             | 2054-04-20      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-79, Class BS                                                                                | CUSIP: 38384PBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10319119 | PA      | $1075770.24    | 0.01%             | 2054-05-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-79, Class CS                                                                                | CUSIP: 38384PCD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20951555 | PA      | $990457.50     | 0.01%             | 2054-05-20      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-110, Class SC                                                                               | CUSIP: 38384QTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19038701 | PA      | $1302812.62    | 0.01%             | 2054-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-110, Class AS                                                                               | CUSIP: 38384QUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16389548 | PA      | $1470273.56    | 0.01%             | 2054-07-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-217, Class AK                                                                               | CUSIP: 38384REX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11313450 | PA      | $11238463.63   | 0.07%             | 2068-02-16      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-183                                                                                         | CUSIP: 38384TBG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   84272011 | PA      | $5977363.15    | 0.04%             | 2067-10-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-202                                                                                         | CUSIP: 38384TDX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64873356 | PA      | $4753283.77    | 0.03%             | 2067-09-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-200, Class PA                                                                               | CUSIP: 38384TEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10962335 | PA      | $10993188.31   | 0.07%             | 2068-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-212, Class AC                                                                               | CUSIP: 38384TFU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7858504 | PA      | $8032719.24    | 0.05%             | 2066-12-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-212, Class BE                                                                               | CUSIP: 38384TGL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10981900 | PA      | $11078276.99   | 0.07%             | 2068-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-17, Class AC                                                                                | CUSIP: 38384THR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9750172 | PA      | $9741342.41    | 0.06%             | 2057-08-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-20, Class AM                                                                                | CUSIP: 38384TLY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8990638 | PA      | $8975185.26    | 0.05%             | 2057-06-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-16, Class AC                                                                                | CUSIP: 38384TMU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32257929 | PA      | $31943555.73   | 0.20%             | 2057-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-16                                                                                          | CUSIP: 38384TNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37635373 | PA      | $3159041.69    | 0.02%             | 2068-02-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-14, Class A                                                                                 | CUSIP: 38384TNQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11170764 | PA      | $11139329.42   | 0.07%             | 2060-01-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-112, Class SA                                                                               | CUSIP: 38384UAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14587211 | PA      | $1083917.33    | 0.01%             | 2054-07-20      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-128, Class SA                                                                               | CUSIP: 38384UML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27978404 | PA      | $2641337.59    | 0.02%             | 2054-08-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-127, Class SE                                                                               | CUSIP: 38384URZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22917982 | PA      | $1569469.27    | 0.01%             | 2054-08-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-126, Class JS                                                                               | CUSIP: 38384UUY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56122433 | PA      | $3008263.44    | 0.02%             | 2054-08-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-126, Class HS                                                                               | CUSIP: 38384UVQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18998649 | PA      | $1243520.49    | 0.01%             | 2054-08-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-126, Class AS                                                                               | CUSIP: 38384UVX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17630258 | PA      | $1656096.52    | 0.01%             | 2054-08-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-134, Class SE                                                                               | CUSIP: 38384VBE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27405076 | PA      | $1565660.21    | 0.01%             | 2054-08-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-151, Class JS                                                                               | CUSIP: 38384WET8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17932723 | PA      | $1582623.76    | 0.01%             | 2054-09-20      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-159, Class AS                                                                               | CUSIP: 38384YAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14987002 | PA      | $1138890.74    | 0.01%             | 2054-10-20      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-190, Class CS                                                                               | CUSIP: 38385AFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19675696 | PA      | $1343517.53    | 0.01%             | 2054-11-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-7, Class QS                                                                                 | CUSIP: 38385BG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17477848 | PA      | $1234294.37    | 0.01%             | 2055-01-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-7, Class SG                                                                                 | CUSIP: 38385BH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   71656376 | PA      | $4353583.44    | 0.03%             | 2055-01-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-7, Class SL                                                                                 | CUSIP: 38385BJ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18599446 | PA      | $1377223.85    | 0.01%             | 2055-01-20      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-204, Class SB                                                                               | CUSIP: 38385BRT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27938827 | PA      | $2143000.26    | 0.01%             | 2054-12-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-30, Class SC                                                                                | CUSIP: 38385C7C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43198636 | PA      | $3482134.08    | 0.02%             | 2055-02-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-1, Class KS                                                                                 | CUSIP: 38385CEB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18596182 | PA      | $956353.27     | 0.01%             | 2055-01-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-1, Class SU                                                                                 | CUSIP: 38385CEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17927742 | PA      | $783691.53     | 0.00%             | 2055-01-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-1, Class SL                                                                                 | CUSIP: 38385CGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19756432 | PA      | $1698575.04    | 0.01%             | 2055-01-20      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-1, Class SV                                                                                 | CUSIP: 38385CJT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39328136 | PA      | $2256231.59    | 0.01%             | 2055-01-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-22, Class GS                                                                                | CUSIP: 38385CS82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20887830 | PA      | $1747613.75    | 0.01%             | 2055-02-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-22, Class AS                                                                                | CUSIP: 38385CX29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29313958 | PA      | $1785571.78    | 0.01%             | 2055-02-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-25, Class BS                                                                                | CUSIP: 38385DAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37958375 | PA      | $3296757.03    | 0.02%             | 2055-02-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-25, Class HS                                                                                | CUSIP: 38385DBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29784248 | PA      | $1808434.00    | 0.01%             | 2055-02-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-25, Class SB                                                                                | CUSIP: 38385DBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37421136 | PA      | $2892481.70    | 0.02%             | 2055-02-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-23, Class SL                                                                                | CUSIP: 38385DYZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46710578 | PA      | $2790265.73    | 0.02%             | 2055-02-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-51, Class SH                                                                                | CUSIP: 38385DZ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54972252 | PA      | $3287544.07    | 0.02%             | 2055-03-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-23, Class SE                                                                                | CUSIP: 38385DZN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26736220 | PA      | $1659891.45    | 0.01%             | 2055-02-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-44, Class GZ                                                                                | CUSIP: 38385EBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6341544 | PA      | $6661460.51    | 0.04%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-41, Class AS                                                                                | CUSIP: 38385EKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34622442 | PA      | $1852155.23    | 0.01%             | 2055-03-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-41, Class BS                                                                                | CUSIP: 38385EKP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   92240767 | PA      | $3897818.11    | 0.02%             | 2055-03-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-41, Class ES                                                                                | CUSIP: 38385EMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9795253 | PA      | $1033771.37    | 0.01%             | 2055-03-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-41, Class SE                                                                                | CUSIP: 38385EMP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13767878 | PA      | $1447539.57    | 0.01%             | 2055-03-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-69, Class AZ                                                                                | CUSIP: 38385FAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2400393 | PA      | $2371733.06    | 0.01%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-69, Class SW                                                                                | CUSIP: 38385FAU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24822606 | PA      | $953113.62     | 0.01%             | 2055-04-20      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-69, Class SX                                                                                | CUSIP: 38385FAV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61322185 | PA      | $2706730.57    | 0.02%             | 2055-04-20      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-60, Class ZC                                                                                | CUSIP: 38385FK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10424567 | PA      | $10304063.83   | 0.06%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-69, Class SK                                                                                | CUSIP: 38385FMY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55469838 | PA      | $4545070.95    | 0.03%             | 2055-04-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-70, Class EZ                                                                                | CUSIP: 38385FSG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8443899 | PA      | $8219867.96    | 0.05%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-97, Class SE                                                                                | CUSIP: 38385G5X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35252602 | PA      | $2349991.33    | 0.01%             | 2055-06-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-84, Class SQ                                                                                | CUSIP: 38385GAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   53378507 | PA      | $2078761.88    | 0.01%             | 2055-05-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-89, Class SC                                                                                | CUSIP: 38385GEN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28128900 | PA      | $2408562.38    | 0.01%             | 2055-05-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-89, Class SP                                                                                | CUSIP: 38385GEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47953678 | PA      | $2089087.59    | 0.01%             | 2055-05-20      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-89, Class SE                                                                                | CUSIP: 38385GGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39562834 | PA      | $3154997.54    | 0.02%             | 2055-05-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-89, Class DY                                                                                | CUSIP: 38385GMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6000000 | PA      | $6018412.20    | 0.04%             | 2055-01-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-89, Class JY                                                                                | CUSIP: 38385GNA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4700000 | PA      | $4648549.57    | 0.03%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-100, Class SA                                                                               | CUSIP: 38385GR27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57350023 | PA      | $3685599.25    | 0.02%             | 2055-06-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-79, Class HS                                                                                | CUSIP: 38385GVT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15540462 | PA      | $1295014.67    | 0.01%             | 2055-05-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-171, Class MT                                                                               | CUSIP: 38385HWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8790326 | PA      | $8929596.41    | 0.05%             | 2052-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-196, Class LZ                                                                               | CUSIP: 38385JEP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8337448 | PA      | $8235685.88    | 0.05%             | 2055-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-192, Class ZU                                                                               | CUSIP: 38385JXW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2911272 | PA      | $2880337.40    | 0.02%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-211, Class UZ                                                                               | CUSIP: 38385K5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23408240 | PA      | $23401568.25   | 0.14%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-204, Class PZ                                                                               | CUSIP: 38385KDX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9353289 | PA      | $9342966.82    | 0.06%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-208, Class ZG                                                                               | CUSIP: 38385KLN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5037570 | PA      | $4898119.78    | 0.03%             | 2055-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-211, Class CP                                                                               | CUSIP: 38385KQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64211555 | PA      | $65415142.41   | 0.40%             | 2055-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-3, Class ZH                                                                                 | CUSIP: 38385LD39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17983866 | PA      | $17950779.61   | 0.11%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-2, Class GZ                                                                                 | CUSIP: 38385LEL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16772662 | PA      | $16040279.16   | 0.10%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-2, Class UZ                                                                                 | CUSIP: 38385LFU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3926653 | PA      | $3753876.08    | 0.02%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-2, Class KS                                                                                 | CUSIP: 38385LJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57510944 | PA      | $4217202.78    | 0.03%             | 2056-01-20      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-4, Class JZ                                                                                 | CUSIP: 38385LNS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5318072 | PA      | $5105540.36    | 0.03%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-25, Class ZH                                                                                | CUSIP: 38385M5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12053500 | PA      | $11955565.31   | 0.07%             | 2056-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-30, Class DZ                                                                                | CUSIP: 38385MAY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8100000 | PA      | $8044312.50    | 0.05%             | 2056-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-25, Class ZB                                                                                | CUSIP: 38385ML20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5222453 | PA      | $5033139.08    | 0.03%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-24, Class BZ                                                                                | CUSIP: 38385MMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3265551 | PA      | $3126765.08    | 0.02%             | 2056-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2026-24, Class DZ                                                                                | CUSIP: 38385MMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5150000 | PA      | $4850656.25    | 0.03%             | 2056-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gray Media, Inc.                                                      | Gray Media, Inc.                                                                                              | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    6653000 | PA      | $5237797.86    | 0.03%             | 2031-11-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Gray Media, Inc.                                                      | Gray Media, Inc.                                                                                              | CUSIP: 389375AL0<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    7205000 | PA      | $5848378.48    | 0.04%             | 2030-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Gray Media, Inc.                                                      | Gray Media, Inc.                                                                                              | CUSIP: 389375AM8<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |   12153000 | PA      | $13028878.86   | 0.08%             | 2029-07-15      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| Gray Media, Inc.                                                      | Gray Media, Inc.                                                                                              | CUSIP: 389375AP1<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    5387000 | PA      | $5562626.97    | 0.03%             | 2033-08-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Great Ajax Operating Partnership LP                                   | Great Ajax Operating Partnership LP, Series QIB                                                               | CUSIP: 38982GAA4<br>LEI: 549300IMX0KE8QJMZ613 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $10741075.95   | 0.07%             | 2027-09-01      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Grifols SA                                                            | Grifols SA                                                                                                    | CUSIP: 39843UAA0<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |    6077000 | PA      | $6000214.67    | 0.04%             | 2028-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Grupo Nutresa SA                                                      | Grupo Nutresa SA                                                                                              | CUSIP: 40055CAB9<br>LEI: 254900KKAX7B7RJUE255 | Long             | DBT              | CORP              | CO        |    3900000 | PA      | $4469447.19    | 0.03%             | 2035-05-12      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Guatemala                                                 | Republic of Guatemala                                                                                         | CUSIP: 401494AW9<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    1420000 | PA      | $1541587.50    | 0.01%             | 2036-06-13      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Republic of Guatemala                                                 | Republic of Guatemala                                                                                         | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    4103000 | PA      | $4347897.81    | 0.03%             | 2036-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Gulfport Energy Corp.                                                 | Gulfport Energy Corp.                                                                                         | CUSIP: 402635502<br>LEI: 254900DJRGZBUZ3F5038 | Long             | EC               | CORP              | US        |      13777 | NS      | $2874708.82    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Gulfport Energy Operating Corp.                                       | Gulfport Energy Operating Corp.                                                                               | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    3459000 | PA      | $3582012.42    | 0.02%             | 2029-09-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                             | CUSIP: 404280CN7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6731000 | PA      | $6415745.54    | 0.04%             | 2030-12-17      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                             | HINNT LLC, Series 2022-A, Class D                                                                             | CUSIP: 40486JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2386065 | PA      | $2383545.88    | 0.01%             | 2041-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                             | HINNT LLC, Series 2022-A, Class E                                                                             | CUSIP: 40486JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     449263 | PA      | $446946.43     | 0.00%             | 2041-05-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                        | HarborView Mortgage Loan Trust, Series 2006-14, Class 1A1A                                                    | CUSIP: 41162NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4854459 | PA      | $4603741.60    | 0.03%             | 2047-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Harriman Park CLO Ltd.                                                | Harriman Park CLO Ltd., Series 2020-1A, Class CRR                                                             | CUSIP: 413717BG3<br>LEI: 549300BI9STOGTECXV18 | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5718918.30    | 0.04%             | 2038-07-20      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                 | Harvest Commercial Capital Loan Trust, Series 2025-1, Class A                                                 | CUSIP: 41757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18718545 | PA      | $19503713.48   | 0.12%             | 2057-06-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                           | Hashemite Kingdom of Jordan                                                                                   | CUSIP: 418097AP6<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |   12182000 | PA      | $11974906.00   | 0.07%             | 2032-11-12      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                                   | Herc Holdings, Inc.                                                                                           | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    2063000 | PA      | $2161852.87    | 0.01%             | 2030-06-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                     | Hertz Corp. (The)                                                                                             | CUSIP: 428040DA4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |     763000 | PA      | $695060.95     | 0.00%             | 2026-12-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                     | Hertz Corp. (The)                                                                                             | CUSIP: 428040DB2<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |   13191000 | PA      | $6849587.68    | 0.04%             | 2029-12-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                     | Hertz Corp. (The)                                                                                             | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    8451000 | PA      | $7792619.77    | 0.05%             | 2029-07-15      | Fixed         | 12.62%                | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                           | Hertz Vehicle Financing LLC, Series 2022-2A, Class D                                                          | CUSIP: 42806MAR0<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9875317.00    | 0.06%             | 2028-06-26      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                           | Hertz Vehicle Financing LLC, Series 2022-5A, Class D                                                          | CUSIP: 42806MBQ1<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5023836.00    | 0.03%             | 2028-09-25      | Fixed         | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2023-1A, Class C                                                          | CUSIP: 42806MBU2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    2660000 | PA      | $2663670.80    | 0.02%             | 2027-06-25      | Fixed         | 6.91%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2023-1A, Class D                                                          | CUSIP: 42806MBV0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    6666667 | PA      | $6682214.01    | 0.04%             | 2027-06-25      | Fixed         | 9.13%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2023-2A, Class D                                                          | CUSIP: 42806MBZ1<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    4600000 | PA      | $4874407.02    | 0.03%             | 2029-09-25      | Fixed         | 9.40%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2023-4A, Class D                                                          | CUSIP: 42806MCH0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3432911.36    | 0.02%             | 2030-03-25      | Fixed         | 9.44%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2025-2A, Class D                                                          | CUSIP: 42806MDA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1990000 | PA      | $2067838.65    | 0.01%             | 2031-09-25      | Fixed         | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2025-4A, Class B                                                          | CUSIP: 42806MDG1<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    7905000 | PA      | $8168544.00    | 0.05%             | 2031-12-25      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2025-4A, Class D                                                          | CUSIP: 42806MDJ5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $269800.30     | 0.00%             | 2031-12-25      | Fixed         | 9.34%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2025-5A, Class D                                                          | CUSIP: 42806MDP1<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    3130000 | PA      | $3220027.88    | 0.02%             | 2030-05-25      | Fixed         | 7.74%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                       | Hertz Vehicle Financing LLC, Series 2025-6A, Class D                                                          | CUSIP: 42806MDT3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    1690000 | PA      | $1752844.00    | 0.01%             | 2032-05-25      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                          | Hess Midstream Operations LP                                                                                  | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       5000 | PA      | $4901.27       | 0.00%             | 2030-02-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                          | Hess Midstream Operations LP                                                                                  | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1121000 | PA      | $1139596.27    | 0.01%             | 2028-03-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                          | Hess Midstream Operations LP                                                                                  | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4340000 | PA      | $4343498.04    | 0.03%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                     | Hertz Corp. (The), Escrow                                                                                     | CUSIP: 428ESCAA5<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |     185000 | PA      | $18.50         | 0.00%             | 2022-10-15      | Fixed         | 6.25%                 | No            |                  3 | On Loan: No      |
| Hertz Corp. (The)                                                     | Hertz Corp. (The), Escrow                                                                                     | CUSIP: 428ESCAB3<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    5875000 | PA      | $587.50        | 0.00%             | 2024-10-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Hertz Corp. (The)                                                     | Hertz Corp. (The), Escrow                                                                                     | CUSIP: 428ESCAC1<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    2755000 | PA      | $275.50        | 0.00%             | 2026-08-01      | Fixed         | 7.12%                 | No            |                  3 | On Loan: No      |
| Hertz Corp. (The)                                                     | Hertz Corp. (The), Escrow                                                                                     | CUSIP: 428ESCAD9<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $145.00        | 0.00%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Hilcorp Energy I LP                                                   | Hilcorp Energy I LP                                                                                           | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2995000 | PA      | $2914437.79    | 0.02%             | 2032-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                   | Hilton Domestic Operating Co., Inc.                                                                           | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    6599000 | PA      | $6425016.05    | 0.04%             | 2029-05-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                   | Hilton Domestic Operating Co., Inc.                                                                           | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    8697000 | PA      | $8951239.40    | 0.05%             | 2033-03-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                   | Hilton Domestic Operating Co., Inc.                                                                           | CUSIP: 432833AS0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    7376000 | PA      | $7550516.16    | 0.05%             | 2033-09-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                                   | Hilton Domestic Operating Co., Inc.                                                                           | CUSIP: 432833AT8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    3039000 | PA      | $3071435.25    | 0.02%             | 2034-03-31      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Hologic, Inc.                                                         | Hologic, Inc.                                                                                                 | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    5650000 | PA      | $5620687.80    | 0.03%             | 2029-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Home RE Ltd.                                                          | Home RE Ltd., Series 2022-1, Class M1C                                                                        | CUSIP: 43730GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    8491323 | PA      | $8719908.39    | 0.05%             | 2034-10-25      | Floating      | 9.17%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-3, Class F                                                        | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14077606 | PA      | $13157682.53   | 0.08%             | 2041-01-17      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Republic of Honduras                                                  | Republic of Honduras                                                                                          | CUSIP: 438180AK7<br>LEI: 5493002DW1JNBNG17615 | Long             | DBT              | NUSS              | HN        |    3660000 | PA      | $4251309.60    | 0.03%             | 2034-11-27      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Honey Hill Park CLO Ltd.                                              | Honey Hill Park CLO Ltd., Series 2026-1A, Class D1                                                            | CUSIP: 438453AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6270000 | PA      | $6270000.00    | 0.04%             | 2039-04-24      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Honey Hill Park CLO Ltd.                                              | Honey Hill Park CLO Ltd., Series 2026-1A, Class D2                                                            | CUSIP: 438453AQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     890000 | PA      | $889863.83     | 0.01%             | 2039-04-24      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Honey Hill Park CLO Ltd.                                              | Honey Hill Park CLO Ltd., Series 2026-1A, Class E                                                             | CUSIP: 43845QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9250000 | PA      | $9131590.75    | 0.06%             | 2039-04-24      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Howard Midstream Energy Partners LLC                                  | Howard Midstream Energy Partners LLC                                                                          | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2353352.45    | 0.01%             | 2032-07-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Howard Midstream Energy Partners LLC                                  | Howard Midstream Energy Partners LLC                                                                          | CUSIP: 442722AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4928000 | PA      | $5092990.67    | 0.03%             | 2034-01-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| HUB International Ltd.                                                | HUB International Ltd.                                                                                        | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |      40000 | PA      | $41258.17      | 0.00%             | 2030-06-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Hughes Satellite Systems Corp.                                        | Hughes Satellite Systems Corp.                                                                                | CUSIP: 444454AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6777000 | PA      | $6163440.24    | 0.04%             | 2026-08-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                              | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                                             | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8048757 | PA      | $8138488.96    | 0.05%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                                  | IHO Verwaltungs GmbH                                                                                          | CUSIP: 44963BAF5<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    5618000 | PA      | $5904652.83    | 0.04%             | 2030-11-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                                  | IHO Verwaltungs GmbH                                                                                          | CUSIP: 44963BAG3<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     820000 | PA      | $874707.94     | 0.01%             | 2032-11-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| INEOS Finance plc                                                     | INEOS Finance plc                                                                                             | CUSIP: 44984WAH0<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1296451.38    | 0.01%             | 2028-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| INEOS Finance plc                                                     | INEOS Finance plc                                                                                             | CUSIP: 44984WAJ6<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    8840000 | PA      | $7892785.16    | 0.05%             | 2029-04-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| IQVIA, Inc.                                                           | IQVIA, Inc.                                                                                                   | CUSIP: 449934AD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    2703000 | PA      | $2700074.00    | 0.02%             | 2026-10-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                                             | IRV Trust, Series 2025-200P, Class A                                                                          | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   53700000 | PA      | $55838597.13   | 0.34%             | 2047-03-14      | Variable      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                                             | IRV Trust, Series 2025-200P, Class B                                                                          | CUSIP: 45006HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27350000 | PA      | $28077602.99   | 0.17%             | 2047-03-14      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                                             | IRV Trust, Series 2025-200P, Class C                                                                          | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17600000 | PA      | $18124062.88   | 0.11%             | 2047-03-14      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                                             | IRV Trust, Series 2025-200P, Class D                                                                          | CUSIP: 45006HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4158610.40    | 0.03%             | 2047-03-14      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                            | iHeartCommunications, Inc.                                                                                    | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    9034804 | PA      | $8027152.31    | 0.05%             | 2029-05-01      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                            | iHeartCommunications, Inc.                                                                                    | CUSIP: 45174HBL0<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    3423352 | PA      | $2539510.98    | 0.02%             | 2030-05-01      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                            | iHeartCommunications, Inc.                                                                                    | CUSIP: 45174HBM8<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    2558120 | PA      | $2034451.83    | 0.01%             | 2030-08-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| iHeartMedia, Inc.                                                     | iHeartMedia, Inc., Class A                                                                                    | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       2360 | NS      | $7717.20       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Identity Digital Capital LLC                                          | Identity Digital Capital LLC                                                                                  | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13000000 | PA      | $13209300.00   | 0.08%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| Imola Merger Corp.                                                    | Imola Merger Corp.                                                                                            | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22013000 | PA      | $21639996.32   | 0.13%             | 2029-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Incora Top Holdco LLC                                                 | Incora Top Holdco LLC                                                                                         | CUSIP: 45338U101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       2784 | NS      | $77840.64      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Crescent Energy Finance LLC                                           | Crescent Energy Finance LLC                                                                                   | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    9041000 | PA      | $9303839.95    | 0.06%             | 2028-02-15      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                           | Crescent Energy Finance LLC                                                                                   | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    2490000 | PA      | $2473726.85    | 0.02%             | 2033-01-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                           | Crescent Energy Finance LLC                                                                                   | CUSIP: 45344LAG8<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    2221000 | PA      | $2295736.65    | 0.01%             | 2034-01-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                           | Crescent Energy Finance LLC                                                                                   | CUSIP: 45344LAJ2<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2152480.00    | 0.01%             | 2030-10-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                      | IndyMac INDX Mortgage Loan Trust, Series 2007-AR21, Class 6A1                                                 | CUSIP: 45670BAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10918662 | PA      | $6695187.25    | 0.04%             | 2037-09-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| INEOS Quattro Finance 2 plc                                           | INEOS Quattro Finance 2 plc                                                                                   | CUSIP: 45674GAB0<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |    2005000 | PA      | $1719287.50    | 0.01%             | 2029-03-15      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Instituto Costarricense de Electricidad                               | Instituto Costarricense de Electricidad                                                                       | CUSIP: 45777VAE7<br>LEI: 5493009VA6AFUB2Q0289 | Long             | DBT              | NUSS              | CR        |    8210000 | PA      | $8663397.25    | 0.05%             | 2031-10-07      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Installed Building Products, Inc.                                     | Installed Building Products, Inc.                                                                             | CUSIP: 45780RAB7<br>LEI: 549300I95Y9P9YM5FI86 | Long             | DBT              | CORP              | US        |    1193000 | PA      | $1208832.30    | 0.01%             | 2034-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| ION Platform Finance US, Inc.                                         | ION Platform Finance US, Inc.                                                                                 | CUSIP: 46205QAB4<br>LEI: 213800FKHT3BRRKMCC89 | Long             | DBT              | CORP              | US        |    3530000 | PA      | $2830420.68    | 0.02%             | 2032-09-30      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| IQVIA, Inc.                                                           | IQVIA, Inc.                                                                                                   | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   12598000 | PA      | $12570449.43   | 0.08%             | 2027-05-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| IQVIA, Inc.                                                           | IQVIA, Inc.                                                                                                   | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   10241000 | PA      | $10534670.92   | 0.06%             | 2032-06-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                   | Iron Mountain, Inc.                                                                                           | CUSIP: 46284VAE1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    3102000 | PA      | $3098694.20    | 0.02%             | 2028-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                   | Iron Mountain, Inc.                                                                                           | CUSIP: 46284VAG6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    4137000 | PA      | $4128991.60    | 0.03%             | 2028-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                   | Iron Mountain, Inc.                                                                                           | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    2955000 | PA      | $2940207.92    | 0.02%             | 2030-07-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                   | Iron Mountain, Inc.                                                                                           | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     489000 | PA      | $499664.11     | 0.00%             | 2033-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Istanbul Metropolitan Municipality                                    | Istanbul Metropolitan Municipality                                                                            | CUSIP: 46522TAC2<br>LEI: 213800T1VDQSNKA2MD76 | Long             | DBT              | NUSS              | TR        |    2870000 | PA      | $3158262.80    | 0.02%             | 2028-12-06      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                   | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class C                                 | CUSIP: 46590KAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4647000 | PA      | $4303136.41    | 0.03%             | 2049-01-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class B                              | CUSIP: 46590RAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1890515.00    | 0.01%             | 2049-08-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                   | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class D                                 | CUSIP: 46590RAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8121750 | PA      | $5961831.50    | 0.04%             | 2049-08-15      | Variable      | 3.43%                 | Yes           |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                                       | JH North America Holdings, Inc.                                                                               | CUSIP: 46593WAA3<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |    1382000 | PA      | $1411453.18    | 0.01%             | 2031-01-31      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                                       | JH North America Holdings, Inc.                                                                               | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |    2074000 | PA      | $2128658.20    | 0.01%             | 2032-07-31      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                            | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class D                                          | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     367000 | PA      | $260850.64     | 0.00%             | 2050-09-15      | Variable      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-S1, Class 1A1                                                            | CUSIP: 466247M67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23171 | PA      | $23652.18      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Alternative Loan Trust                                       | JPMorgan Alternative Loan Trust, Series 2006-S3, Class A4                                                     | CUSIP: 46628VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730020 | PA      | $722792.17     | 0.00%             | 2036-08-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                            | JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class E                                          | CUSIP: 46640NAR9<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $1598100.00    | 0.01%             | 2045-11-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                   | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class D                                 | CUSIP: 46641BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1808746 | PA      | $1763346.47    | 0.01%             | 2046-12-15      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Moran Foods Backstop Equity                                           | Moran Foods Backstop Equity                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        | 9333313900 | NS      | $9333.31       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                            | JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class D                                          | CUSIP: 46644FAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $913000.00     | 0.01%             | 2048-10-15      | Variable      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                            | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class B                                          | CUSIP: 46644UBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10630000 | PA      | $10098500.00   | 0.06%             | 2048-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                            | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class C                                          | CUSIP: 46644UBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3750000 | PA      | $3061012.50    | 0.02%             | 2048-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                            | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class C                                          | CUSIP: 46644YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3901400.00    | 0.02%             | 2048-08-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                            | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class C                                          | CUSIP: 46645JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3350000 | PA      | $3216000.00    | 0.02%             | 2048-12-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                            | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D2                                         | CUSIP: 46645JBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $816700.00     | 0.01%             | 2048-12-15      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                            | JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class D1                                          | CUSIP: 46645LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1406265.00    | 0.01%             | 2049-03-17      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                            | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5, Class D                                          | CUSIP: 46647TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4669000 | PA      | $3812764.23    | 0.02%             | 2050-03-15      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                            | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5, Class XB                                         | CUSIP: 46647TAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31917000 | PA      | $147341.64     | 0.00%             | 2050-03-15      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                            | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5, Class B                                          | CUSIP: 46647TAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $959292.20     | 0.01%             | 2050-03-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                            | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5, Class C                                          | CUSIP: 46647TAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2460000 | PA      | $2149976.53    | 0.01%             | 2050-03-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Jaguar Land Rover Automotive plc                                      | Jaguar Land Rover Automotive plc                                                                              | CUSIP: 47010BAF1<br>LEI: 529900L73GEWN1O5NH84 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $993438.40     | 0.01%             | 2027-10-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| James Hardie International Finance DAC                                | James Hardie International Finance DAC                                                                        | CUSIP: 47032FAB5<br>LEI: 635400G32A4Q1LVQ8M88 | Long             | DBT              | CORP              | IE        |    2000000 | PA      | $1998045.40    | 0.01%             | 2028-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| JELD-WEN, Inc.                                                        | JELD-WEN, Inc.                                                                                                | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |    2803000 | PA      | $2294091.24    | 0.01%             | 2027-12-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| JetBlue Airways Corp.                                                 | JetBlue Airways Corp.                                                                                         | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7808000 | PA      | $7934847.28    | 0.05%             | 2031-09-20      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                                | Jonah Energy ABS LLC, Series 2022-1, Class C                                                                  | CUSIP: 47987EAE7<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   17500000 | PA      | $17774750.00   | 0.11%             | 2039-08-10      | Fixed         | 12.66%                | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                               | Jonah Energy ABS LLC, Series 2025-1A, Class B                                                                 | CUSIP: 479913AF2<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   21966638 | PA      | $21927098.38   | 0.13%             | 2040-12-10      | Fixed         | 11.25%                | Yes           |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                            | JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class D                                         | CUSIP: 48129RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9875000 | PA      | $4800104.19    | 0.03%             | 2052-11-13      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                      | JPMorgan Prime Money Market Fund, Class Institutional                                                         | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |  247986778 | NS      | $248085972.47  | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| KKR CLO 40 Ltd.                                                       | KKR CLO Ltd., Series 40A, Class BR                                                                            | CUSIP: 48254UAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5306821.10    | 0.03%             | 2034-10-20      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 52 Ltd.                                                       | KKR CLO Ltd., Series 2023-52A, Class CR                                                                       | CUSIP: 48255XAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6600000 | PA      | $6622314.60    | 0.04%             | 2038-07-16      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                     | Republic of Kenya                                                                                             | CUSIP: 491798AM6<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    3666000 | PA      | $4014270.00    | 0.02%             | 2031-02-16      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                     | Republic of Kenya                                                                                             | CUSIP: 491798AN4<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    8350000 | PA      | $8773762.50    | 0.05%             | 2036-03-05      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                     | Republic of Kenya                                                                                             | CUSIP: 491798AP9<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    2490000 | PA      | $2480662.50    | 0.02%             | 2033-10-09      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                     | Republic of Kenya                                                                                             | CUSIP: 491798AQ7<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    6520000 | PA      | $6451540.00    | 0.04%             | 2038-10-09      | Fixed         | 8.80%                 | Yes           |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                   | Kinetik Holdings LP                                                                                           | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    8909000 | PA      | $9009315.34    | 0.06%             | 2030-06-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Kioxia Holdings Corp.                                                 | Kioxia Holdings Corp.                                                                                         | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |    5998000 | PA      | $6227746.67    | 0.04%             | 2030-07-24      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Kioxia Holdings Corp.                                                 | Kioxia Holdings Corp.                                                                                         | CUSIP: 49726JAB4<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |    2650000 | PA      | $2792729.32    | 0.02%             | 2033-07-24      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Knife River Corp.                                                     | Knife River Corp.                                                                                             | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3250000 | PA      | $3388206.25    | 0.02%             | 2031-05-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Kodiak Gas Services LLC                                               | Kodiak Gas Services LLC                                                                                       | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |    1047000 | PA      | $1079688.39    | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                               | Bath & Body Works, Inc.                                                                                       | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    4560000 | PA      | $4575855.12    | 0.03%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                               | Bath & Body Works, Inc.                                                                                       | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    3939000 | PA      | $4013017.75    | 0.02%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                                                              | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2925000 | PA      | $2926042.76    | 0.02%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                                                              | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13810000 | PA      | $13899599.28   | 0.09%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                                                              | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3825000 | PA      | $3841762.68    | 0.02%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL4, Class A1                                                              | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4329000 | PA      | $4347203.01    | 0.03%             | 2039-07-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                                                              | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2673354 | PA      | $2688756.26    | 0.02%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                                              | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4975000 | PA      | $5015292.53    | 0.03%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                                              | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    9582000 | PA      | $9600436.73    | 0.06%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                                              | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4037636.00    | 0.02%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| LP LMS Asset Securitization Trust                                     | LP LMS Asset Securitization Trust, Series 2021-2A, Class C                                                    | CUSIP: 50214JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1061263 | PA      | $1057580.21    | 0.01%             | 2029-01-15      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Lamar Media Corp.                                                     | Lamar Media Corp.                                                                                             | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6786000 | PA      | $6780619.38    | 0.04%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Lamb Weston Holdings, Inc.                                            | Lamb Weston Holdings, Inc.                                                                                    | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    3075000 | PA      | $2980679.60    | 0.02%             | 2030-01-31      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   31878000 | PA      | $-633508.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   31878000 | PA      | $-546884.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   15942000 | PA      | $-260520.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    7971000 | PA      | $-136672.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   15935000 | PA      | $-279839.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    4770000 | PA      | $-95342.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    7721000 | PA      | $-163586.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDS                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   44000000 | PA      | $-835269.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                           | Crescent Energy Finance LLC                                                                                   | CUSIP: 516806AK2<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    2469000 | PA      | $2515256.72    | 0.02%             | 2032-04-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2007-7, Class 5A7                                                               | CUSIP: 52519BBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10960556 | PA      | $4855471.66    | 0.03%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2024-2A, Class A                                                               | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4646000 | PA      | $4664885.06    | 0.03%             | 2034-02-21      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2024-2A, Class D                                                               | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2319012.72    | 0.01%             | 2034-02-21      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2024-2A, Class E                                                               | CUSIP: 52590AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3700000 | PA      | $3799154.45    | 0.02%             | 2034-02-21      | Fixed         | 8.47%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2022-C, Class C                                               | CUSIP: 525919AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     612269 | PA      | $612012.20     | 0.00%             | 2030-02-15      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2025-3A, Class D                                                               | CUSIP: 525951AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1900000 | PA      | $1927679.20    | 0.01%             | 2035-05-21      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2024-1A, Class A                                                               | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3050000 | PA      | $3083754.05    | 0.02%             | 2032-06-21      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2025-2A, Class A                                                               | CUSIP: 52603GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19200000 | PA      | $19436899.20   | 0.12%             | 2034-10-20      | Fixed         | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2025-2A, Class C                                                               | CUSIP: 52603GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13600000 | PA      | $13789098.48   | 0.08%             | 2034-10-20      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-2A, Class B                                                               | CUSIP: 52604DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $949297.20     | 0.01%             | 2032-04-20      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-2A, Class C                                                               | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1048846.59    | 0.01%             | 2032-04-20      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-P1, Class CERT                                         | CUSIP: 52604KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     860170 | PA      | $1488259.25    | 0.01%             | 2037-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2021-NP1, Class CERT                                        | CUSIP: 52604NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $2524189.50    | 0.02%             | 2036-12-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2025-1A, Class A                                                               | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7615000 | PA      | $7726943.55    | 0.05%             | 2034-09-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2025-1A, Class D                                                               | CUSIP: 52604QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4400000 | PA      | $4520140.24    | 0.03%             | 2034-09-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-P2, Class CERT                                         | CUSIP: 52604WAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $1536437.25    | 0.01%             | 2037-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-P3, Class CERT                                         | CUSIP: 52604XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $1298683.00    | 0.01%             | 2037-05-15      | Fixed         | 11.88%                | Yes           |                  3 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2022-A, Class D                                               | CUSIP: 52605AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12366568 | PA      | $5972583.64    | 0.04%             | 2029-06-15      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-NP1, Class CERT                                        | CUSIP: 52606QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     855000 | PA      | $2567535.08    | 0.02%             | 2037-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-P5, Class CERT                                         | CUSIP: 52606UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $4382027.20    | 0.03%             | 2037-07-15      | Fixed         | 12.86%                | Yes           |                  3 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-NP3, Class CERT                                        | CUSIP: 52606XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $2633673.50    | 0.02%             | 2037-05-15      | Fixed         | 25.22%                | Yes           |                  3 | On Loan: No      |
| LendingPoint Asset Securitization Trust                               | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class D                                            | CUSIP: 52606YAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6500000 | PA      | $954640.70     | 0.01%             | 2028-10-15      | Fixed         | 10.00%                | Yes           |                  3 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2021-A, Class D                                               | CUSIP: 52607FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1586840 | PA      | $874859.00     | 0.01%             | 2028-12-15      | Fixed         | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2021-B, Class C                                               | CUSIP: 52607HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     447265 | PA      | $445772.14     | 0.00%             | 2029-02-15      | Fixed         | 3.21%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2021-B, Class D                                               | CUSIP: 52607HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $490073.20     | 0.00%             | 2029-02-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-1A, Class D                                                               | CUSIP: 52607MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4317923.25    | 0.03%             | 2031-11-20      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-NP6, Class CERT                                        | CUSIP: 52607PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $4376326.50    | 0.03%             | 2037-07-15      | Fixed         | 25.46%                | Yes           |                  3 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-NP2, Class CERT                                        | CUSIP: 52607WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $2659328.00    | 0.02%             | 2037-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-P4, Class CERT                                         | CUSIP: 52608CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $1080571.60    | 0.01%             | 2037-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| LendingClub Loan Certificate Issuer Trust                             | LendingClub Loan Certificate Issuer Trust, Series 2022-NP5, Class CERT                                        | CUSIP: 52608RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $2696608.40    | 0.02%             | 2037-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Level 3 Financing, Inc.                                               | Level 3 Financing, Inc.                                                                                       | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    8425000 | PA      | $8725561.88    | 0.05%             | 2033-06-30      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                               | Level 3 Financing, Inc.                                                                                       | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    4324005 | PA      | $4494995.49    | 0.03%             | 2034-03-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                   | Lithia Motors, Inc.                                                                                           | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   10782000 | PA      | $10422186.33   | 0.06%             | 2029-06-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                   | Lithia Motors, Inc.                                                                                           | CUSIP: 536797AJ2<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |    1288000 | PA      | $1296088.64    | 0.01%             | 2030-10-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                       | Live Nation Entertainment, Inc.                                                                               | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |   16997000 | PA      | $16986116.82   | 0.10%             | 2027-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                       | Live Nation Entertainment, Inc.                                                                               | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |   13141000 | PA      | $13203288.34   | 0.08%             | 2027-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                       | Live Nation Entertainment, Inc.                                                                               | CUSIP: 538034AX7<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2647492.08    | 0.02%             | 2028-01-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                      | CUSIP: 53944YBB8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   11751000 | PA      | $12176962.00   | 0.07%             | 2031-09-27      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| LOANDEPOT GMSR Master Trust                                           | LOANDEPOT GMSR Master Trust, Series 2025-GT2, Class A                                                         | CUSIP: 53946TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11350000 | PA      | $11437130.55   | 0.07%             | 2030-07-16      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Los Angeles Community College District/CA                             | Los Angeles Community College District, Election of 2008, Series 2010E                                        | CUSIP: 54438CPA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     100000 | PA      | $114834.12     | 0.00%             | 2049-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Lsf12 Helix Parent LLC                                                | Lsf12 Helix Parent LLC                                                                                        | CUSIP: 548916AA3<br>LEI: 254900H70V4IL22BHL88 | Long             | DBT              | CORP              | US        |    1632000 | PA      | $1638337.06    | 0.01%             | 2033-02-01      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2003-11, Class 7A2                                                   | CUSIP: 55265K2G3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10923 | PA      | $11163.39      | 0.00%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                             | MGM Resorts International                                                                                     | CUSIP: 552953CD1<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    4489000 | PA      | $4485784.22    | 0.03%             | 2026-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                             | MGM Resorts International                                                                                     | CUSIP: 552953CF6<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2825505.20    | 0.02%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                             | MGM Resorts International                                                                                     | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    1970000 | PA      | $2022083.31    | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                             | MGM Resorts International                                                                                     | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    3654000 | PA      | $3755519.08    | 0.02%             | 2029-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                                  | MNR ABS Issuer I LLC                                                                                          | CUSIP: 55317XAC3<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |    5279895 | PA      | $5346949.49    | 0.03%             | 2038-12-15      | Fixed         | 12.44%                | No            |                  3 | On Loan: No      |
| MIWD Holdco II LLC                                                    | MIWD Holdco II LLC                                                                                            | CUSIP: 55337PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2130000 | PA      | $1996024.68    | 0.01%             | 2030-02-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                              | MRCD MARK Mortgage Trust, Series 2019-PARK, Class G                                                           | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13337000 | PA      | $7215983.85    | 0.04%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                              | MRCD MARK Mortgage Trust, Series 2019-PARK, Class J                                                           | CUSIP: 55348UBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $9811000.00    | 0.06%             | 2036-12-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                                        | MSWF Commercial Mortgage Trust, Series 2023-2, Class A5                                                       | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37271633 | PA      | $40701782.38   | 0.25%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| MV24 Capital BV                                                       | MV24 Capital BV                                                                                               | CUSIP: 55388RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    3060672 | PA      | $3115356.41    | 0.02%             | 2034-06-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| MYT Holding LLC                                                       | MYT Holding LLC, Series A                                                                                     | CUSIP: 55406N202<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      13909 | NS      | $17733.98      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Madison IAQ LLC                                                       | Madison IAQ LLC                                                                                               | CUSIP: 55760LAA5<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |   12021000 | PA      | $11863353.00   | 0.07%             | 2028-06-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Madison IAQ LLC                                                       | Madison IAQ LLC                                                                                               | CUSIP: 55760LAB3<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |    4409000 | PA      | $4398440.00    | 0.03%             | 2029-06-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd.                                             | Madison Park Funding Ltd., Series 2019-37A, Class D1A                                                         | CUSIP: 55817EBC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1922260.00    | 0.01%             | 2037-04-15      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd.                                             | Madison Park Funding Ltd., Series 2020-45A, Class BRR                                                         | CUSIP: 55820BAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16950000 | PA      | $16981171.05   | 0.10%             | 2034-07-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd.                                             | Madison Park Funding Ltd., Series 2020-45A, Class CRR                                                         | CUSIP: 55820BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5100520.20    | 0.03%             | 2034-07-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XLIX Ltd.                                        | Madison Park Funding Ltd., Series 2021-49A, Class B1R                                                         | CUSIP: 55820VAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17650000 | PA      | $17675927.85   | 0.11%             | 2034-10-19      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XXXVIII Ltd.                                     | Madison Park Funding Ltd., Series 2021-38A, Class D1R                                                         | CUSIP: 55821KAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6220000 | PA      | $6105209.90    | 0.04%             | 2038-10-17      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XXXIX Ltd.                                       | Madison Park Funding Ltd., Series 2021-39A, Class CR                                                          | CUSIP: 55821LAN4<br>LEI: 254900K0MU6TXERK4I83 | Long             | ABS-CBDO         | CORP              | KY        |   14000000 | PA      | $14015064.00   | 0.09%             | 2034-10-22      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding LII Ltd.                                         | Madison Park Funding Ltd., Series 2021-52A, Class BR                                                          | CUSIP: 55822BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12300000 | PA      | $12320012.10   | 0.08%             | 2035-01-22      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Discovery Global Holdings, Inc.                                       | Discovery Global Holdings, Inc.                                                                               | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    3925000 | PA      | $3606093.75    | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Magnetite Ltd.                                                        | Magnetite Ltd., Series 2024-38A, Class B                                                                      | CUSIP: 55952EAB7<br>LEI: 529900R1XWW85WSHQ318 | Long             | ABS-CBDO         | CORP              | KY        |   14750000 | PA      | $14752876.25   | 0.09%             | 2037-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Magnetite Ltd.                                                        | Magnetite Ltd., Series 2016-17A, Class BR2                                                                    | CUSIP: 55954EBA6<br>LEI: 5493003SVWF9GG13MZ22 | Long             | ABS-CBDO         | CORP              | KY        |    6164000 | PA      | $6170133.18    | 0.04%             | 2037-04-20      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXII Ltd.                                                   | Magnetite Ltd., Series 2019-22A, Class BRR                                                                    | CUSIP: 55954HAY8<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |    8820000 | PA      | $8827170.66    | 0.05%             | 2036-07-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXII Ltd.                                                   | Magnetite Ltd., Series 2019-22A, Class CRR                                                                    | CUSIP: 55954HBA9<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |    5369000 | PA      | $5372720.72    | 0.03%             | 2036-07-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance issuance Trust                                        | Mariner Finance issuance Trust, Series 2024-BA, Class A                                                       | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10222650.00   | 0.06%             | 2038-11-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance issuance Trust                                        | Mariner Finance issuance Trust, Series 2024-BA, Class C                                                       | CUSIP: 56847GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3246000 | PA      | $3361907.19    | 0.02%             | 2038-11-20      | Fixed         | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                        | Mariner Finance Issuance Trust, Series 2021-BA, Class E                                                       | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5030000 | PA      | $4780225.29    | 0.03%             | 2036-11-20      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust, Series 2022-2A, Class D                                                               | CUSIP: 57107LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2339903 | PA      | $2368898.53    | 0.01%             | 2032-08-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust, Series 2022-3A, Class D                                                               | CUSIP: 57109NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2059286 | PA      | $2092578.01    | 0.01%             | 2032-11-15      | Fixed         | 7.80%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust, Series 2023-3A, Class D                                                               | CUSIP: 57109RAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3590000 | PA      | $3692547.27    | 0.02%             | 2033-09-15      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust, Series 2023-1A, Class C                                                               | CUSIP: 57110PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91637 | PA      | $91743.38      | 0.00%             | 2033-04-15      | Fixed         | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Masterbrand, Inc.                                                     | Masterbrand, Inc.                                                                                             | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $6642457.80    | 0.04%             | 2032-07-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2003-5, Class 30B1                                                       | CUSIP: 576434FU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17385 | PA      | $8883.76       | 0.00%             | 2033-08-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Matador Resources Co.                                                 | Matador Resources Co.                                                                                         | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    7623000 | PA      | $7758239.64    | 0.05%             | 2033-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Matador Resources Co.                                                 | Matador Resources Co.                                                                                         | CUSIP: 576485AJ5<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    1789000 | PA      | $1786841.75    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                | Mauser Packaging Solutions Holding Co.                                                                        | CUSIP: 57763RAE7<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |   16219000 | PA      | $16604201.25   | 0.10%             | 2030-04-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                | Mauser Packaging Solutions Holding Co.                                                                        | CUSIP: 57763RAF4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    6489000 | PA      | $6393699.95    | 0.04%             | 2030-04-15      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                                             | MFA Trust, Series 2024-NPL1, Class A1                                                                         | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15568317 | PA      | $15594882.97   | 0.10%             | 2054-09-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Medline Borrower LP                                                   | Medline Borrower LP                                                                                           | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4646000 | PA      | $4794541.91    | 0.03%             | 2029-04-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | CDI                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |  291486000 | PA      | $-1697411.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDI                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |  291486000 | PA      | $-1657190.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDI                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |  218614000 | PA      | $-1222765.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDI                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |  195553000 | PA      | $-1143236.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class A                                           | CUSIP: 58940BBK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15090000 | PA      | $15152481.65   | 0.09%             | 2032-02-20      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class B                                           | CUSIP: 58940BBL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3540000 | PA      | $3553776.97    | 0.02%             | 2032-02-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6                                             | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21147 | PA      | $20680.11      | 0.00%             | 2033-08-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                         | MetLife, Inc.                                                                                                 | CUSIP: 59156RCR7<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    3656000 | PA      | $3630205.82    | 0.02%             | 2056-03-15      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                             | MFA Trust, Series 2025-NQM5, Class A1A                                                                        | CUSIP: 59319DAA1<br>LEI: 25490048OKUKCESK4V59 | Long             | ABS-MBS          | CORP              | US        |   18210477 | PA      | $18356183.03   | 0.11%             | 2070-11-25      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                                             | MFA Trust, Series 2024-RTL3, Class A1                                                                         | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18890000 | PA      | $19001959.14   | 0.12%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Stagwell Global LLC                                                   | Stagwell Global LLC                                                                                           | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |    7495000 | PA      | $6908446.55    | 0.04%             | 2029-08-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Midcontinent Communications                                           | Midcontinent Communications                                                                                   | CUSIP: 59565XAD2<br>LEI: 549300ZI9GDQBS28C408 | Long             | DBT              | CORP              | US        |    2745000 | PA      | $2585633.81    | 0.02%             | 2032-08-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Millrose Properties, Inc.                                             | Millrose Properties, Inc.                                                                                     | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3601000 | PA      | $3694265.90    | 0.02%             | 2030-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Millrose Properties, Inc.                                             | Millrose Properties, Inc.                                                                                     | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1698000 | PA      | $1719298.01    | 0.01%             | 2032-09-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| AthenaHealth Group, Inc.                                              | AthenaHealth Group, Inc.                                                                                      | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |    5105000 | PA      | $4800052.83    | 0.03%             | 2030-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Miter Brands Acquisition Holdco, Inc.                                 | Miter Brands Acquisition Holdco, Inc.                                                                         | CUSIP: 60672JAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3745000 | PA      | $3776087.25    | 0.02%             | 2032-04-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Molina Healthcare, Inc.                                               | Molina Healthcare, Inc.                                                                                       | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    2434000 | PA      | $2441776.63    | 0.01%             | 2031-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Government of Mongolia                                                | State of Mongolia                                                                                             | CUSIP: 60937LAE5<br>LEI: N/A                  | Long             | DBT              | NUSS              | MN        |    5600000 | PA      | $5292000.00    | 0.03%             | 2031-07-07      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D                                  | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1948466 | PA      | $1892934.37    | 0.01%             | 2050-07-15      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D                                  | CUSIP: 61690VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2785730 | PA      | $2667280.89    | 0.02%             | 2048-10-15      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2018-MP, Class D                                                       | CUSIP: 61691DAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $824174.10     | 0.01%             | 2040-07-11      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I                                              | Morgan Stanley Capital I, Series 2017-HR2, Class C                                                            | CUSIP: 61691NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1153335.00    | 0.01%             | 2050-12-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2019-L3, Class D                                                       | CUSIP: 61691UAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $3495252.15    | 0.02%             | 2052-11-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2021-L5, Class XB                                                      | CUSIP: 61691YAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60000000 | PA      | $2052954.00    | 0.01%             | 2054-05-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2021-L5, Class E                                                       | CUSIP: 61691YBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4234285 | PA      | $3006411.79    | 0.02%             | 2054-05-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2020-HR8, Class XA                                                     | CUSIP: 61692BBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17234226 | PA      | $1061354.29    | 0.01%             | 2053-07-15      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2021-L6, Class D                                                       | CUSIP: 61692CAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13685000 | PA      | $10214880.87   | 0.06%             | 2054-06-15      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2021-L6, Class E                                                       | CUSIP: 61692CAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $3475330.65    | 0.02%             | 2054-06-15      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class D                                  | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1443345 | PA      | $1418302.50    | 0.01%             | 2047-12-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class E                                  | CUSIP: 61764PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $5410925.00    | 0.03%             | 2047-12-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class B                                  | CUSIP: 61764XBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1869244 | PA      | $1826064.71    | 0.01%             | 2048-03-15      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class E                                  | CUSIP: 61765XAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2045150.00    | 0.01%             | 2047-12-15      | Variable      | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class F                                  | CUSIP: 61765XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6334000 | PA      | $4849057.04    | 0.03%             | 2047-12-15      | Variable      | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class D                                  | CUSIP: 61766RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11194000 | PA      | $8953302.62    | 0.05%             | 2049-11-15      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class B                                  | CUSIP: 61766RBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1750000 | PA      | $1695750.88    | 0.01%             | 2049-11-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class C                                  | CUSIP: 61766RBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $931040.50     | 0.01%             | 2049-11-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2019-L2, Class C                                                       | CUSIP: 61768HBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6755000 | PA      | $6008333.37    | 0.04%             | 2052-03-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2020-L4, Class D                                                       | CUSIP: 61770KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7175000 | PA      | $5561008.86    | 0.03%             | 2053-02-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                        | Morgan Stanley Capital I Trust, Series 2021-L7, Class E                                                       | CUSIP: 61772TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8091000 | PA      | $5282429.43    | 0.03%             | 2054-10-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Motion Bondco DAC                                                     | Motion Bondco DAC                                                                                             | CUSIP: 61978XAA5<br>LEI: 635400KFD3IETNQLA755 | Long             | DBT              | CORP              | IE        |     500000 | PA      | $471970.45     | 0.00%             | 2027-11-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | Forward Foreign Currency Contract                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $68106.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                   | Medline Borrower LP                                                                                           | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   13138000 | PA      | $12921372.77   | 0.08%             | 2029-04-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Medline Borrower LP                                                   | Medline Borrower LP                                                                                           | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   10412000 | PA      | $10411173.29   | 0.06%             | 2029-10-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2019-01, Class M10                                   | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   51016588 | PA      | $51796917.28   | 0.32%             | 2049-10-25      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                                    | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |    3249378 | PA      | $3339623.61    | 0.02%             | 2053-11-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M10                                   | CUSIP: 62548NAB4<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   18075000 | PA      | $20764019.56   | 0.13%             | 2053-11-25      | Floating      | 10.17%                | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2020-01, Class M10                                   | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   76203781 | PA      | $77332496.32   | 0.47%             | 2050-03-25      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                                    | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |    1700346 | PA      | $1720073.89    | 0.01%             | 2054-07-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M10                                   | CUSIP: 62548RAB5<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1136186.04    | 0.01%             | 2054-07-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                       | Multi-Family Connecticut Avenue Securities Trust, Series 2025-01, Class M1                                    | CUSIP: 62549CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20386611 | PA      | $20714138.15   | 0.13%             | 2055-05-25      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                       | Multi-Family Connecticut Avenue Securities Trust, Series 2025-01, Class M2                                    | CUSIP: 62549CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12900000 | PA      | $12923243.22   | 0.08%             | 2055-05-25      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                       | Multi-Family Connecticut Avenue Securities Trust, Series 2025-01, Class B1                                    | CUSIP: 62549CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2513510.64    | 0.02%             | 2055-05-25      | Floating      | 8.87%                 | Yes           |                  2 | On Loan: No      |
| NCR Voyix Corp.                                                       | NCR Voyix Corp.                                                                                               | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    6479000 | PA      | $6366295.85    | 0.04%             | 2028-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| NCR Voyix Corp.                                                       | NCR Voyix Corp.                                                                                               | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    1381000 | PA      | $1354986.10    | 0.01%             | 2029-04-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| NCL Corp. Ltd.                                                        | NCL Corp. Ltd.                                                                                                | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    2149000 | PA      | $2171628.97    | 0.01%             | 2031-01-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| NGL Energy Operating LLC                                              | NGL Energy Operating LLC                                                                                      | CUSIP: 62922LAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2568000 | PA      | $2661393.02    | 0.02%             | 2029-02-15      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| NGL Energy Operating LLC                                              | NGL Energy Operating LLC                                                                                      | CUSIP: 62922LAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3276000 | PA      | $3436202.95    | 0.02%             | 2032-02-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                              | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   10297000 | PA      | $10296281.27   | 0.06%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                              | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1379000 | PA      | $1383811.33    | 0.01%             | 2029-06-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                              | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    7745000 | PA      | $7310710.74    | 0.04%             | 2031-02-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                              | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    4308000 | PA      | $4412311.80    | 0.03%             | 2033-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                              | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3238000 | PA      | $3282380.03    | 0.02%             | 2034-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                              | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3229000 | PA      | $3286353.50    | 0.02%             | 2036-01-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NW Re-REMIC TRUST                                                     | NW Re-REMIC TRUST, Series 2021-FRR1, Class BK88                                                               | CUSIP: 62955LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $7007501.60    | 0.04%             | 2051-12-18      | Variable      | 2.60%                 | Yes           |                  3 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                                             | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10034173 | PA      | $9944157.91    | 0.06%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                                                   | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                                                                | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40485980 | PA      | $41397797.53   | 0.25%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| NMG Parent LLC                                                        | NMG Parent LLC, Escrow                                                                                        | CUSIP: 629ESC039<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          5 | NS      | $2.50          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| NCR Atleos Corp.                                                      | NCR Atleos Corp.                                                                                              | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |    6807000 | PA      | $7310050.91    | 0.04%             | 2029-04-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Neptune Bidco US, Inc.                                                | Neptune Bidco US, Inc.                                                                                        | CUSIP: 640695AD4<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    2642000 | PA      | $2585965.27    | 0.02%             | 2033-02-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| NESCO Holdings II, Inc.                                               | NESCO Holdings II, Inc.                                                                                       | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2636344.82    | 0.02%             | 2029-04-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO Ltd.                               | Neuberger Berman Loan Advisers CLO Ltd., Series 2019-34A, Class BR2                                           | CUSIP: 64132YBJ0<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |   11435000 | PA      | $11487017.82   | 0.07%             | 2039-07-20      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 38 Ltd.                            | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-38A, Class BR2                                           | CUSIP: 64133RAW6<br>LEI: 549300SM4FYZ8US63U33 | Long             | ABS-CBDO         | CORP              | KY        |   21300000 | PA      | $21329905.20   | 0.13%             | 2036-10-20      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 38 Ltd.                            | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-38A, Class CR2                                           | CUSIP: 64133RAY2<br>LEI: 549300SM4FYZ8US63U33 | Long             | ABS-CBDO         | CORP              | KY        |   11300000 | PA      | $11300870.10   | 0.07%             | 2036-10-20      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.                            | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class BR                                            | CUSIP: 64133WAQ8<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10009130.00   | 0.06%             | 2036-07-16      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.                            | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class CR                                            | CUSIP: 64133WAS4<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |   19900000 | PA      | $19926765.50   | 0.12%             | 2036-07-16      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets-Phase 1 Sponsor LLC                                | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class B1                                               | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2550000 | PA      | $1642552.67    | 0.01%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2019-2A, Class A1IB                                               | CUSIP: 64830DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5431936 | PA      | $166872.88     | 0.00%             | 2057-12-25      | Variable      | 1.00%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2018-3A, Class A1IC                                               | CUSIP: 64830KAH0<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |   14055165 | PA      | $581951.30     | 0.00%             | 2058-05-25      | Variable      | 1.50%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2019-NQM5, Class B1                                               | CUSIP: 64830PAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3042000 | PA      | $2793359.09    | 0.02%             | 2059-11-25      | Variable      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2025-NQM7, Class A1A                                              | CUSIP: 64831YAC0<br>LEI: 2138008C4H1F2CU67V53 | Long             | ABS-MBS          | CORP              | US        |   12384772 | PA      | $12436448.86   | 0.08%             | 2065-10-26      | Variable      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                                             | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                                                          | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26833696 | PA      | $27335406.07   | 0.17%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                                               | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   10591494 | PA      | $10724481.48   | 0.07%             | 2065-07-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2025-NQM5, Class A1                                               | CUSIP: 64832GAC8<br>LEI: 213800USJ6KQFZEWGZ76 | Long             | ABS-MBS          | CORP              | US        |    7007969 | PA      | $7065381.40    | 0.04%             | 2065-08-25      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| NRZT                                                                  | NRZT, Series 2025-NQM6, Class A1                                                                              | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12301673 | PA      | $12389736.00   | 0.08%             | 2065-10-25      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2026-NQM1, Class A1A                                              | CUSIP: 64832LAC7<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |   13169414 | PA      | $13184976.01   | 0.08%             | 2065-11-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2026-NQM2, Class M1                                               | CUSIP: 64832MAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $3840240.48    | 0.02%             | 2065-12-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| New York City Housing Development Corp.                               | New York City Housing Development Corp., Multi-Family Mortgage, 8 Spruce Street Project, Series 2024, Class A | CUSIP: 64966TGS7<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |   26666000 | PA      | $27616032.25   | 0.17%             | 2031-12-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corp.                               | New York City Housing Development Corp., Multi-Family Mortgage, 8 Spruce Street Project, Series 2024, Class B | CUSIP: 64966TGT5<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |    3200000 | PA      | $3329289.28    | 0.02%             | 2031-12-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                   | Newell Brands, Inc.                                                                                           | CUSIP: 651229AX4<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3814938.54    | 0.02%             | 2036-04-01      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                   | Newell Brands, Inc.                                                                                           | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    3821000 | PA      | $3820819.65    | 0.02%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                   | Newell Brands, Inc.                                                                                           | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    5277000 | PA      | $5293184.56    | 0.03%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                   | Newell Brands, Inc.                                                                                           | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    2675000 | PA      | $2815708.80    | 0.02%             | 2028-06-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                             | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4241581 | PA      | $4182302.98    | 0.03%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Nexstar Media, Inc.                                                   | Nexstar Media, Inc.                                                                                           | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |   10611000 | PA      | $10559015.65   | 0.06%             | 2028-11-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                         | CUSIP: 65339KDE7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    4802000 | PA      | $4987770.17    | 0.03%             | 2055-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Nexstar Media, Inc.                                                   | Nexstar Media, Inc.                                                                                           | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |   15538000 | PA      | $15539460.57   | 0.10%             | 2027-07-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| NGF Holdings LLC                                                      | NGF Holdings LLC                                                                                              | CUSIP: 65346FAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7533000.00    | 0.05%             | 2029-12-23      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                           | Federal Republic of Nigeria                                                                                   | CUSIP: 65412AFG2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    2460000 | PA      | $2676480.00    | 0.02%             | 2046-01-13      | Fixed         | 9.13%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                           | Federal Republic of Nigeria                                                                                   | CUSIP: 65412JAR4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    6347000 | PA      | $6398601.11    | 0.04%             | 2028-09-28      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Nordstrom, Inc.                                                       | Nordstrom, Inc.                                                                                               | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    2885000 | PA      | $2688365.90    | 0.02%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                       | Madison IAQ LLC, 1st Lien Term Loan                                                                           | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |    3216408 | PA      | $3217019.39    | 0.02%             | 2028-06-21      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| North Texas Tollway Authority                                         | North Texas Tollway Authority, First Tier, Series 2009B                                                       | CUSIP: 66285WFB7<br>LEI: PQGZGRE0F2WPMYQQ1B78 | Long             | DBT              | MUN               | US        |     131000 | PA      | $147085.87     | 0.00%             | 2049-01-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| DIRECTV Financing LLC                                                 | DIRECTV Financing LLC, 1st Lien Term Loan                                                                     | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     117812 | PA      | $117812.15     | 0.00%             | 2027-08-02      | Variable      | 8.93%                 | No            |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                  | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |   16860000 | PA      | $16949712.06   | 0.10%             | 2027-06-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                  | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    3070000 | PA      | $3012415.27    | 0.02%             | 2029-05-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                  | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAT6<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    2880000 | PA      | $3015014.40    | 0.02%             | 2028-11-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                  | NOVA Chemicals Corp.                                                                                          | CUSIP: 66977WAU3<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    2523000 | PA      | $2680326.71    | 0.02%             | 2030-02-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR3, Class F                                                                         | CUSIP: 66981YAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11000000 | PA      | $10645776.90   | 0.07%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                         | Novelis Corp.                                                                                                 | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    7770000 | PA      | $7508539.50    | 0.05%             | 2030-01-30      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                         | Novelis Corp.                                                                                                 | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    2990000 | PA      | $2732557.11    | 0.02%             | 2031-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                         | Novelis Corp.                                                                                                 | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     941000 | PA      | $971373.60     | 0.01%             | 2030-01-30      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Novelis Corp.                                                         | Novelis Corp.                                                                                                 | CUSIP: 670001AN6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    3324000 | PA      | $3360178.42    | 0.02%             | 2033-08-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| NuStar Logistics LP                                                   | NuStar Logistics LP                                                                                           | CUSIP: 67059TAE5<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    6497000 | PA      | $6559202.28    | 0.04%             | 2027-04-28      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                                   | NuStar Logistics LP                                                                                           | CUSIP: 67059TAH8<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    2494000 | PA      | $2625787.95    | 0.02%             | 2030-10-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                         | NYC Commercial Mortgage Trust, Series 2021-909, Class E                                                       | CUSIP: 67076XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3841324.00    | 0.02%             | 2043-04-10      | Variable      | 3.21%                 | Yes           |                  2 | On Loan: No      |
| OCP SA                                                                | OCP SA                                                                                                        | CUSIP: 67091TAG0<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |    2160000 | PA      | $2423437.27    | 0.01%             | 2054-05-02      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| OCP SA                                                                | OCP SA                                                                                                        | CUSIP: 67091TAJ4<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |    2130000 | PA      | $2297844.00    | 0.01%             | 2036-03-01      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC                              | OnDeck Asset Securitization Trust LLC, Series 2023-1A, Class A                                                | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4680000 | PA      | $4716509.15    | 0.03%             | 2030-08-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC                              | OnDeck Asset Securitization Trust LLC, Series 2024-2A, Class A                                                | CUSIP: 67108SAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3100000 | PA      | $3124443.81    | 0.02%             | 2031-10-17      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC                              | OnDeck Asset Securitization Trust LLC, Series 2024-2A, Class B                                                | CUSIP: 67108SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1900000 | PA      | $1909023.29    | 0.01%             | 2031-10-17      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                             | OBX Trust, Series 2023-NQM6, Class A1                                                                         | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1934981 | PA      | $1942463.69    | 0.01%             | 2063-07-25      | Variable      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                             | OBX Trust, Series 2023-NQM7, Class A1                                                                         | CUSIP: 67117XAA4<br>LEI: 254900K7TTKPUWNMSZ83 | Long             | ABS-MBS          | CORP              | US        |    3416389 | PA      | $3444124.03    | 0.02%             | 2063-04-25      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                                       | NYMT Loan Trust, Series 2024-BPL3, Class A1                                                                   | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |    2677709 | PA      | $2678262.03    | 0.02%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                             | OBX Trust, Series 2025-NQM2, Class A1                                                                         | CUSIP: 67120VAA3<br>LEI: 2549006BC0G3YEF5SL09 | Long             | ABS-MBS          | CORP              | US        |    3653452 | PA      | $3692154.09    | 0.02%             | 2064-11-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                             | OBX Trust, Series 2025-NQM10, Class A1                                                                        | CUSIP: 67121LAA4<br>LEI: 254900NDJVO62R77II89 | Long             | ABS-MBS          | CORP              | US        |   10189358 | PA      | $10293531.97   | 0.06%             | 2065-05-25      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                             | OBX Trust, Series 2026-NQM2, Class A1A                                                                        | CUSIP: 67123VAD4<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-MBS          | CORP              | US        |   16479513 | PA      | $16527458.68   | 0.10%             | 2065-12-01      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                             | OBX Trust, Series 2026-NQM2, Class A1B                                                                        | CUSIP: 67123VAE2<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-MBS          | CORP              | US        |    3163035 | PA      | $3166109.47    | 0.02%             | 2065-12-01      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Chord Energy Corp.                                                    | Chord Energy Corp.                                                                                            | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    3291000 | PA      | $3418016.15    | 0.02%             | 2033-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Chord Energy Corp.                                                    | Chord Energy Corp.                                                                                            | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    4011000 | PA      | $4097237.94    | 0.03%             | 2030-10-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Octagon 64 Ltd.                                                       | Octagon Ltd., Series 2022-1A, Class DR                                                                        | CUSIP: 67579ABE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14900000 | PA      | $14797815.80   | 0.09%             | 2037-07-21      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| OCP Aegis CLO Ltd.                                                    | OCP Aegis CLO Ltd., Series 2025-41A, Class B1                                                                 | CUSIP: 675953AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18200000 | PA      | $18209027.20   | 0.11%             | 2037-04-21      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| ON Semiconductor Corp.                                                | ON Semiconductor Corp.                                                                                        | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |   10381000 | PA      | $10162050.18   | 0.06%             | 2028-09-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| 1011778 BC ULC                                                        | 1011778 BC ULC                                                                                                | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1445000 | PA      | $1426748.78    | 0.01%             | 2028-01-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| 1011778 BC ULC                                                        | 1011778 BC ULC                                                                                                | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    4895000 | PA      | $4700701.79    | 0.03%             | 2030-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                                 | OneMain Direct Auto Receivables Trust, Series 2025-1A, Class D                                                | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7104000 | PA      | $7441648.86    | 0.05%             | 2037-07-14      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                 | OneMain Finance Corp.                                                                                         | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    7685000 | PA      | $7436229.63    | 0.05%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Onemain Financial Issuance Trust                                      | Onemain Financial Issuance Trust, Series 2025-1A, Class D                                                     | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5300000 | PA      | $5476714.19    | 0.03%             | 2038-07-14      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Altar Bidco, Inc.                                                     | Altar Bidco, Inc., 1st Lien Term Loan B                                                                       | CUSIP: 02090CAE0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3321562 | PA      | $3297480.82    | 0.02%             | 2029-02-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| 1261229 BC Ltd.                                                       | 1261229 BC Ltd.                                                                                               | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    8833000 | PA      | $9134493.70    | 0.06%             | 2032-04-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-B, Class C                                                                | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     167588 | PA      | $166214.54     | 0.00%             | 2031-05-08      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-B, Class D                                                                | CUSIP: 68377GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     273866 | PA      | $272331.92     | 0.00%             | 2031-05-08      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Trust                                                 | Oportun Funding Trust, Series 2024-3, Class B                                                                 | CUSIP: 68377NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3167000 | PA      | $3171254.55    | 0.02%             | 2029-08-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Fibercop SpA                                                          | Fibercop SpA, Series 2033                                                                                     | CUSIP: 683879AB6<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |    3705000 | PA      | $3759315.30    | 0.02%             | 2033-11-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Fibercop SpA                                                          | Fibercop SpA                                                                                                  | CUSIP: 683879AH3<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |    2137000 | PA      | $2205398.96    | 0.01%             | 2038-06-04      | Fixed         | 7.72%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2026-A, Class B                                                                | CUSIP: 68390VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15080000 | PA      | $15168017.44   | 0.09%             | 2034-01-09      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2026-A, Class C                                                                | CUSIP: 68390VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8690000 | PA      | $8748115.24    | 0.05%             | 2034-01-09      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Municipal Water District of Orange County Water Facilities Corp.      | Municipal Water District Of Orange County Water Facilities Corp., Series 2017B                                | CUSIP: 68442CCA2<br>LEI: 549300KBQTX6CMJ3U708 | Long             | DBT              | MUN               | US        |     290000 | PA      | $269956.16     | 0.00%             | 2041-08-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Organon & Co.                                                         | Organon & Co.                                                                                                 | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12042000 | PA      | $11821216.55   | 0.07%             | 2028-04-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Organon & Co.                                                         | Organon & Co.                                                                                                 | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11300000 | PA      | $10041242.15   | 0.06%             | 2031-04-30      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Outfront Media Capital LLC                                            | Outfront Media Capital LLC                                                                                    | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5168000 | PA      | $5169622.75    | 0.03%             | 2027-08-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Outfront Media Capital LLC                                            | Outfront Media Capital LLC                                                                                    | CUSIP: 69007TAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4915000 | PA      | $4822548.85    | 0.03%             | 2029-01-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Outfront Media Capital LLC                                            | Outfront Media Capital LLC                                                                                    | CUSIP: 69007TAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1335000 | PA      | $1403475.50    | 0.01%             | 2031-02-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Accendra Health, Inc.                                                 | Accendra Health, Inc.                                                                                         | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |    7764000 | PA      | $4922646.96    | 0.03%             | 2029-03-31      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Owens-Brockway Glass Container, Inc.                                  | Owens-Brockway Glass Container, Inc.                                                                          | CUSIP: 69073TAT0<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    4325000 | PA      | $4328088.05    | 0.03%             | 2027-05-13      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| AthenaHealth Group, Inc.                                              | AthenaHealth Group, Inc., 1st Lien Term Loan                                                                  | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    6540347 | PA      | $6360487.02    | 0.04%             | 2029-02-15      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                              | PRPM LLC, Series 2025-4, Class A1                                                                             | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6249023 | PA      | $6255155.66    | 0.04%             | 2030-06-25      | Variable      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                        | PMT Loan Trust, Series 2025-INV6, Class A2                                                                    | CUSIP: 69382MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24243372 | PA      | $24752871.09   | 0.15%             | 2056-06-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                        | PMT Loan Trust, Series 2026-INV2, Class A2                                                                    | CUSIP: 69383NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   52550000 | PA      | $53194557.28   | 0.33%             | 2057-01-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Pret LLC                                                              | PRET LLC, Series 2025-NPL2, Class A1                                                                          | CUSIP: 69392JAA7<br>LEI: 254900S0KCA0ULKWBW61 | Long             | ABS-O            | CORP              | US        |   24284540 | PA      | $24307503.29   | 0.15%             | 2055-03-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                              | PRPM LLC, Series 2025-RPL2, Class A1                                                                          | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5194749 | PA      | $5103340.31    | 0.03%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                                            | PRM5 Trust, Series 2025-PRM5, Class A                                                                         | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8695000 | PA      | $8721514.53    | 0.05%             | 2033-03-10      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                        | Pagaya AI Debt Selection Trust, Series 2021-3, Class C                                                        | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3965996 | PA      | $3921908.07    | 0.02%             | 2029-05-15      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                          | Islamic Republic of Pakistan                                                                                  | CUSIP: 695847AS2<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |   15085000 | PA      | $15069915.00   | 0.09%             | 2026-04-08      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                          | Islamic Republic of Pakistan                                                                                  | CUSIP: 695847AT0<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |    7413000 | PA      | $7320337.50    | 0.04%             | 2031-04-08      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                | Palmer Square CLO Ltd., Series 2021-2A, Class BR                                                              | CUSIP: 69701XAN4<br>LEI: 254900HTQ89UZTKY6247 | Long             | ABS-CBDO         | CORP              | KY        |   18200000 | PA      | $18246282.60   | 0.11%             | 2038-02-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                       | Palmer Square Loan Funding Ltd., Series 2022-4A, Class BR                                                     | CUSIP: 69702YAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5003275.00    | 0.03%             | 2031-07-24      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                | Palmer Square CLO Ltd., Series 2025-1A, Class E                                                               | CUSIP: 69703UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1585000 | PA      | $1481678.61    | 0.01%             | 2038-04-20      | Floating      | 8.17%                 | Yes           |                  2 | On Loan: No      |
| Republic of Panama                                                    | Republic of Panama                                                                                            | CUSIP: 698299BZ6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    4500000 | PA      | $5427000.00    | 0.03%             | 2057-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                    | Republic of Panama                                                                                            | CUSIP: 698299CC6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    1720000 | PA      | $1727353.00    | 0.01%             | 2038-02-23      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Penske Automotive Group, Inc.                                         | Penske Automotive Group, Inc.                                                                                 | CUSIP: 70959WAK9<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |    6411000 | PA      | $6200242.86    | 0.04%             | 2029-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Performance Food Group, Inc.                                          | Performance Food Group, Inc.                                                                                  | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    4231000 | PA      | $4151163.99    | 0.03%             | 2029-08-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Performance Food Group, Inc.                                          | Performance Food Group, Inc.                                                                                  | CUSIP: 71376LAH3<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $2076925.25    | 0.01%             | 2034-03-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                       | Permian Resources Operating LLC                                                                               | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    2968000 | PA      | $3073309.33    | 0.02%             | 2033-02-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Petco Health & Wellness Co., Inc.                                     | Petco Health & Wellness Co., Inc.                                                                             | CUSIP: 71601VAA3<br>LEI: 2549007TYGV6RVSE9M61 | Long             | DBT              | CORP              | US        |    1133000 | PA      | $1106526.73    | 0.01%             | 2031-02-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                           | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   13500000 | PA      | $13539150.00   | 0.08%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                           | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    5100000 | PA      | $4240650.00    | 0.03%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   28350000 | PA      | $25747470.00   | 0.16%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   14950000 | PA      | $14636050.00   | 0.09%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    2950000 | PA      | $2428543.25    | 0.01%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   10105000 | PA      | $11837560.86   | 0.07%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                                 | Petroleos del Peru SA                                                                                         | CUSIP: 716564AB5<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | NUSS              | PE        |    3110000 | PA      | $1989363.44    | 0.01%             | 2047-06-19      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| PetSmart LLC                                                          | PetSmart LLC                                                                                                  | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6478000 | PA      | $6554958.64    | 0.04%             | 2032-09-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                      | Planet Fitness Master Issuer LLC, Series 2025-1A, Class A2II                                                  | CUSIP: 72703PAJ2<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    6400000 | PA      | $6428658.56    | 0.04%             | 2055-12-06      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                        | PMT Loan Trust, Series 2025-INV5, Class A2                                                                    | CUSIP: 729907AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15242512 | PA      | $15562848.36   | 0.10%             | 2056-05-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                                        | PMT Loan Trust, Series 2025-J1, Class A1                                                                      | CUSIP: 729910AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   47781054 | PA      | $48577372.89   | 0.30%             | 2055-04-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                               | Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class M1                                              | CUSIP: 73316PDS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      28661 | PA      | $28353.37      | 0.00%             | 2035-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                   | Post Holdings, Inc.                                                                                           | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |   11210000 | PA      | $10972897.29   | 0.07%             | 2030-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                   | Post Holdings, Inc.                                                                                           | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1588153.37    | 0.01%             | 2031-09-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                   | Post Holdings, Inc.                                                                                           | CUSIP: 737446AU8<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    8384000 | PA      | $8624595.65    | 0.05%             | 2032-02-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Prestige Brands, Inc.                                                 | Prestige Brands, Inc.                                                                                         | CUSIP: 74112BAL9<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    4993000 | PA      | $4989376.08    | 0.03%             | 2028-01-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Prestige Brands, Inc.                                                 | Prestige Brands, Inc.                                                                                         | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    3540000 | PA      | $3310377.19    | 0.02%             | 2031-04-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                              | PRET LLC, Series 2025-NPL4, Class A1                                                                          | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20088141 | PA      | $20133775.13   | 0.12%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                              | PRET LLC, Series 2025-NPL3, Class A1                                                                          | CUSIP: 74143HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13025712 | PA      | $13067155.47   | 0.08%             | 2055-04-25      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                              | PRET LLC, Series 2025-NPL5, Class A1                                                                          | CUSIP: 74143LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19027298 | PA      | $19098416.06   | 0.12%             | 2055-05-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Prime Security Services Borrower LLC                                  | Prime Security Services Borrower LLC                                                                          | CUSIP: 74166MAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     410000 | PA      | $410819.59     | 0.00%             | 2026-04-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Prime Security Services Borrower LLC                                  | Prime Security Services Borrower LLC                                                                          | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9269000 | PA      | $9121945.46    | 0.06%             | 2027-08-31      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| ADT Security Corp. (The)                                              | ADT Security Corp. (The)                                                                                      | CUSIP: 74166NAA2<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    5796000 | PA      | $5622570.35    | 0.03%             | 2032-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Primo Water Holdings, Inc.                                            | Primo Water Holdings, Inc.                                                                                    | CUSIP: 74168RAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6365000 | PA      | $6363857.48    | 0.04%             | 2029-04-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class F                                                        | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $7871572.00    | 0.05%             | 2039-01-17      | Fixed         | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class F                                                         | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10211000 | PA      | $10153250.67   | 0.06%             | 2041-02-17      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                                      | Provident Funding Mortgage Trust, Series 2025-3, Class A1                                                     | CUSIP: 74388PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36223863 | PA      | $36686297.23   | 0.22%             | 2055-08-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                                      | Provident Funding Mortgage Trust, Series 2025-2, Class A1                                                     | CUSIP: 74389DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9877757 | PA      | $10042379.30   | 0.06%             | 2055-06-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Provincia de Cordoba                                                  | Provincia de Cordoba                                                                                          | CUSIP: 74408DAG9<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |    3858000 | PA      | $3771773.70    | 0.02%             | 2035-02-03      | Fixed         | 8.60%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                              | PRPM LLC, Series 2024-8, Class A2                                                                             | CUSIP: 74448KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2019166.40    | 0.01%             | 2029-12-25      | Variable      | 8.84%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                              | PRPM LLC, Series 2024-7, Class A1                                                                             | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4093219 | PA      | $4096312.66    | 0.03%             | 2029-11-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| PRPM                                                                  | PRPM, Series 2025-3, Class A1                                                                                 | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6343701 | PA      | $6342840.36    | 0.04%             | 2030-05-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                               | Purewest ABS Issuer LLC, Series 2025-1, Class A2                                                              | CUSIP: 74628AAB0<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |    5941395 | PA      | $6092306.79    | 0.04%             | 2040-04-05      | Fixed         | 6.53%                 | Yes           |                  3 | On Loan: No      |
| Purewest ABS Issuer LLC                                               | Purewest ABS Issuer LLC, Series 2025-1, Class B                                                               | CUSIP: 74628AAC8<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   15779512 | PA      | $15800025.47   | 0.10%             | 2040-04-05      | Fixed         | 10.28%                | Yes           |                  3 | On Loan: No      |
| Qnity Electronics, Inc.                                               | Qnity Electronics, Inc.                                                                                       | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |    5917000 | PA      | $6054076.30    | 0.04%             | 2032-08-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                                               | Qnity Electronics, Inc.                                                                                       | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |    3546000 | PA      | $3681810.13    | 0.02%             | 2033-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| QXO Building Products, Inc.                                           | QXO Building Products, Inc.                                                                                   | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    5150000 | PA      | $5333937.40    | 0.03%             | 2032-04-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                                   | Rocket Mortgage LLC                                                                                           | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8295000 | PA      | $7991991.12    | 0.05%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                               | Quikrete Holdings, Inc.                                                                                       | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    9545000 | PA      | $9920099.41    | 0.06%             | 2032-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                               | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17636000 | PA      | $17631984.46   | 0.11%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                               | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1370000 | PA      | $1351174.67    | 0.01%             | 2029-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                               | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1970000 | PA      | $2022872.83    | 0.01%             | 2028-07-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                               | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3650000 | PA      | $3776936.05    | 0.02%             | 2032-04-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                               | RHP Hotel Properties LP                                                                                       | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1172000 | PA      | $1217461.88    | 0.01%             | 2033-06-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class A                                                                         | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13539048 | PA      | $14012327.09   | 0.09%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class D                                                                         | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20727000 | PA      | $21885937.77   | 0.13%             | 2041-11-13      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class E                                                                         | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   63500000 | PA      | $67956169.65   | 0.42%             | 2041-11-13      | Fixed         | 8.82%                 | Yes           |                  2 | On Loan: No      |
| RR 19 Ltd.                                                            | RR 19 Ltd., Series 2021-19A, Class DR                                                                         | CUSIP: 74983BAJ0<br>LEI: 549300RJ4N2AJDFNE876 | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1246258.00    | 0.01%             | 2040-04-15      | Floating      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| RHP Hotel Properties LP                                               | RHP Hotel Properties LP                                                                                       | CUSIP: 74984CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1249047.04    | 0.01%             | 2034-03-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| RR Ltd.                                                               | RR Ltd., Series 2024-35A, Class A2                                                                            | CUSIP: 74988DAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4009964.00    | 0.02%             | 2040-01-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Radiology Partners, Inc.                                              | Radiology Partners, Inc.                                                                                      | CUSIP: 75041VAE4<br>LEI: 549300SFTAG2177WUZ08 | Long             | DBT              | CORP              | US        |    7233000 | PA      | $7447675.44    | 0.05%             | 2032-07-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Radnor RE Ltd.                                                        | Radnor RE Ltd., Series 2022-1, Class M1B                                                                      | CUSIP: 75049XAB8<br>LEI: 254900E0VCENS5C16U77 | Long             | ABS-MBS          | CORP              | BM        |    5921037 | PA      | $6134305.98    | 0.04%             | 2032-09-25      | Floating      | 10.42%                | Yes           |                  2 | On Loan: No      |
| Range Resources Corp.                                                 | Range Resources Corp.                                                                                         | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1207809.64    | 0.01%             | 2030-02-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Raven Acquisition Holdings LLC                                        | Raven Acquisition Holdings LLC                                                                                | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3106000 | PA      | $2989663.93    | 0.02%             | 2031-11-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| RCO X Mortgage LLC                                                    | RCO X Mortgage LLC, Series 2025-1, Class A1                                                                   | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15398573 | PA      | $15474775.45   | 0.09%             | 2030-01-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Holdings LLC                                                 | ReadyCap Holdings LLC, Series QIB                                                                             | CUSIP: 755763AC3<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $19612382.80   | 0.12%             | 2026-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Holdings LLC                                                 | ReadyCap Holdings LLC, Series QIB                                                                             | CUSIP: 755763AE9<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $16861107.62   | 0.10%             | 2028-03-01      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust                            | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                                            | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     764330 | PA      | $763795.47     | 0.00%             | 2044-12-27      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Anywhere Real Estate Group LLC                                        | Anywhere Real Estate Group LLC                                                                                | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2652000 | PA      | $2614238.44    | 0.02%             | 2029-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Anywhere Real Estate Group LLC                                        | Anywhere Real Estate Group LLC                                                                                | CUSIP: 75606DAQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     845000 | PA      | $799275.99     | 0.00%             | 2030-04-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Anywhere Real Estate Group LLC                                        | Anywhere Real Estate Group LLC                                                                                | CUSIP: 75606DAV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2950000 | PA      | $3178657.45    | 0.02%             | 2030-04-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                                   | Regal Rexnord Corp.                                                                                           | CUSIP: 758750AP8<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    2931000 | PA      | $3186951.77    | 0.02%             | 2033-04-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                    | Renaissance Home Equity Loan Trust, Series 2005-2, Class M1                                                   | CUSIP: 75970NAP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     362395 | PA      | $348582.24     | 0.00%             | 2035-08-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2017-1A, Class B                                                                                | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |       7985 | PA      | $7976.67       | 0.00%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                    | Renaissance Home Equity Loan Trust, Series 2003-4, Class M2F                                                  | CUSIP: 759950BV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     105981 | PA      | $67890.65      | 0.00%             | 2034-03-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                       | Republic Finance Issuance Trust, Series 2024-A, Class A                                                       | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9326000 | PA      | $9416536.81    | 0.06%             | 2032-08-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                       | Republic Finance Issuance Trust, Series 2024-B, Class A                                                       | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17753000 | PA      | $18132413.57   | 0.11%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| RAMP Trust                                                            | RAMP Trust, Series 2002-RS2, Class AI5                                                                        | CUSIP: 760985JL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24267 | PA      | $24211.67      | 0.00%             | 2032-03-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| RAAC Trust                                                            | RAAC Trust, Series 2005-SP1, Class 4A1                                                                        | CUSIP: 76112BQY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20963 | PA      | $11392.59      | 0.00%             | 2034-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Reynolds American, Inc.                                               | Reynolds American, Inc.                                                                                       | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1366157.92    | 0.01%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| RFT TRUST                                                             | RFT TRUST, Series 2024-2, Class A1                                                                            | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4822197 | PA      | $4823576.05    | 0.03%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| RFT TRUST                                                             | RFT TRUST, Series 2024-2, Class A2                                                                            | CUSIP: 76201AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11675562 | PA      | $11664761.72   | 0.07%             | 2028-09-27      | Variable      | 8.81%                 | Yes           |                  2 | On Loan: No      |
| MH Sub I LLC                                                          | MH Sub I LLC, 1st Lien Term Loan                                                                              | CUSIP: 45567YAN5<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    2905937 | PA      | $2351397.18    | 0.01%             | 2028-05-03      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| RingCentral, Inc.                                                     | RingCentral, Inc.                                                                                             | CUSIP: 76680RAJ6<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |    4355000 | PA      | $4572906.78    | 0.03%             | 2030-08-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| RB Global Holdings, Inc.                                              | RB Global Holdings, Inc.                                                                                      | CUSIP: 76774LAB3<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |    2625000 | PA      | $2667372.75    | 0.02%             | 2028-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| RB Global Holdings, Inc.                                              | RB Global Holdings, Inc.                                                                                      | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $3773983.95    | 0.02%             | 2031-03-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Rivers Enterprise Borrower LLC                                        | Rivers Enterprise Borrower LLC                                                                                | CUSIP: 76884GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     360000 | PA      | $367839.08     | 0.00%             | 2030-10-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                     | Rocket Cos., Inc.                                                                                             | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4750000 | PA      | $4873281.50    | 0.03%             | 2030-08-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                     | Rocket Cos., Inc.                                                                                             | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2533000 | PA      | $2617905.81    | 0.02%             | 2033-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                                   | Rocket Mortgage LLC                                                                                           | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1305000 | PA      | $1288997.96    | 0.01%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Rockies Express Pipeline LLC                                          | Rockies Express Pipeline LLC                                                                                  | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    2423000 | PA      | $2552446.35    | 0.02%             | 2033-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Romania                                                               | Romania Government Bond                                                                                       | CUSIP: 77586RAW0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    3564000 | PA      | $4037334.84    | 0.02%             | 2037-02-10      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                          | Royal Caribbean Cruises Ltd.                                                                                  | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   10377000 | PA      | $10821620.21   | 0.07%             | 2032-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                          | Royal Caribbean Cruises Ltd.                                                                                  | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    3651000 | PA      | $3782217.67    | 0.02%             | 2033-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                          | Royal Caribbean Cruises Ltd.                                                                                  | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    5349000 | PA      | $5513731.49    | 0.03%             | 2031-09-30      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Republic of Rwanda                                                    | Republic of Rwanda                                                                                            | CUSIP: 78347YAL7<br>LEI: 213800DQC28OBRZDYJ87 | Long             | DBT              | NUSS              | RW        |    8000000 | PA      | $7502480.00    | 0.05%             | 2031-08-09      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                       | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class XA                                                    | CUSIP: 78397EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   70599526 | PA      | $2555865.22    | 0.02%             | 2053-02-13      | Variable      | 1.25%                 | Yes           |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                       | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class B                                                     | CUSIP: 78397EAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11440000 | PA      | $8375207.98    | 0.05%             | 2053-02-13      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                       | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class C                                                     | CUSIP: 78397EAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4750000 | PA      | $2432468.35    | 0.01%             | 2053-02-13      | Variable      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                       | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class D                                                     | CUSIP: 78397EAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9750000 | PA      | $4365061.35    | 0.03%             | 2053-02-13      | Variable      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| SCE Trust VI                                                          | SCE Trust VI                                                                                                  | CUSIP: 78410V200<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     199200 | NS      | $3673248.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SES AMERICOM, Inc.                                                    | SES AMERICOM, Inc.                                                                                            | CUSIP: 78413KAB8<br>LEI: 529900CXBBQLCMXKBJ24 | Long             | DBT              | CORP              | US        |     110000 | PA      | $89950.27      | 0.00%             | 2044-03-25      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| SHR Trust                                                             | SHR Trust, Series 2024-LXRY, Class B                                                                          | CUSIP: 784234AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3006440.40    | 0.02%             | 2041-10-15      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    2864000 | PA      | $2866508.86    | 0.02%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    8790000 | PA      | $8796381.54    | 0.05%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 78454LAW0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |       5000 | PA      | $5028.28       | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    3021000 | PA      | $3088842.60    | 0.02%             | 2029-08-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| SM Energy Co.                                                         | SM Energy Co.                                                                                                 | CUSIP: 78454LAY6<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    2585000 | PA      | $2632354.62    | 0.02%             | 2032-08-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                               | SS&C Technologies, Inc.                                                                                       | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |   19553000 | PA      | $19523594.24   | 0.12%             | 2027-09-30      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                               | SS&C Technologies, Inc.                                                                                       | CUSIP: 78466CAD8<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |    1475000 | PA      | $1503396.70    | 0.01%             | 2032-06-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                                           | SREIT Trust, Series 2021-MFP, Class G                                                                         | CUSIP: 78472UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10904940 | PA      | $10898780.45   | 0.07%             | 2038-11-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| SRT Issuer II LLC                                                     | SRT Issuer LLC                                                                                                | CUSIP: 78475DAE3<br>LEI: 2549005TCDBHPK8XA750 | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $20008753.60   | 0.12%             | 2031-12-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| SRT Issuer I LLC                                                      | SRT Issuer I LLC                                                                                              | CUSIP: 78475KAC1<br>LEI: 2549007PUYUQCDX9UC96 | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $19975000.00   | 0.12%             | 2031-07-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Saavi Energia Sarl                                                    | Saavi Energia SARL                                                                                            | CUSIP: 78518PAA3<br>LEI: 254900A2V0IO8K56UH35 | Long             | DBT              | CORP              | LU        |    4754000 | PA      | $5222335.56    | 0.03%             | 2035-02-10      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Rocket Software, Inc.                                                 | Rocket Software, Inc., 1st Lien Term Loan                                                                     | CUSIP: 77313DAW1<br>LEI: 549300PVG26ISP5X1556 | Long             | LON              | CORP              | US        |    4510317 | PA      | $4185213.35    | 0.03%             | 2028-11-28      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Saks Global Enterprises LLC                                           | Saks Global Enterprises LLC                                                                                   | CUSIP: 79380MAB1<br>LEI: 5493007HQSJGRH78Q684 | Long             | DBT              | CORP              | US        |    2374464 | PA      | $10388.28      | 0.00%             | 2029-12-15      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-7, Class C                                                | CUSIP: 80287FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     480707 | PA      | $489432.59     | 0.00%             | 2031-03-17      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-3, Class D                                                | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12824000 | PA      | $13239091.08   | 0.08%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2025-2, Class D                                                | CUSIP: 80287NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10259774.00   | 0.06%             | 2031-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2025-3, Class D                                                | CUSIP: 80288JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19270000 | PA      | $19618825.54   | 0.12%             | 2031-09-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Xerox Corp.                                                           | Xerox Corp., 1st Lien Term Loan                                                                               | CUSIP: 98415LAY2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1690000 | PA      | $1081600.00    | 0.01%             | 2029-11-19      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-4, Class D                                                | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5298000 | PA      | $5408732.97    | 0.03%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-5, Class D                                                | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2984000 | PA      | $3028978.73    | 0.02%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Moran Foods LLC                                                       | Moran Foods LLC, 2nd Lien PIK Term Loan                                                                       | CUSIP: 61647DAU6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    7398774 | PA      | $0.07          | 0.00%             | 2026-06-30      | Variable      | 5.67%                 | No            |                  3 | On Loan: No      |
| TransDigm, Inc.                                                       | TransDigm, Inc., 1st Lien Term Loan J                                                                         | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     841457 | PA      | $841246.92     | 0.01%             | 2031-02-28      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Science Applications International Corp.                              | Science Applications International Corp.                                                                      | CUSIP: 808625AB3<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |    1581000 | PA      | $1571252.82    | 0.01%             | 2033-11-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                          | Scotts Miracle-Gro Co. (The)                                                                                  | CUSIP: 810186AP1<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    3125000 | PA      | $3121997.81    | 0.02%             | 2026-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                          | Scotts Miracle-Gro Co. (The)                                                                                  | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |   13427000 | PA      | $13280737.00   | 0.08%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                          | Scotts Miracle-Gro Co. (The)                                                                                  | CUSIP: 810186AW6<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1382735.82    | 0.01%             | 2032-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Scotts Miracle-Gro Co. (The)                                          | Scotts Miracle-Gro Co. (The)                                                                                  | CUSIP: 810186AX4<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    5990000 | PA      | $5663296.42    | 0.03%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Scripps Escrow II, Inc.                                               | Scripps Escrow II, Inc.                                                                                       | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3112848.19    | 0.02%             | 2029-01-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                                         | SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A                                                      | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15540000 | PA      | $15530287.50   | 0.10%             | 2039-05-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                                         | SDR Commercial Mortgage Trust, Series 2024-DSNY, Class B                                                      | CUSIP: 811304AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10267000 | PA      | $10267089.32   | 0.06%             | 2039-05-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                             | Seagate Data Storage Technology Pte. Ltd.                                                                     | CUSIP: 81180LAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    4380000 | PA      | $4295864.14    | 0.03%             | 2029-06-01      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                             | Seagate Data Storage Technology Pte. Ltd.                                                                     | CUSIP: 81180LAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    5160000 | PA      | $4598850.00    | 0.03%             | 2029-07-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                             | Seagate Data Storage Technology Pte. Ltd.                                                                     | CUSIP: 81180LAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    3545000 | PA      | $3740538.66    | 0.02%             | 2029-12-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                             | Seagate Data Storage Technology Pte. Ltd.                                                                     | CUSIP: 81180LAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     767000 | PA      | $806828.78     | 0.00%             | 2031-07-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Moran Foods LLC                                                       | Moran Foods LLC, 1st Lien PIK Term Loan                                                                       | CUSIP: 61647DAT9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   17514855 | PA      | $4352441.37    | 0.03%             | 2026-06-30      | Variable      | 5.67%                 | No            |                  3 | On Loan: No      |
| WEC US Holdings, Inc.                                                 | WEC US Holdings, Inc., 1st Lien Term Loan                                                                     | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    2715539 | PA      | $2706577.57    | 0.02%             | 2031-01-27      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Adient US LLC                                                         | Adient US LLC, 1st Lien Term Loan B-2                                                                         | CUSIP: 00687MAH4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3614290 | PA      | $3607530.91    | 0.02%             | 2031-01-31      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| UKG, Inc.                                                             | UKG, Inc., 1st Lien Term Loan                                                                                 | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    7818681 | PA      | $7384744.57    | 0.05%             | 2031-02-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                | Sempra                                                                                                        | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   10047000 | PA      | $10287344.33   | 0.06%             | 2056-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Sensata Technologies BV                                               | Sensata Technologies BV                                                                                       | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |    6493000 | PA      | $6355417.23    | 0.04%             | 2029-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                            | Sensata Technologies, Inc.                                                                                    | CUSIP: 81728UAA2<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    6014000 | PA      | $5899519.30    | 0.04%             | 2030-02-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                            | Sensata Technologies, Inc.                                                                                    | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1366996.64    | 0.01%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                            | Sensata Technologies, Inc.                                                                                    | CUSIP: 81728UAC8<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    6470000 | PA      | $6772718.36    | 0.04%             | 2032-07-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Serbia International Bond                                             | Republic of Serbia                                                                                            | CUSIP: 817477AH5<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    3400000 | PA      | $3701696.28    | 0.02%             | 2033-09-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2025-7, Class A1                                                               | CUSIP: 81749VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11629499 | PA      | $11801219.87   | 0.07%             | 2055-08-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Service Corp. International                                           | Service Corp. International                                                                                   | CUSIP: 817565BT0<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     535000 | PA      | $550987.94     | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Service Corp. International                                           | Service Corp. International                                                                                   | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |   11836000 | PA      | $11124278.83   | 0.07%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Shift4 Payments LLC                                                   | Shift4 Payments LLC                                                                                           | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8161000 | PA      | $7988006.39    | 0.05%             | 2032-08-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Shutterfly Finance LLC                                                | Shutterfly Finance LLC                                                                                        | CUSIP: 82568NAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8614819 | PA      | $8057784.80    | 0.05%             | 2027-10-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Shutterfly Finance LLC                                                | Shutterfly Finance LLC                                                                                        | CUSIP: 82568NAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     961040 | PA      | $956234.80     | 0.01%             | 2027-10-01      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| MIWD Holdco II LLC                                                    | MIWD Holdco II LLC, 1st Lien Term Loan                                                                        | CUSIP: 55336CAK8<br>LEI: 254900X3SPV5RVFJEY72 | Long             | LON              | CORP              | US        |    2962556 | PA      | $2938115.30    | 0.02%             | 2031-03-28      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class D                                             | CUSIP: 82650TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1027654 | PA      | $1055050.61    | 0.01%             | 2040-06-20      | Fixed         | 9.22%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class D                                             | CUSIP: 826934AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1825097 | PA      | $1897253.41    | 0.01%             | 2039-07-20      | Fixed         | 10.52%                | Yes           |                  2 | On Loan: No      |
| Sinclair Television Group, Inc.                                       | Sinclair Television Group, Inc.                                                                               | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    7837000 | PA      | $8160276.25    | 0.05%             | 2033-02-15      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                   | Sirius XM Radio LLC                                                                                           | CUSIP: 82966BAA3<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    4111000 | PA      | $4101246.78    | 0.03%             | 2032-04-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                   | Sirius XM Radio LLC                                                                                           | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    7925000 | PA      | $7920327.42    | 0.05%             | 2027-08-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                   | Sirius XM Radio LLC                                                                                           | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   19459000 | PA      | $19478659.04   | 0.12%             | 2029-07-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                   | Sirius XM Radio LLC                                                                                           | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $942580.30     | 0.01%             | 2030-07-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                   | Sirius XM Radio LLC                                                                                           | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   15305000 | PA      | $14941408.30   | 0.09%             | 2028-07-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                         | Six Flags Entertainment Corp.                                                                                 | CUSIP: 83002YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4954000 | PA      | $5036677.31    | 0.03%             | 2032-05-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                         | Six Flags Entertainment Corp.                                                                                 | CUSIP: 83003AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1647000 | PA      | $1667577.17    | 0.01%             | 2032-01-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                               | Genesee & Wyoming, Inc., 1st Lien Term Loan                                                                   | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |    8678132 | PA      | $8663465.51    | 0.05%             | 2031-04-10      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Smyrna Ready Mix Concrete LLC                                         | Smyrna Ready Mix Concrete LLC                                                                                 | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |    8425000 | PA      | $8950585.20    | 0.05%             | 2031-11-15      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Snap, Inc.                                                            | Snap, Inc.                                                                                                    | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    2404000 | PA      | $2394431.12    | 0.01%             | 2033-03-01      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Solstice Advanced Materials, Inc.                                     | Solstice Advanced Materials, Inc.                                                                             | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |    8142000 | PA      | $8230104.58    | 0.05%             | 2033-09-30      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Sonic Automotive, Inc.                                                | Sonic Automotive, Inc.                                                                                        | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |   12012000 | PA      | $11811267.47   | 0.07%             | 2029-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                              | Republic of South Africa                                                                                      | CUSIP: 836205BB9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1420000 | PA      | $1194575.00    | 0.01%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                              | Republic of South Africa                                                                                      | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4478000 | PA      | $4814969.50    | 0.03%             | 2036-11-19      | Fixed         | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                              | Republic of South Africa                                                                                      | CUSIP: 836205BG8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4489000 | PA      | $4848120.00    | 0.03%             | 2054-11-19      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                              | Republic of South Africa                                                                                      | CUSIP: 836205BJ2<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    6021000 | PA      | $6021000.00    | 0.04%             | 2055-12-11      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Central Parent LLC                                                    | Central Parent LLC, 1st Lien Term Loan                                                                        | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2765000 | PA      | $1728125.00    | 0.01%             | 2029-07-06      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| White Cap Supply Holdings LLC                                         | White Cap Supply Holdings LLC, 1st Lien Term Loan C                                                           | CUSIP: 96350TAH3<br>LEI: 254900L2N0T6GULCL366 | Long             | LON              | CORP              | US        |    2374938 | PA      | $2344752.04    | 0.01%             | 2029-10-19      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP                                                     | EMRLD Borrower LP, 1st Lien Term Loan                                                                         | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |    5554908 | PA      | $5528744.72    | 0.03%             | 2031-08-04      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Venator Materials LLC                                                 | Venator Materials LLC, 1st Lien Term Loan                                                                     | CUSIP: L9632YAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2373183 | PA      | $189854.67     | 0.00%             | 2028-10-12      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                   | Expand Energy Corp.                                                                                           | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    5996000 | PA      | $6087036.55    | 0.04%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                   | Expand Energy Corp.                                                                                           | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    1124000 | PA      | $1122145.21    | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Spectrum Brands, Inc.                                                 | Spectrum Brands, Inc.                                                                                         | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     783000 | PA      | $684189.08     | 0.00%             | 2031-03-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Block, Inc.                                                           | Block, Inc.                                                                                                   | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |   15122000 | PA      | $15556893.60   | 0.10%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Block, Inc.                                                           | Block, Inc.                                                                                                   | CUSIP: 852234AT0<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    3181000 | PA      | $3222706.09    | 0.02%             | 2030-08-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Block, Inc.                                                           | Block, Inc.                                                                                                   | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    1145000 | PA      | $1163532.97    | 0.01%             | 2033-08-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Standard Building Solutions, Inc.                                     | Standard Building Solutions, Inc.                                                                             | CUSIP: 853191AC8<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    4561000 | PA      | $4646071.77    | 0.03%             | 2033-08-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Standard Building Solutions, Inc.                                     | Standard Building Solutions, Inc.                                                                             | CUSIP: 853192AA0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    1782000 | PA      | $1777656.34    | 0.01%             | 2034-03-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Standard Industries, Inc.                                             | Standard Industries, Inc.                                                                                     | CUSIP: 853496AD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16089000 | PA      | $16038744.40   | 0.10%             | 2028-01-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Standard Industries, Inc.                                             | Standard Industries, Inc.                                                                                     | CUSIP: 853496AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8074000 | PA      | $7789309.95    | 0.05%             | 2030-07-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Ahead DB Holdings LLC                                                 | Ahead DB Holdings LLC, 1st Lien Term Loan B-3                                                                 | CUSIP: 00866HAH8<br>LEI: 254900L07WFL833JX193 | Long             | LON              | CORP              | US        |    5754572 | PA      | $5590911.95    | 0.03%             | 2031-02-03      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Stanwich Mortgage Loan Co. LLC                                        | Stanwich Mortgage Loan Co. LLC, Series 2021-NPB1, Class A2                                                    | CUSIP: 85501YAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5307317 | PA      | $5335383.76    | 0.03%             | 2026-10-16      | Variable      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Staples, Inc.                                                         | Staples, Inc.                                                                                                 | CUSIP: 855030AQ5<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |   11205000 | PA      | $10281306.19   | 0.06%             | 2029-09-01      | Fixed         | 10.75%                | Yes           |                  2 | On Loan: No      |
| Staples, Inc.                                                         | Staples, Inc.                                                                                                 | CUSIP: 855030AS1<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    2895297 | PA      | $2035252.21    | 0.01%             | 2030-01-15      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                   | Starwood Mortgage Residential Trust, Series 2020-INV1, Class B2                                               | CUSIP: 85573EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1013774.57    | 0.01%             | 2055-11-25      | Fixed         | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Republic of Montenegro                                                | Republic of Montenegro                                                                                        | CUSIP: 857305AA4<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |    5923000 | PA      | $6343177.62    | 0.04%             | 2031-03-12      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Station Casinos LLC                                                   | Station Casinos LLC                                                                                           | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    5745000 | PA      | $5721781.58    | 0.04%             | 2028-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Stifel SBA IO Trust                                                   | Stifel SBA Trust, Series 2025-2A, Class A1                                                                    | CUSIP: 86063EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  137590454 | PA      | $8322461.32    | 0.05%             | 2036-08-25      | Variable      | 2.56%                 | Yes           |                  2 | On Loan: No      |
| Jetblue Airways Corp.                                                 | Jetblue Airways Corp., 1st Lien Term Loan                                                                     | CUSIP: G5112TAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3725356 | PA      | $3588002.27    | 0.02%             | 2029-08-27      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                            | Street Capital Group, Inc.                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |    7327772 | PA      | $7327772.11    | 0.04%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STReAM 2008 BV                                                        | STReAM 2008 BV                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | NL        |    9450986 | PA      | $9687260.59    | 0.06%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                        | Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 1A1                                      | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1336771 | PA      | $1237617.10    | 0.01%             | 2037-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                        | Structured Asset Mortgage Investments II Trust, Series 2007-AR7, Class 1A1                                    | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12021697 | PA      | $10067683.35   | 0.06%             | 2047-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Subway Funding LLC                                                    | Subway Funding LLC, Series 2024-1A, Class A23                                                                 | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2545775 | PA      | $2636300.21    | 0.02%             | 2054-07-30      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| BCPE Pequod Buyer, Inc.                                               | BCPE Pequod Buyer, Inc., 1st Lien Term Loan                                                                   | CUSIP: 05624AAB8<br>LEI: 254900HEEOS2IWC84V94 | Long             | LON              | CORP              | US        |    4911351 | PA      | $4742547.72    | 0.03%             | 2031-11-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                            | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     740000 | PA      | $683347.44     | 0.00%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                             | Sunoco LP                                                                                                     | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    1930000 | PA      | $2001643.53    | 0.01%             | 2029-05-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                             | Sunoco LP                                                                                                     | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    2025000 | PA      | $2042408.42    | 0.01%             | 2031-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                             | Sunoco LP                                                                                                     | CUSIP: 86765KAM1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    1645000 | PA      | $1648841.08    | 0.01%             | 2031-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                             | Sunoco LP                                                                                                     | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1385000 | PA      | $1385621.87    | 0.01%             | 2027-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                             | Sunoco LP                                                                                                     | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4309000 | PA      | $4245601.68    | 0.03%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Suriname Government International Bond                                | Suriname Government International Bond                                                                        | CUSIP: 86886PAE2<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |    5560000 | PA      | $5725076.40    | 0.04%             | 2030-11-06      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Suriname Government International Bond                                | Suriname Government International Bond                                                                        | CUSIP: 86886PAF9<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |   11220000 | PA      | $11982960.00   | 0.07%             | 2035-11-06      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd.                                                     | Symphony CLO Ltd., Series 2016-18A, Class CR4                                                                 | CUSIP: 87154GFQ3<br>LEI: 549300JQYSBIW1AM8R32 | Long             | ABS-CBDO         | CORP              | KY        |   13180000 | PA      | $13200811.22   | 0.08%             | 2037-10-23      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd.                                                 | Symphony CLO Ltd., Series 2015-16A, Class B1RR                                                                | CUSIP: 87165VAZ2<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |    8224000 | PA      | $8229962.40    | 0.05%             | 2031-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XIX Ltd.                                                 | Symphony CLO Ltd., Series 2018-19A, Class C                                                                   | CUSIP: 87165YAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001363.00    | 0.01%             | 2031-04-16      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XXI Ltd.                                                 | Symphony CLO Ltd., Series 2019-21A, Class CR2                                                                 | CUSIP: 87166RGJ0<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |   13500000 | PA      | $13495774.50   | 0.08%             | 2032-07-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                                               | Symphony CLO Ltd., Series 2020-23A, Class CR2                                                                 | CUSIP: 87167NDQ5<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $7996368.00    | 0.05%             | 2034-01-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd.                                                     | Symphony CLO Ltd., Series 2021-29A, Class BR                                                                  | CUSIP: 87168GAQ2<br>LEI: 254900H6EAUOGL2U2U64 | Long             | ABS-CBDO         | CORP              | KY        |   14225000 | PA      | $14263933.83   | 0.09%             | 2035-10-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd.                                                     | Symphony CLO Ltd., Series 2022-32A, Class BR                                                                  | CUSIP: 87168NAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2415000 | PA      | $2419412.21    | 0.01%             | 2035-10-23      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| TPG Trust                                                             | TPG Trust, Series 2024-WLSC, Class A                                                                          | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $8590447.12    | 0.05%             | 2029-11-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                               | Talen Energy Supply LLC                                                                                       | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    9708000 | PA      | $9878808.77    | 0.06%             | 2034-02-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                          | Tallgrass Energy Partners LP                                                                                  | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2759000 | PA      | $2756311.08    | 0.02%             | 2028-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                          | Tallgrass Energy Partners LP                                                                                  | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5710000 | PA      | $5786519.71    | 0.04%             | 2030-12-31      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                          | Tallgrass Energy Partners LP                                                                                  | CUSIP: 87470LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2755000 | PA      | $2784288.41    | 0.02%             | 2031-09-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                          | Tallgrass Energy Partners LP                                                                                  | CUSIP: 87470LAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3587000 | PA      | $3686374.25    | 0.02%             | 2034-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Raven Acquisition Holdings LLC                                        | Raven Acquisition Holdings LLC, 1st Lien Term Loan                                                            | CUSIP: 75419XAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3038882 | PA      | $2891283.06    | 0.02%             | 2031-11-19      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Moran Foods LLC                                                       | Moran Foods LLC, 1st Lien Term Loan A                                                                         | CUSIP: 61647DAX0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2603802 | PA      | $2473612.11    | 0.02%             | 2029-01-02      | Variable      | 6.13%                 | No            |                  3 | On Loan: No      |
| Moran Foods LLC                                                       | Moran Foods LLC, 1st Lien Term Loan                                                                           | CUSIP: 61647DAY8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2454824 | PA      | $2332082.64    | 0.01%             | 2029-01-02      | Variable      | 12.13%                | No            |                  3 | On Loan: No      |
| TEGNA, Inc.                                                           | TEGNA, Inc.                                                                                                   | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    9552000 | PA      | $9542957.12    | 0.06%             | 2029-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Telecom Italia Capital SA                                             | Telecom Italia Capital SA                                                                                     | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      36000 | PA      | $41136.89      | 0.00%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Somnigroup International, Inc.                                        | Somnigroup International, Inc.                                                                                | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |   14175000 | PA      | $13775734.19   | 0.08%             | 2029-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                | Tenet Healthcare Corp.                                                                                        | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   28349000 | PA      | $28365505.64   | 0.17%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                | Tenet Healthcare Corp.                                                                                        | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    5745000 | PA      | $5737131.65    | 0.04%             | 2028-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                | Tenet Healthcare Corp.                                                                                        | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    5019000 | PA      | $5119098.94    | 0.03%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                | Tenet Healthcare Corp.                                                                                        | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    6311000 | PA      | $6552550.69    | 0.04%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                           | Terex Corp.                                                                                                   | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    4505000 | PA      | $4497550.53    | 0.03%             | 2029-05-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Terex Corp.                                                           | Terex Corp.                                                                                                   | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    3926000 | PA      | $4043261.77    | 0.02%             | 2032-10-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Termocandelaria Power SA                                              | Termocandelaria Power SA                                                                                      | CUSIP: 88087AAA6<br>LEI: 549300YDORW43JL6G659 | Long             | DBT              | CORP              | ES        |    3440000 | PA      | $3571167.20    | 0.02%             | 2031-09-17      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| MH Sub I LLC                                                          | MH Sub I LLC, 1st Lien Term Loan                                                                              | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    1966939 | PA      | $1332601.29    | 0.01%             | 2031-12-31      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| TopBuild Corp.                                                        | TopBuild Corp.                                                                                                | CUSIP: 89055FAD5<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |    2137000 | PA      | $2155275.28    | 0.01%             | 2034-01-31      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                                 | Toorak Mortgage Trust, Series 2024-2, Class A1                                                                | CUSIP: 89055KAA0<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |    9500000 | PA      | $9562506.20    | 0.06%             | 2031-10-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                           | Toronto-Dominion Bank (The)                                                                                   | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    5795000 | PA      | $6063140.45    | 0.04%             | 2082-10-31      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                            | iHeartCommunications, Inc., 1st Lien Term Loan B                                                              | CUSIP: 45174UAJ7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   10523426 | PA      | $9085189.10    | 0.06%             | 2029-05-01      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                                         | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     513120 | PA      | $508844.94     | 0.00%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2019-HY1, Class M2                                                          | CUSIP: 89177EAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6189141 | PA      | $6526715.94    | 0.04%             | 2048-10-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                                          | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30000000 | PA      | $25358910.00   | 0.16%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2026-FIX1, Class A1                                                         | CUSIP: 89183TAA6<br>LEI: 254900HMDJT9KG22DU68 | Long             | ABS-O            | CORP              | US        |    9768430 | PA      | $9831594.51    | 0.06%             | 2065-12-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2026-CES2, Class A1A                                                        | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18910000 | PA      | $18906066.72   | 0.12%             | 2066-02-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Wand NewCo 3, Inc.                                                    | Wand NewCo 3, Inc., 1st Lien Term Loan                                                                        | CUSIP: 93369PAM6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3966482 | PA      | $3941135.74    | 0.02%             | 2031-01-30      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Venator Materials LLC                                                 | Venator Materials LLC, 1st Lien Term Loan B                                                                   | CUSIP: L9632YAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1477951 | PA      | $1182361.13    | 0.01%             | 2026-07-16      | Variable      | 13.75%                | No            |                  2 | On Loan: No      |
| Transcanada Trust                                                     | Transcanada Trust                                                                                             | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    4594000 | PA      | $4643890.84    | 0.03%             | 2079-09-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Transcanada Trust                                                     | Transcanada Trust                                                                                             | CUSIP: 89356BAG3<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    9194000 | PA      | $9237864.57    | 0.06%             | 2082-03-07      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                       | TransDigm, Inc.                                                                                               | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   18982000 | PA      | $19497949.74   | 0.12%             | 2029-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                                       | TransDigm, Inc.                                                                                               | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    6852000 | PA      | $7098617.18    | 0.04%             | 2032-03-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                                       | TransDigm, Inc.                                                                                               | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    1175000 | PA      | $1215535.15    | 0.01%             | 2034-01-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Transocean International Ltd.                                         | Transocean International Ltd.                                                                                 | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |    1088500 | PA      | $1138843.77    | 0.01%             | 2030-02-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Transocean International Ltd.                                         | Transocean International Ltd.                                                                                 | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |    4160000 | PA      | $4331699.84    | 0.03%             | 2029-05-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| HUB International Ltd.                                                | HUB International Ltd., 1st Lien Term Loan                                                                    | CUSIP: 44332EAZ9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6098870 | PA      | $6025195.92    | 0.04%             | 2030-06-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                               | Quikrete Holdings, Inc., 1st Lien Term Loan B-3                                                               | CUSIP: 74839XAL3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6739075 | PA      | $6732201.14    | 0.04%             | 2032-02-10      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Triad Resources LLC                                                   | Triad Resources LLC                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   16871346 | PA      | $17461842.98   | 0.11%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| TriMas Corp.                                                          | TriMas Corp.                                                                                                  | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |    2612000 | PA      | $2521256.25    | 0.02%             | 2029-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Trinidad Generation UnLtd                                             | Trinidad Generation UnLtd                                                                                     | CUSIP: 89636DAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | TT        |    2090000 | PA      | $2199181.60    | 0.01%             | 2033-06-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Trinseo Luxco Finance SPV SARL                                        | Trinseo Luxco Finance SPV SARL                                                                                | CUSIP: 89668JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    9579906 | PA      | $383196.24     | 0.00%             | 2029-05-03      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Primo Brands Corp.                                                    | Primo Brands Corp., 1st Lien Term Loan                                                                        | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |    1910707 | PA      | $1908662.36    | 0.01%             | 2028-03-31      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                                      | TRTX Issuer Ltd., Series 2025-FL6, Class A                                                                    | CUSIP: 897764AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12950000 | PA      | $12979513.05   | 0.08%             | 2042-09-18      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                             | Republic of Turkiye (The)                                                                                     | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    6763000 | PA      | $7243173.00    | 0.04%             | 2034-05-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| TC Ziraat Bankasi A/S                                                 | TC Ziraat Bankasi A/S                                                                                         | CUSIP: 90015JAC6<br>LEI: 213800K5KTZFSUS8MR51 | Long             | DBT              | CORP              | TR        |    7620000 | PA      | $7753350.00    | 0.05%             | 2030-11-05      | Variable      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class F                                                              | CUSIP: 90137LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $540000.00     | 0.00%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Coherent Corp.                                                        | Coherent Corp.                                                                                                | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |   12944000 | PA      | $12950976.82   | 0.08%             | 2029-12-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                  | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1858000 | PA      | $2172917.99    | 0.01%             | 2033-11-13      | Variable      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                  | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10690000 | PA      | $11652857.17   | 0.07%             | 2028-11-13      | Variable      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2017-C2, Class C                                                        | CUSIP: 90276CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7250000 | PA      | $6937865.75    | 0.04%             | 2050-08-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2017-C1, Class C                                                        | CUSIP: 90276EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5330000 | PA      | $5023331.52    | 0.03%             | 2050-06-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2018-C10, Class D                                                       | CUSIP: 90276FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4340000 | PA      | $3554031.21    | 0.02%             | 2051-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2017-C3, Class AS                                                       | CUSIP: 90276GAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3923150.40    | 0.02%             | 2050-08-15      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2017-C5, Class AS                                                       | CUSIP: 90276TAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8470998 | PA      | $8253816.86    | 0.05%             | 2050-11-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2017-C6, Class C                                                        | CUSIP: 90276UBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1010000 | PA      | $844332.33     | 0.01%             | 2050-12-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2018-C11, Class XB                                                      | CUSIP: 90276XAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  100000000 | PA      | $649240.00     | 0.00%             | 2051-06-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2018-C11, Class AS                                                      | CUSIP: 90276XAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8678528 | PA      | $8585461.20    | 0.05%             | 2051-06-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2018-C11, Class B                                                       | CUSIP: 90276XAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2385955.25    | 0.01%             | 2051-06-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| US Foods, Inc.                                                        | US Foods, Inc.                                                                                                | CUSIP: 90290MAD3<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2439692.85    | 0.01%             | 2029-02-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| US Foods, Inc.                                                        | US Foods, Inc.                                                                                                | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    2558000 | PA      | $2532575.78    | 0.02%             | 2030-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| US Foods, Inc.                                                        | US Foods, Inc.                                                                                                | CUSIP: 90290MAG6<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    1598000 | PA      | $1647605.12    | 0.01%             | 2028-09-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                         | UBS Commercial Mortgage Trust, Series 2018-C9, Class B                                                        | CUSIP: 90291JBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5490000 | PA      | $4204226.63    | 0.03%             | 2051-03-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Sunrise FinCo. I BV                                                   | Sunrise FinCo. I BV                                                                                           | CUSIP: 90320BAA7<br>LEI: 213800MNFBDEQRS6HZ22 | Long             | DBT              | CORP              | NL        |    3485000 | PA      | $3322264.09    | 0.02%             | 2031-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding                                                       | US Auto Funding, Series 2021-1A, Class C                                                                      | CUSIP: 90355EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1567987 | PA      | $1240111.86    | 0.01%             | 2026-05-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding                                                       | US Auto Funding, Series 2021-1A, Class D                                                                      | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10392000 | PA      | $103.92        | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd.                                            | AAdvantage Loyalty IP Ltd., 1st Lien Term Loan                                                                | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    2436296 | PA      | $2431057.55    | 0.01%             | 2028-04-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                 | Clydesdale Acquisition Holdings, Inc., 1st Lien Term Loan B                                                   | CUSIP: 18972FAE2<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |    4822025 | PA      | $4768645.08    | 0.03%             | 2032-04-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| 1261229 BC Ltd.                                                       | 1261229 BC Ltd., 1st Lien Term Loan                                                                           | CUSIP: C6903HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    4512325 | PA      | $4389499.51    | 0.03%             | 2030-10-08      | Variable      | 9.92%                 | No            |                  2 | On Loan: No      |
| United Airlines Holdings, Inc.                                        | United Airlines Holdings, Inc.                                                                                | CUSIP: 910047AM1<br>LEI: 98450079DA0B78DD6764 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2427383.81    | 0.01%             | 2029-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                    | United Rentals North America, Inc.                                                                            | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |   10050000 | PA      | $10044155.93   | 0.06%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                    | United Rentals North America, Inc.                                                                            | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    3505000 | PA      | $3671774.91    | 0.02%             | 2034-03-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                    | United Rentals North America, Inc.                                                                            | CUSIP: 911365BS2<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    2569000 | PA      | $2589946.65    | 0.02%             | 2033-11-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue | Regents of the University of California, Medical Center Pooled, Series 2009F                                  | CUSIP: 913366DF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     255000 | PA      | $278662.34     | 0.00%             | 2049-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| University of California                                              | University of California, Taxable Limited Project, Series 2015J                                               | CUSIP: 91412GXY6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     100000 | PA      | $93270.54      | 0.00%             | 2045-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Univision Communications, Inc.                                        | Univision Communications, Inc.                                                                                | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    1675000 | PA      | $1675032.19    | 0.01%             | 2030-06-30      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Univision Communications, Inc.                                        | Univision Communications, Inc.                                                                                | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |   13404000 | PA      | $13768629.01   | 0.08%             | 2028-08-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Univision Communications, Inc.                                        | Univision Communications, Inc.                                                                                | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    1948000 | PA      | $2061308.03    | 0.01%             | 2032-08-01      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-ST4, Class CERT                                                       | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1875000 | PA      | $85912.50      | 0.00%             | 2027-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Upstart Securitization Trust                                          | Upstart Securitization Trust, Series 2021-5, Class C                                                          | CUSIP: 91679JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1596549 | PA      | $1595413.55    | 0.01%             | 2031-11-20      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2022-PT2, Class A                                                          | CUSIP: 91679YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     580472 | PA      | $580472.02     | 0.00%             | 2030-02-20      | Variable      | 21.38%                | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-PT3, Class A                                                          | CUSIP: 91680JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     495380 | PA      | $442373.80     | 0.00%             | 2029-12-20      | Variable      | 21.56%                | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2022-PT1, Class A                                                          | CUSIP: 91680KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     588423 | PA      | $588422.84     | 0.00%             | 2030-02-20      | Variable      | 25.34%                | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-ST6, Class CERT                                                       | CUSIP: 91680VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $190965.00     | 0.00%             | 2027-08-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2022-PT3, Class A                                                          | CUSIP: 91681DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     530118 | PA      | $525567.34     | 0.00%             | 2030-04-20      | Variable      | 21.17%                | Yes           |                  3 | On Loan: No      |
| Upstart Securitization Trust                                          | Upstart Securitization Trust, Series 2021-4, Class C                                                          | CUSIP: 91682NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     358816 | PA      | $358122.08     | 0.00%             | 2031-09-20      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-PT1, Class A                                                          | CUSIP: 91682VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     198709 | PA      | $182909.56     | 0.00%             | 2027-09-20      | Variable      | 24.70%                | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-PT4, Class A                                                          | CUSIP: 91683GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     188866 | PA      | $175478.44     | 0.00%             | 2030-01-20      | Variable      | 20.47%                | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-ST7, Class CERT                                                       | CUSIP: 91683KAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $247555.00     | 0.00%             | 2029-09-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-ST8, Class CERT                                                       | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2670000 | PA      | $246574.50     | 0.00%             | 2029-10-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-ST9, Class CERT                                                       | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2830000 | PA      | $372201.60     | 0.00%             | 2029-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-PT2, Class A                                                          | CUSIP: 91683PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     417157 | PA      | $407776.02     | 0.00%             | 2029-11-20      | Variable      | 20.97%                | Yes           |                  3 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2022-PT4, Class A                                                          | CUSIP: 91683RAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     554109 | PA      | $554109.22     | 0.00%             | 2030-05-20      | Variable      | 18.92%                | Yes           |                  3 | On Loan: No      |
| Uzbekneftegaz JSC                                                     | Uzbekneftegaz JSC                                                                                             | CUSIP: 91825MAB9<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | NUSS              | UZ        |    2500000 | PA      | $2448050.00    | 0.01%             | 2028-11-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| vMobo, Inc.                                                           | vMobo, Inc.                                                                                                   | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9995881 | PA      | $9566258.23    | 0.06%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| vMobo, Inc.                                                           | vMobo, Inc.                                                                                                   | CUSIP: 91834VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $19450800.00   | 0.12%             | 2027-07-18      | Fixed         | 9.46%                 | No            |                  3 | On Loan: No      |
| VZ Secured Financing BV                                               | VZ Secured Financing BV                                                                                       | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |    1738000 | PA      | $1544533.83    | 0.01%             | 2032-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Vail Resorts, Inc.                                                    | Vail Resorts, Inc.                                                                                            | CUSIP: 91879QAP4<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |    9372000 | PA      | $9706486.68    | 0.06%             | 2032-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Vallourec SACA                                                        | Vallourec SACA                                                                                                | CUSIP: 92023RAA8<br>LEI: 969500P2Q1B47H4MCJ34 | Long             | DBT              | CORP              | FR        |    1800000 | PA      | $1911119.40    | 0.01%             | 2032-04-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2022-3, Class A                                                | CUSIP: 92257BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3764245 | PA      | $3743859.66    | 0.02%             | 2052-06-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2019-1, Class A                                                | CUSIP: 92257CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     851020 | PA      | $826083.33     | 0.01%             | 2049-03-25      | Variable      | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2019-1, Class M1                                               | CUSIP: 92257CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1948192 | PA      | $1854818.10    | 0.01%             | 2049-03-25      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2019-3, Class A                                                | CUSIP: 92257HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1625295 | PA      | $1592024.58    | 0.01%             | 2049-10-25      | Variable      | 3.03%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2018-2, Class A                                                | CUSIP: 92259BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     655254 | PA      | $644443.47     | 0.00%             | 2048-10-26      | Variable      | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2018-2, Class M2                                               | CUSIP: 92259BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75761 | PA      | $72945.41      | 0.00%             | 2048-10-26      | Variable      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2018-2, Class M3                                               | CUSIP: 92259BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139678 | PA      | $131503.59     | 0.00%             | 2048-10-26      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2022-4, Class A                                                | CUSIP: 92259KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3659243 | PA      | $3693104.51    | 0.02%             | 2052-08-25      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M1                                               | CUSIP: 92259TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2104921 | PA      | $1771928.05    | 0.01%             | 2051-05-25      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M2                                               | CUSIP: 92259TAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1653412 | PA      | $1358816.31    | 0.01%             | 2051-05-25      | Variable      | 2.26%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust, Series 2022-2, Class A                                                | CUSIP: 92259UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2254208 | PA      | $2202197.75    | 0.01%             | 2052-04-25      | Variable      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                    | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    8629000 | PA      | $9081323.55    | 0.06%             | 2034-01-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                    | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    3193000 | PA      | $3401218.72    | 0.02%             | 2036-01-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                    | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    2738000 | PA      | $2844256.30    | 0.02%             | 2030-12-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                    | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    1928000 | PA      | $2024324.81    | 0.01%             | 2034-06-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                     | Venture Global Calcasieu Pass LLC                                                                             | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    2665000 | PA      | $2499557.92    | 0.02%             | 2031-08-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                     | Venture Global Calcasieu Pass LLC                                                                             | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    4840000 | PA      | $4307689.54    | 0.03%             | 2033-11-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                              | Venture Global LNG, Inc.                                                                                      | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    5884000 | PA      | $6037484.14    | 0.04%             | 2028-06-01      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                              | Venture Global LNG, Inc.                                                                                      | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    4153000 | PA      | $4454312.61    | 0.03%             | 2029-02-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                              | Venture Global LNG, Inc.                                                                                      | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   15685000 | PA      | $16617300.72   | 0.10%             | 2032-02-01      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Asurion LLC                                                           | Asurion LLC, 1st Lien Term Loan B-13                                                                          | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    2533104 | PA      | $2524871.57    | 0.02%             | 2030-09-19      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust, Series 2023-2, Class A1                                                           | CUSIP: 92539DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4152356 | PA      | $4140748.55    | 0.03%             | 2068-03-25      | Variable      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust, Series 2023-4, Class A1                                                           | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |    3576379 | PA      | $3574102.97    | 0.02%             | 2068-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Paramount Global                                                      | Paramount Global                                                                                              | CUSIP: 92553PBC5<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     524000 | PA      | $406257.20     | 0.00%             | 2057-02-28      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                   | Viking Cruises Ltd.                                                                                           | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    8599000 | PA      | $8772355.84    | 0.05%             | 2033-10-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Expand Energy Corp.                                                   | Expand Energy Corp.                                                                                           | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   15892000 | PA      | $15938238.41   | 0.10%             | 2029-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Virgin Media Secured Finance plc                                      | Virgin Media Secured Finance plc                                                                              | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    2750000 | PA      | $2669781.68    | 0.02%             | 2029-05-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Visio Trust                                                           | Visio Trust, Series 2019-2, Class B1                                                                          | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820000 | PA      | $778635.59     | 0.00%             | 2054-11-25      | Variable      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    4778000 | PA      | $4776340.60    | 0.03%             | 2027-02-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   14571000 | PA      | $14549988.62   | 0.09%             | 2027-07-31      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2616000 | PA      | $2588124.69    | 0.02%             | 2029-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2435000 | PA      | $2573210.60    | 0.02%             | 2031-10-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                     | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2946000 | PA      | $3099250.92    | 0.02%             | 2032-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| VistaJet Pass Through Trust                                           | VistaJet Pass Through Trust, Series 2021-1C                                                                   | CUSIP: 92841QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20597500 | PA      | $20841705.24   | 0.13%             | 2031-08-15      | Fixed         | 9.50%                 | Yes           |                  3 | On Loan: No      |
| Vodafone Group plc                                                    | Vodafone Group plc                                                                                            | CUSIP: 92857WBQ2<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    3300000 | PA      | $3493974.00    | 0.02%             | 2079-04-04      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                          | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                                      | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     237695 | PA      | $237780.81     | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| VoltaGrid LLC                                                         | VoltaGrid LLC                                                                                                 | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |    2607000 | PA      | $2722206.46    | 0.02%             | 2030-11-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                       | WFRBS Commercial Mortgage Trust, Series 2014-C22, Class D                                                     | CUSIP: 92890KAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1440000 | PA      | $543816.00     | 0.00%             | 2057-09-15      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                         | Voya CLO Ltd., Series 2019-4A, Class BR                                                                       | CUSIP: 92918BAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $8023400.00    | 0.05%             | 2035-01-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2003-S4, Class 2A2                                            | CUSIP: 9292274U7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20950 | PA      | $21264.15      | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                                       | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54092 | PA      | $53337.57      | 0.00%             | 2033-08-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR7, Class A3                                      | CUSIP: 92922FQ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37087 | PA      | $38753.55      | 0.00%             | 2035-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                                      | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34016 | PA      | $33758.03      | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                       | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class D                                                     | CUSIP: 92939FAE9<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    6152500 | PA      | $5570535.03    | 0.03%             | 2047-08-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| WR Grace Holdings LLC                                                 | WR Grace Holdings LLC                                                                                         | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    3651000 | PA      | $3497426.16    | 0.02%             | 2029-08-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| WR Grace Holdings LLC                                                 | WR Grace Holdings LLC                                                                                         | CUSIP: 92943GAF8<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    4294000 | PA      | $4343926.34    | 0.03%             | 2032-08-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| WR Grace Holdings LLC                                                 | WR Grace Holdings LLC                                                                                         | CUSIP: 92943GAH4<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $1023240.75    | 0.01%             | 2033-08-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                       | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                      | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6362000 | PA      | $6601995.63    | 0.04%             | 2040-07-15      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Wand NewCo 3, Inc.                                                    | Wand NewCo 3, Inc.                                                                                            | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |    3273000 | PA      | $3415246.94    | 0.02%             | 2032-01-30      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| First Advantage Holdings LLC                                          | First Advantage Holdings LLC, 1st Lien Term Loan B-3                                                          | CUSIP: 78477MAH4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4303395 | PA      | $4111894.22    | 0.03%             | 2031-10-31      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| SPX FLOW, Inc.                                                        | SPX FLOW, Inc., 1st Lien Term Loan                                                                            | CUSIP: 78470DAW8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3200000 | PA      | $3198560.00    | 0.02%             | 2029-04-05      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| Vertiv Group Corp.                                                    | Vertiv Group Corp., 1st Lien Term Loan B-4                                                                    | CUSIP: 92537EAG3<br>LEI: 549300ZT8RQ5VK10E643 | Long             | LON              | CORP              | US        |    2375028 | PA      | $2375027.69    | 0.01%             | 2032-08-12      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| First Student Bidco, Inc.                                             | First Student Bidco, Inc., 1st Lien Term Loan B                                                               | CUSIP: 33718FAN0<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |    3346588 | PA      | $3340329.99    | 0.02%             | 2030-08-15      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| First Student Bidco, Inc.                                             | First Student Bidco, Inc., 1st Lien Term Loan C                                                               | CUSIP: 33718FAP5<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |     612342 | PA      | $611197.22     | 0.00%             | 2030-08-15      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR8, Class 2A                   | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1878375 | PA      | $1680819.59    | 0.01%             | 2046-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                           | Terex Corp., 1st Lien Term Loan                                                                               | CUSIP: 88078FBQ0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2779035 | PA      | $2779035.00    | 0.02%             | 2031-10-08      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Washington State Housing Finance Commission                           | Washington State Housing Finance Commission, Series 2021-1, Class X                                           | CUSIP: 93978TS67<br>LEI: 549300YL1HU59NREG764 | Long             | ABS-MBS          | MUN               | US        |   86919682 | PA      | $3221530.26    | 0.02%             | 2035-12-20      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| PetSmart LLC                                                          | PetSmart LLC, 1st Lien Term Loan                                                                              | CUSIP: 71677HAN5<br>LEI: 894500NGJMHSFNESGA67 | Long             | LON              | CORP              | US        |    6292208 | PA      | $6250239.07    | 0.04%             | 2032-08-18      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Icon Parent I, Inc.                                                   | Icon Parent I, Inc., 1st Lien Term Loan                                                                       | CUSIP: 45115DAC2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6204157 | PA      | $5861625.82    | 0.04%             | 2031-11-13      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Wayfair LLC                                                           | Wayfair LLC                                                                                                   | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    1604000 | PA      | $1657640.97    | 0.01%             | 2029-10-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Wayfair LLC                                                           | Wayfair LLC                                                                                                   | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    4093000 | PA      | $4304240.26    | 0.03%             | 2030-09-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Varsity Brands, Inc.                                                  | Varsity Brands, Inc., 1st Lien Term Loan                                                                      | CUSIP: 92227QAG1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8087310 | PA      | $8062077.58    | 0.05%             | 2031-08-26      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co., Series BB                                                                                  | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11439000 | PA      | $11427339.20   | 0.07%             | 2026-03-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class D                                              | CUSIP: 94989AAA3<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    4952000 | PA      | $4741490.48    | 0.03%             | 2047-12-15      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2015-C27, Class C                                               | CUSIP: 94989DBC2<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-MBS          | CORP              | US        |    2110397 | PA      | $1857782.66    | 0.01%             | 2048-02-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class E                                              | CUSIP: 94989HBR0<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |    9230000 | PA      | $8240544.00    | 0.05%             | 2048-05-15      | Variable      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class D                                               | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    1077173 | PA      | $1044211.45    | 0.01%             | 2048-06-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class D                                              | CUSIP: 94989MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2225750 | PA      | $1513148.09    | 0.01%             | 2058-07-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class D                                              | CUSIP: 94989TBH6<br>LEI: 549300XO83D3BDYP0P62 | Long             | ABS-MBS          | CORP              | US        |    2106986 | PA      | $1875217.54    | 0.01%             | 2058-09-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2016-C32, Class D                                               | CUSIP: 94989YAJ2<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |     718237 | PA      | $703800.89     | 0.00%             | 2059-01-15      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class D                                               | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $649171.35     | 0.00%             | 2050-03-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5                                              | CUSIP: 95000XAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3949681.60    | 0.02%             | 2050-09-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class D                                               | CUSIP: 95001JAC1<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $922592.88     | 0.01%             | 2051-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class XB                                              | CUSIP: 95001JAZ0<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |   70000000 | PA      | $281386.00     | 0.00%             | 2051-05-15      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class D                                               | CUSIP: 95001MAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $3583035.90    | 0.02%             | 2050-07-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class D                                               | CUSIP: 95001QAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2890000 | PA      | $2469815.96    | 0.02%             | 2051-08-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class D                                               | CUSIP: 95002EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $3085068.15    | 0.02%             | 2053-02-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class E                                               | CUSIP: 95002EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6850000 | PA      | $4163055.99    | 0.03%             | 2053-02-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA                                              | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13600038 | PA      | $569356.07     | 0.00%             | 2052-08-15      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                             | CUSIP: 95002YAC7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   17893000 | PA      | $18870816.66   | 0.12%             | 2029-09-15      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class D                                               | CUSIP: 95003CBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $1896981.25    | 0.01%             | 2054-04-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2022-C62, Class C                                               | CUSIP: 95003MBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2161809.00    | 0.01%             | 2055-04-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class A                                              | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4033278.40    | 0.02%             | 2035-07-15      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class B                                              | CUSIP: 95003PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1512775.95    | 0.01%             | 2035-07-15      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2024-5C1, Class A3                                              | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3687055.75    | 0.02%             | 2057-07-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Dayforce Bidco LLC                                                    | Dayforce Bidco LLC, 1st Lien Term Loan                                                                        | CUSIP: 23923YAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4738532 | PA      | $4356085.18    | 0.03%             | 2033-02-04      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                              | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    6396000 | PA      | $6442658.82    | 0.04%             | 2028-06-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                              | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAQ7<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    5694000 | PA      | $5853597.13    | 0.04%             | 2029-03-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                              | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAR5<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    3355000 | PA      | $3490102.50    | 0.02%             | 2032-03-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                              | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    1771000 | PA      | $1846481.79    | 0.01%             | 2033-03-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| WESCO Distribution, Inc.                                              | WESCO Distribution, Inc.                                                                                      | CUSIP: 95081QAT1<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    1427000 | PA      | $1424474.21    | 0.01%             | 2031-04-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Elanco Animal Health, Inc.                                            | Elanco Animal Health, Inc., 1st Lien Term Loan B                                                              | CUSIP: 28414BAJ5<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |     574317 | PA      | $574196.09     | 0.00%             | 2032-10-29      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| QXO Building Products, Inc.                                           | QXO Building Products, Inc., 1st Lien Term Loan B                                                             | CUSIP: 07368RAM3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     848111 | PA      | $847356.29     | 0.01%             | 2032-04-30      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                       | Western Funding Auto Loan Trust, Series 2025-1, Class A                                                       | CUSIP: 958250AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15500000 | PA      | $15685869.80   | 0.10%             | 2035-07-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                       | Western Funding Auto Loan Trust, Series 2025-1, Class D                                                       | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3205000 | PA      | $3280918.44    | 0.02%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2023-3A, Class D                                                | CUSIP: 96041CAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3795000 | PA      | $3889760.77    | 0.02%             | 2029-03-15      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2023-1A, Class D                                                | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     438000 | PA      | $447223.93     | 0.00%             | 2028-11-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2024-3A, Class D                                                | CUSIP: 96043CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19900000 | PA      | $20234373.73   | 0.12%             | 2030-04-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2024-1A, Class D                                                | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2304000 | PA      | $2364142.92    | 0.01%             | 2029-10-15      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| AWS Claire's LLC                                                      | AWS Claire's LLC, 1st Lien Term Loan                                                                          | CUSIP: 05455VAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       1075 | PA      | $1074.63       | 0.00%             | 2030-09-18      | Variable      | 10.00%                | No            |                  3 | On Loan: No      |
| Williams Scotsman, Inc.                                               | Williams Scotsman, Inc.                                                                                       | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |     945000 | PA      | $979064.42     | 0.01%             | 2030-04-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| LSF12 Crown US Commercial Bidco LLC                                   | LSF12 Crown US Commercial Bidco LLC, 1st Lien Term Loan                                                       | CUSIP: 50221UAE1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4985871 | PA      | $4980884.65    | 0.03%             | 2031-12-02      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Graham Packaging Co., Inc.                                            | Graham Packaging Co., Inc., 1st Lien Term Loan                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1633333 | PA      | $1629331.66    | 0.01%             | 2033-01-26      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| LSF12 Helix Parent LLC                                                | LSF12 Helix Parent LLC, 1st Lien Term Loan B                                                                  | CUSIP: 54913EAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1624151 | PA      | $1622218.37    | 0.01%             | 2033-02-10      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                                               | Belron Finance 2019 LLC, 1st Lien Term Loan B                                                                 | CUSIP: 08078UAQ6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1826005 | PA      | $1825237.75    | 0.01%             | 2031-10-16      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Petco Health & Wellness Co., Inc.                                     | Petco Health & Wellness Co., Inc., 1st Lien Term Loan                                                         | CUSIP: 71601HAG1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4264024 | PA      | $4088133.44    | 0.03%             | 2031-02-03      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| WULF Compute LLC                                                      | WULF Compute LLC                                                                                              | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8825000 | PA      | $9345798.55    | 0.06%             | 2030-10-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Wynn Las Vegas LLC                                                    | Wynn Las Vegas LLC                                                                                            | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     695000 | PA      | $696954.34     | 0.00%             | 2027-05-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC                                              | Wynn Resorts Finance LLC                                                                                      | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   20330000 | PA      | $20446002.98   | 0.13%             | 2029-10-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC                                              | Wynn Resorts Finance LLC                                                                                      | CUSIP: 983133AD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2737000 | PA      | $2795128.41    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| XPO, Inc.                                                             | XPO, Inc.                                                                                                     | CUSIP: 98379KAA0<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |    3375000 | PA      | $3429259.88    | 0.02%             | 2028-06-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Xerox Corp.                                                           | Xerox Corp.                                                                                                   | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    1775000 | PA      | $1278000.00    | 0.01%             | 2030-10-15      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                  | Xerox Holdings Corp.                                                                                          | CUSIP: 98421MAB2<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |    4240000 | PA      | $1610776.00    | 0.01%             | 2028-08-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                  | Xerox Holdings Corp.                                                                                          | CUSIP: 98421MAC0<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |    3105000 | PA      | $885847.19     | 0.01%             | 2029-11-30      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Yinson Boronia Production BV                                          | Yinson Boronia Production BV                                                                                  | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |    2192585 | PA      | $2411602.56    | 0.01%             | 2042-07-31      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Yinson Bergenia Production BV                                         | Yinson Bergenia Production BV                                                                                 | CUSIP: 98585VAA6<br>LEI: 549300JDIAWKPMZD5256 | Long             | DBT              | CORP              | NL        |    3318272 | PA      | $3530226.73    | 0.02%             | 2045-01-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                                        | ZF North America Capital, Inc.                                                                                | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    4961000 | PA      | $5011060.95    | 0.03%             | 2030-04-23      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Zambia                                                    | Republic of Zambia                                                                                            | CUSIP: 988895AQ1<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |    1555532 | PA      | $1512754.87    | 0.01%             | 2033-06-30      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Ziggo BV                                                              | Ziggo BV                                                                                                      | CUSIP: 98955DAA8<br>LEI: 213800TQASLF9JXH5J59 | Long             | DBT              | CORP              | NL        |    2750000 | PA      | $2591250.75    | 0.02%             | 2030-01-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FGI Operating Co. LLC                                                 | FGI Operating Co. LLC, 1st Lien Term Loan                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      37418 | PA      | $374.18        | 0.00%             | 2026-12-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Moran Foods LLC                                                       | Moran Foods LLC, 1st Lien Super Senior Delayed Draw Term Loan                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    9241509 | PA      | $8779433.69    | 0.05%             | 2026-06-30      | Variable      | 15.23%                | No            |                  3 | On Loan: No      |
| Venator Materials LLC                                                 | Venator Materials LLC, 1st Lien Term Loan                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1480863 | PA      | $1184690.20    | 0.01%             | 2026-03-16      | Variable      | 13.89%                | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                   | Medline Borrower LP, 1st Lien Term Loan                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1239293 | PA      | $1240631.21    | 0.01%             | 2028-10-23      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Upstart Frn                                                           | Upstart Frn                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   14000000 | PA      | $13982500.00   | 0.09%             | 2027-09-15      | Floating      | 6.80%                 | No            |                  3 | On Loan: No      |
| Ista Jet Seri                                                         | Ista Jet Seri                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $15000000.00   | 0.09%             | 2032-04-05      | Fixed         | 6.97%                 | No            |                  3 | On Loan: No      |
| Mpire                                                                 | Mpire                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    8994010 | PA      | $9019463.05    | 0.06%             | 2030-09-13      | Floating      | 8.29%                 | No            |                  3 | On Loan: No      |
| Mpire                                                                 | Mpire                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    3747504 | PA      | $3758109.44    | 0.02%             | 2030-09-19      | Fixed         | 11.16%                | No            |                  3 | On Loan: No      |
| BAML Funding Ltd.                                                     | BAML Funding Ltd.                                                                                             | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | DBT              | CORP              | GB        |    4476900 | PA      | $4471303.88    | 0.03%             | 2029-10-26      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| P4 SFR                                                                | P4 SFR                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    5921916 | PA      | $5885792.32    | 0.04%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Camden                                                                | Camden                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   18283996 | PA      | $18066416.61   | 0.11%             | 2031-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Areit Frn                                                             | Areit Frn                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   29000000 | PA      | $28770900.00   | 0.18%             | 2026-10-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tucielo 2025-assiciation Condu                                        | Tucielo 2025-assiciation Condu                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $200000.00     | 0.00%             | 2033-08-09      | Fixed         | 10.51%                | No            |                  3 | On Loan: No      |
| Tucielo 2025-assiciation Condu                                        | Tucielo 2025-assiciation Condu                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $200000.00     | 0.00%             | 2033-08-09      | Fixed         | 8.01%                 | No            |                  3 | On Loan: No      |
| Gemini Corp.                                                          | Gemini Corp.                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   11500000 | PA      | $11500000.00   | 0.07%             | 2029-02-20      | Fixed         | 10.50%                | No            |                  3 | On Loan: No      |
| ICITII                                                                | ICITII                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    1779182 | PA      | $796806.49     | 0.00%             | 2033-01-31      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Oneslt                                                                | Oneslt                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    9919346 | PA      | $9919345.76    | 0.06%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| New Evhc Physical Equity                                              | New Evhc Physical Equity                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        982 | NS      | $15098.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mallinckrodt plc                                                      | Mallinckrodt plc                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      64590 | NS      | $6476794.55    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                 | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |    5559477 | PA      | $5559477.00    | 0.03%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| P2                                                                    | P2                                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   25000000 | PA      | $25000000.00   | 0.15%             | 2031-12-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FTF Funding LLC                                                       | FTF Funding LLC                                                                                               | CUSIP: N/A<br>LEI: 549300881VLD4ANNI662       | Long             | ABS-MBS          | CORP              | US        |    2433528 | PA      | $1764307.74    | 0.01%             | 2026-08-15      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Altice France Sa                                                      | Altice France Sa                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | FR        |      32531 | NS      | $634583.34     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Keenova Therapeutics plc                                              | Keenova Therapeutics plc                                                                                      | CUSIP: N/A<br>LEI: 549300LMDE3RUP8Z3L60       | Long             | EC               | CORP              | IE        | 2942978760 | NS      | $2942.98       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Mallinckrodt plc                                                      | Mallinckrodt plc                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      36870 | NS      | $3697157.69    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| Mallinckrodt plc                                                      | Mallinckrodt plc                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        | 1679944680 | NS      | $1679.94       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Escrow Rite Aid                                                       | Escrow Rite Aid                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    1155153 | PA      | $0.01          | 0.00%             | 2049-12-31      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HCFT                                                                  | HCFT                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    7329843 | PA      | $7280733.05    | 0.04%             | 2027-01-13      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| Grene Energy Senio                                                    | Grene Energy Senio                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |     286428 | PA      | $232407.44     | 0.00%             | 2027-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| G Mitt Frn                                                            | G Mitt Frn                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    5026375 | PA      | $5026375.01    | 0.03%             | 2026-12-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Incora Intermediate LLC                                               | Incora Intermediate LLC                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      80995 | NS      | $906334.05     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Grene 2023-Senior                                                     | Grene 2023-Senior                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    3328663 | PA      | $3415873.64    | 0.02%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                 | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |    5079987 | PA      | $5079987.00    | 0.03%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Ygrene Frn                                                            | Ygrene Frn                                                                                                    | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |    6023729 | PA      | $6053847.65    | 0.04%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Acrc                                                                  | Acrc                                                                                                          | CUSIP: N/A<br>LEI: 549300VGHLH24T0B8529       | Long             | DBT              | CORP              | GB        |   21000000 | PA      | $20554800.01   | 0.13%             | 2026-11-15      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| Nautical Solutions                                                    | Nautical Solutions                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   20959088 | PA      | $21299673.64   | 0.13%             | 2031-08-01      | Fixed         | 9.20%                 | No            |                  3 | On Loan: No      |
| Repo Buyer RRI Trust                                                  | Repo Buyer RRI Trust                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    3841621 | PA      | $3351814.46    | 0.02%             | 2055-04-14      | Fixed         | 3.06%                 | No            |                  3 | On Loan: No      |
| Republic of Iraq                                                      | Republic of Iraq                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | IQ        |    3850000 | PA      | $3830750.00    | 0.02%             | 2028-01-15      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Telecom Italia Capital SA                                             | Telecom Italia Capital SA                                                                                     | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     997000 | PA      | $1139263.32    | 0.01%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Republic of El Salvador                                               | Republic of El Salvador                                                                                       | CUSIP: N/A<br>LEI: 529900AKDMUSFSDOM949       | Long             | DBT              | NUSS              | SV        |    2900000 | PA      | $2898762.86    | 0.02%             | 2041-02-01      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Instituto Costarricense de Electricidad                               | Instituto Costarricense de Electricidad                                                                       | CUSIP: N/A<br>LEI: 5493009VA6AFUB2Q0289       | Long             | DBT              | NUSS              | CR        |     240000 | PA      | $239760.00     | 0.00%             | 2043-05-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Peru LNG Srl                                                          | Peru LNG Srl                                                                                                  | CUSIP: N/A<br>LEI: 254900F70J1LOALV5K70       | Long             | DBT              | CORP              | PE        |    9376250 | PA      | $9111293.11    | 0.06%             | 2030-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    2300000 | PA      | $2196500.00    | 0.01%             | 2047-01-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                              | Republic of South Africa                                                                                      | CUSIP: 836205AV6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    5100000 | PA      | $3978000.00    | 0.02%             | 2046-10-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                           | Hashemite Kingdom of Jordan                                                                                   | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    9200000 | PA      | $9089600.00    | 0.06%             | 2047-10-10      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Eskom Holdings                                                        | Eskom Holdings                                                                                                | CUSIP: N/A<br>LEI: 3789001900ED06F65111       | Long             | DBT              | CORP              | ZA        |    5400000 | PA      | $5789826.00    | 0.04%             | 2028-08-10      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                           | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |   16000000 | PA      | $16495040.00   | 0.10%             | 2030-02-23      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Millicom International Cellular SA                                    | Millicom International Cellular SA                                                                            | CUSIP: N/A<br>LEI: 549300CTHC1CP86P2G96       | Long             | DBT              | CORP              | LU        |    1530000 | PA      | $1521891.00    | 0.01%             | 2028-01-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                           | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    4700000 | PA      | $4692668.00    | 0.03%             | 2038-02-23      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Telenet Finance Luxembourg Notes SARL                                 | Telenet Finance Luxembourg Notes SARL                                                                         | CUSIP: N/A<br>LEI: 2138007RI9GLJPCC3E25       | Long             | DBT              | CORP              | LU        |    2400000 | PA      | $2378536.70    | 0.01%             | 2028-03-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                    | Republic of Angola                                                                                            | CUSIP: N/A<br>LEI: 549300QHR2R3J8JSGK83       | Long             | DBT              | NUSS              | AO        |    6200000 | PA      | $6252314.98    | 0.04%             | 2028-05-09      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    2100000 | PA      | $2040276.00    | 0.01%             | 2049-03-01      | Fixed         | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Braskem Netherlands Finance BV                                        | Braskem Netherlands Finance BV                                                                                | CUSIP: N/A<br>LEI: 2549000TLMHFQ74DS330       | Long             | DBT              | CORP              | NL        |    2950000 | PA      | $1242540.00    | 0.01%             | 2030-01-31      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                    | Dominican Republic Government Bond                                                                            | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |   13200000 | PA      | $11906400.00   | 0.07%             | 2060-01-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Banco Mercantil del Norte SA                                          | Banco Mercantil del Norte SA                                                                                  | CUSIP: N/A<br>LEI: 549300QTVYRPFHS0J362       | Long             | DBT              | CORP              | MX        |    9900000 | PA      | $10230288.75   | 0.06%             | 2029-06-27      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Prumo Participacoes e Investimentos S/A                               | Prumo Participacoes e Investimentos S/A                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | BR        |    1045950 | PA      | $1065697.30    | 0.01%             | 2031-12-31      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| MV24 Capital BV                                                       | MV24 Capital BV                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | NL        |    2082090 | PA      | $2119290.08    | 0.01%             | 2034-06-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Bioceanico Sovereign Certificate Ltd.                                 | Bioceanico Sovereign Certificate Ltd.                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | KY        |    2342928 | PA      | $1935118.12    | 0.01%             | 2034-06-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                               | Republic of El Salvador                                                                                       | CUSIP: N/A<br>LEI: 529900AKDMUSFSDOM949       | Long             | DBT              | NUSS              | SV        |    4400000 | PA      | $3985300.00    | 0.02%             | 2050-01-20      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                     | Republic of Kenya                                                                                             | CUSIP: N/A<br>LEI: 549300VVURQQYU45PR87       | Long             | DBT              | NUSS              | KE        |    3500000 | PA      | $3642205.00    | 0.02%             | 2032-05-22      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Empresas Publicas de Medellin ESP                                     | Empresas Publicas de Medellin ESP                                                                             | CUSIP: N/A<br>LEI: 549300SU25TO8EMXB434       | Long             | DBT              | NUSS              | CO        |    2800000 | PA      | $2651600.00    | 0.02%             | 2029-07-18      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| OCP SA                                                                | OCP SA                                                                                                        | CUSIP: N/A<br>LEI: 213800D26TAPVTCVWG40       | Long             | DBT              | NUSS              | MA        |    2500000 | PA      | $2080475.00    | 0.01%             | 2051-06-23      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                              | Republic of South Africa                                                                                      | CUSIP: 836205BB9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    5986000 | PA      | $5035722.50    | 0.03%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Medco Bell Pte. Ltd.                                                  | Medco Bell Pte. Ltd.                                                                                          | CUSIP: N/A<br>LEI: 2549003PNDCWIWGKC768       | Long             | DBT              | CORP              | SG        |    2086000 | PA      | $2086000.00    | 0.01%             | 2027-01-30      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Republic of Angola                                                    | Republic of Angola                                                                                            | CUSIP: N/A<br>LEI: 549300QHR2R3J8JSGK83       | Long             | DBT              | NUSS              | AO        |   11400000 | PA      | $11343000.00   | 0.07%             | 2029-11-26      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Costa Rica                                                | Republic of Costa Rica                                                                                        | CUSIP: N/A<br>LEI: 549300S1EK2VN6XVJP58       | Long             | DBT              | NUSS              | CR        |    1000000 | PA      | $1109812.50    | 0.01%             | 2044-04-04      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    3800000 | PA      | $3690750.00    | 0.02%             | 2031-02-16      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Pakistan Water & Power Development Authority                          | Pakistan Water & Power Development Authority                                                                  | CUSIP: N/A<br>LEI: 213800UA74QOTK6IES10       | Long             | DBT              | NUSS              | PK        |    1479000 | PA      | $1438327.50    | 0.01%             | 2031-06-04      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    1100000 | PA      | $1103850.00    | 0.01%             | 2033-09-30      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co., Series BB                                                                                  | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     382000 | PA      | $381610.59     | 0.00%             | 2026-03-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Republic of Ecuador                                                   | Republic of Ecuador                                                                                           | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |    3456000 | PA      | $3412555.32    | 0.02%             | 2030-07-31      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                   | Republic of Ecuador                                                                                           | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |   12769795 | PA      | $11586641.57   | 0.07%             | 2035-07-31      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                   | Republic of Ecuador                                                                                           | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |   10000000 | PA      | $8160096.00    | 0.05%             | 2040-07-31      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                           | Hashemite Kingdom of Jordan                                                                                   | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    8800000 | PA      | $8848400.00    | 0.05%             | 2030-07-07      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    7600000 | PA      | $7791900.00    | 0.05%             | 2032-05-29      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    4800000 | PA      | $4692000.00    | 0.03%             | 2050-05-29      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Ecopetrol SA                                                          | Ecopetrol SA                                                                                                  | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    2790000 | PA      | $2095290.00    | 0.01%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Commonwealth of the Bahamas                                           | Commonwealth of the Bahamas                                                                                   | CUSIP: N/A<br>LEI: 549300W13SXC7EKNJC20       | Long             | DBT              | NUSS              | BS        |    1500000 | PA      | $1693470.00    | 0.01%             | 2032-10-15      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                           | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    7200000 | PA      | $5927292.00    | 0.04%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                           | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    3200000 | PA      | $3182400.00    | 0.02%             | 2051-09-28      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                             | Republic of Cote d'Ivoire                                                                                     | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    1700000 | PA      | $1820700.00    | 0.01%             | 2033-01-30      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                             | CUSIP: 404280CN7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6831000 | PA      | $6511061.92    | 0.04%             | 2030-12-17      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                          | Islamic Republic of Pakistan                                                                                  | CUSIP: N/A<br>LEI: 529900LOP29R5WKHOD86       | Long             | DBT              | NUSS              | PK        |    5700000 | PA      | $5628750.00    | 0.03%             | 2051-04-08      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya                                                     | Republic of Kenya                                                                                             | CUSIP: N/A<br>LEI: 549300VVURQQYU45PR87       | Long             | DBT              | NUSS              | KE        |    2200000 | PA      | $2409000.00    | 0.01%             | 2031-02-16      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Islamic Republic of Pakistan                                          | Islamic Republic of Pakistan                                                                                  | CUSIP: N/A<br>LEI: 529900LOP29R5WKHOD86       | Long             | DBT              | NUSS              | PK        |    3600000 | PA      | $3555000.00    | 0.02%             | 2031-04-08      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Azule Energy Finance plc                                              | Azule Energy Finance plc                                                                                      | CUSIP: N/A<br>LEI: 2138006X6O82RJSQDB63       | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1015633.30    | 0.01%             | 2030-01-23      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Congolese International Bond                                          | Republic of Congo (The)                                                                                       | CUSIP: N/A<br>LEI: 529900BXT90HR4QTB688       | Long             | DBT              | NUSS              | CG        |    4700000 | PA      | $4347500.00    | 0.03%             | 2032-11-07      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Federal Republic of Nigeria                                           | Federal Republic of Nigeria                                                                                   | CUSIP: N/A<br>LEI: 549300GSBZD84TNEQ285       | Long             | DBT              | NUSS              | NG        |    3000000 | PA      | $3225000.00    | 0.02%             | 2036-01-13      | Fixed         | 8.63%                 | Yes           |                  2 | On Loan: No      |
| Hashemite Kingdom of Jordan                                           | Hashemite Kingdom of Jordan                                                                                   | CUSIP: N/A<br>LEI: 5493000JZ4MYPVMBVN50       | Long             | DBT              | NUSS              | JO        |    1000000 | PA      | $1048440.00    | 0.01%             | 2029-01-13      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                    | Dominican Republic Government Bond                                                                            | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |    6400000 | PA      | $6528000.00    | 0.04%             | 2033-02-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Paraguay                                                  | Republic of Paraguay                                                                                          | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |    8600000 | PA      | $8945612.50    | 0.05%             | 2044-08-11      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Transnet                                                              | Transnet                                                                                                      | CUSIP: N/A<br>LEI: 378900B07CD6F01EA796       | Long             | SN               | CORP              | ZA        |    3000000 | PA      | $3165000.00    | 0.02%             | 2028-02-06      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Honduras                                                  | Republic of Honduras                                                                                          | CUSIP: N/A<br>LEI: 5493002DW1JNBNG17615       | Long             | DBT              | NUSS              | HN        |    3350000 | PA      | $3891226.00    | 0.02%             | 2034-11-27      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                           | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    5548000 | PA      | $4592218.30    | 0.03%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Democratic Socialist Republic of Sri Lanka                            | Democratic Socialist Republic of Sri Lanka                                                                    | CUSIP: N/A<br>LEI: 254900IG6Y30I2QE2R92       | Long             | DBT              | NUSS              | LK        |    8600000 | PA      | $7026200.00    | 0.04%             | 2035-06-15      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Republic of Zambia                                                    | Republic of Zambia                                                                                            | CUSIP: N/A<br>LEI: 213800DMLAZ6LGMMD849       | Long             | DBT              | NUSS              | ZM        |     707060 | PA      | $687615.85     | 0.00%             | 2033-06-30      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Zambia                                                    | Republic of Zambia                                                                                            | CUSIP: N/A<br>LEI: 213800DMLAZ6LGMMD849       | Long             | DBT              | NUSS              | ZM        |    5800000 | PA      | $4243048.00    | 0.03%             | 2053-12-31      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Banco del Estado de Chile                                             | Banco del Estado de Chile                                                                                     | CUSIP: N/A<br>LEI: 5493004R4EJC0W0XVQ72       | Long             | DBT              | NUSS              | CL        |    1300000 | PA      | $1390610.00    | 0.01%             | 2029-05-02      | Variable      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Serbia International Bond                                             | Republic of Serbia                                                                                            | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |    1300000 | PA      | $1368787.94    | 0.01%             | 2034-06-12      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Barbados                                                              | Barbados Government Bond                                                                                      | CUSIP: N/A<br>LEI: 529900UD1KUUS4SFD905       | Long             | DBT              | NUSS              | BB        |    2000000 | PA      | $2135683.60    | 0.01%             | 2035-06-26      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Greenko Wind Projects Mauritius Ltd.                                  | Greenko Wind Projects Mauritius Ltd.                                                                          | CUSIP: N/A<br>LEI: 254900MSUXE1FF83DP82       | Long             | DBT              | CORP              | MU        |    1400000 | PA      | $1429750.00    | 0.01%             | 2028-09-27      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                | Arab Republic of Egypt                                                                                        | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |    2700000 | PA      | $2922061.50    | 0.02%             | 2030-02-04      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Republic of Honduras                                                  | Republic of Honduras                                                                                          | CUSIP: N/A<br>LEI: 5493002DW1JNBNG17615       | Long             | DBT              | NUSS              | HN        |    3000000 | PA      | $3036570.00    | 0.02%             | 2027-01-19      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                             | Republic of Cote d'Ivoire                                                                                     | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |   16300000 | PA      | $16145150.00   | 0.10%             | 2033-06-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Republic of El Salvador                                               | Republic of El Salvador                                                                                       | CUSIP: N/A<br>LEI: 529900AKDMUSFSDOM949       | Long             | DBT              | NUSS              | SV        |    3169000 | PA      | $3411618.64    | 0.02%             | 2029-02-28      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Altice France SA                                                      | Altice France SA                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | FR        |       9452 | NS      | $151243.59     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| EURO                                                                  | EURO                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |     685713 | OU      | $810237.94     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 5 Year Note                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      14312 | NC      | $4035742.43    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 5 Year Note                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2081 | NC      | $-702136.15    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Venator Materials plc                                                 | Venator Materials plc                                                                                         | CUSIP: N/A<br>LEI: 549300WFXC4YL5IHX316       | Long             | EC               | CORP              | GB        |       6983 | NS      | $76813.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SES SA                                                                | SES SA                                                                                                        | CUSIP: N/A<br>LEI: 5493008JPA4HYMH1HX51       | Long             | EC               | CORP              | LU        |     147422 | NS      | $2220543.88    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Diversified Gas & Oil Corp.                                           | Diversified Gas & Oil Corp.                                                                                   | CUSIP: N/A<br>LEI: 5493008O08WU7K5XC271       | Long             | DBT              | CORP              | US        |   28000000 | PA      | $27161272.04   | 0.17%             | 2029-04-09      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust I, Series 2025-3, Class CERT                                                     | CUSIP: 17302FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14121752 | PA      | $13925459.32   | 0.09%             | 2031-06-20      | Fixed         | 25.33%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust I, Series 2025-4, Class CERT                                                     | CUSIP: 17302GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17628929 | PA      | $17334525.58   | 0.11%             | 2031-07-20      | Fixed         | 25.10%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust I, Series 2025-5, Class CERT                                                     | CUSIP: 17302HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21353031 | PA      | $20891805.29   | 0.13%             | 2031-08-20      | Fixed         | 25.83%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust, Series 2025-6, Class CERT                                                       | CUSIP: 17291VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15168373 | PA      | $14913544.01   | 0.09%             | 2031-09-20      | Fixed         | 25.60%                | Yes           |                  3 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust, Series 2025-7, Class CERT                                                       | CUSIP: 17292DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19982387 | PA      | $19894464.23   | 0.12%             | 2031-10-20      | Fixed         | 25.54%                | Yes           |                  3 | On Loan: No      |
| Instituto Costarricense de Electricidad                               | Instituto Costarricense de Electricidad                                                                       | CUSIP: N/A<br>LEI: 5493009VA6AFUB2Q0289       | Long             | DBT              | NUSS              | CR        |     450000 | PA      | $449550.00     | 0.00%             | 2043-05-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Republic of Paraguay                                                  | Republic of Paraguay                                                                                          | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |    5475000 | PA      | $5695026.56    | 0.03%             | 2044-08-11      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| ACC Trust                                                             | ACC Trust, Series 2022-1, Class D                                                                             | CUSIP: 00091HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9131000 | PA      | $91.31         | 0.00%             | 2028-10-20      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | Euro-Bund                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       1993 | NC      | $5272893.05    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 2 Year Note                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3463 | NC      | $734787.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Note                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      11996 | NC      | $5750650.02    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Long Bond                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         20 | NC      | $21841.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Long Bond                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1515 | NC      | $-2215293.97   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Ultra Note                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -5930 | NC      | $-3995012.85   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Ultra Note                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3911 | NC      | $4638007.93    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Ultra Bond                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         55 | NC      | $93871.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Ultra Bond                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -3115 | NC      | $-5349222.96   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Ghana                                                     | Republic of Ghana                                                                                             | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      42240 | PA      | $41553.60      | 0.00%             | 2026-07-03      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ghana                                                     | Republic of Ghana                                                                                             | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    3132000 | PA      | $2833872.75    | 0.02%             | 2035-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Ghana                                                     | Republic of Ghana                                                                                             | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    1905750 | PA      | $1865710.19    | 0.01%             | 2029-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Democratic Socialist Republic of Sri Lanka                            | Democratic Socialist Republic of Sri Lanka                                                                    | CUSIP: N/A<br>LEI: 254900IG6Y30I2QE2R92       | Long             | DBT              | NUSS              | LK        |     411600 | PA      | $336277.20     | 0.00%             | 2035-06-15      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Democratic Socialist Republic of Sri Lanka                            | Democratic Socialist Republic of Sri Lanka                                                                    | CUSIP: N/A<br>LEI: 254900IG6Y30I2QE2R92       | Long             | DBT              | NUSS              | LK        |    1020416 | PA      | $991078.94     | 0.01%             | 2028-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Citi Asset Receivables Trust I                                        | Citi Asset Receivables Trust I, Series 2025-8, Class CERT                                                     | CUSIP: 17302KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25244966 | PA      | $25477219.72   | 0.16%             | 2031-11-20      | Fixed         | 25.80%                | Yes           |                  3 | On Loan: No      |
| Ardagh Holdings SA                                                    | Ardagh Holdings SA                                                                                            | CUSIP: 985923101<br>LEI: 6354006L1NWUUOPYX274 | Long             | EC               | CORP              | LU        |     564796 | NS      | $4713250.86    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| CITI ASSET RECEIVABLES TRUST I SERIES                                 | Citi Asset Receivables Trust I, Series 2025-9, Class CERT                                                     | CUSIP: 17292FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31507103 | PA      | $31812721.41   | 0.19%             | 2031-12-20      | Fixed         | 25.14%                | Yes           |                  3 | On Loan: No      |
| Sonangol Finance Ltd.                                                 | Sonangol Finance Ltd.                                                                                         | CUSIP: 83540CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | AO        |    2550000 | PA      | $2529982.50    | 0.02%             | 2031-01-29      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Republic of Ecuador                                                   | Republic of Ecuador                                                                                           | CUSIP: 27927WAR3<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    2935000 | PA      | $2984895.00    | 0.02%             | 2039-01-29      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** JPMorgan Trust I

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer