# EDGAR Filing Document

**Accession Number:** 0001738078
**File Stem:** 0002071691-26-004265
**Filing Date:** 2026-2
**Character Count:** 1325443
**Document Hash:** da21e639b1e5a48b9556d15b09885539
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-004265.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0002071691-26-004265

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Funds V
- **CENTRAL INDEX KEY:** 0001738078

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23339
- **FILM NUMBER:** 26675650

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock Core Bond Portfolio (Series ID: S000062362)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202289 | Investor A Shares    |  |
| C000202290 | Investor C Shares    |  |
| C000202291 | Institutional Shares |  |
| C000202292 | Class R Shares       |  |
| C000202293 | Class K Shares       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds V

- **b. Investment Company Act file number:** 811-23339

- **c. CIK number of Registrant:** 0001738078

- **d. LEI of Registrant:** 54930077DSFQPJDWM487

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Core Bond Portfolio

- **b. EDGAR series identifier (if any):** S000062362

- **c. LEI of Series:** BOMMBZZPNQ6DHYXK5N47

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4653246374.86

**Total Liabilities:** $1218760457.83

**Net Assets:** $3434485917.03

**Cash Not Reported:** $1377218.29

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 142182.11000000 | **1-Year:** 70437.89000000 | **5-Year:** 896155.98000000 | **10-Year:** 158580.83000000 | **30-Year:** 255192.58000000

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

- **3-Month:** 61698.06000000 | **1-Year:** 7929.33000000 | **5-Year:** 4312.27000000 | **10-Year:** 0.00000000 | **30-Year:** 5176.57000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202289 | 0.57%                | 0.61%                | -0.25%               |
| Class ID C000202290 | 0.50%                | 0.55%                | -0.32%               |
| Class ID C000202291 | 0.59%                | 0.63%                | -0.23%               |
| Class ID C000202292 | 0.54%                | 0.59%                | -0.28%               |
| Class ID C000202293 | 0.59%                | 0.64%                | -0.23%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-224899.33              | $7201062.61                                |
| Month 2  | $2254586.85              | $6918253.24                                |
| Month 3  | $-8502760.72             | $-8291274.30                               |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A10 Issuer LLC                                                            | A10 Issuer LLC, Series 2025-FL6, Class A                                                                                      | CUSIP: 00028AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      918000 | PA      | $916282.33     | 0.03%             | 2042-05-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                        | A&D Mortgage Trust, Series 2024-NQM5, Class A1                                                                                | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |      460891 | PA      | $463957.88     | 0.01%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                        | A&D Mortgage Trust, Series 2024-NQM5, Class M1                                                                                | CUSIP: 00039KAF7<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |      380000 | PA      | $384859.48     | 0.01%             | 2069-11-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc.                                                                                                               | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     1064000 | PA      | $718821.93     | 0.02%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc.                                                                                                               | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     1390000 | PA      | $1448865.26    | 0.04%             | 2034-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc., Series E                                                                                                     | CUSIP: 0010EPAF5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      684000 | PA      | $745536.22     | 0.02%             | 2033-02-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC                                                                                                      | CUSIP: 00115AAH2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      890000 | PA      | $681219.34     | 0.02%             | 2047-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC                                                                                                      | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      589000 | PA      | $398166.79     | 0.01%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC, Series N                                                                                            | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      557000 | PA      | $342916.73     | 0.01%             | 2051-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC                                                                                                      | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      641000 | PA      | $661113.09     | 0.02%             | 2035-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 4 Ltd.                                                       | AGL Core CLO 4 Ltd., Series 2020-4A, Class AR2                                                                                | CUSIP: 001199AQ1<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |      920000 | PA      | $923500.05     | 0.03%             | 2037-10-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| AGL CLO 20 Ltd.                                                           | AGL CLO 20 Ltd., Series 2022-20A, Class A1R                                                                                   | CUSIP: 00119CAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      580000 | PA      | $582154.70     | 0.02%             | 2037-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| AGL CLO 23 Ltd.                                                           | AGL CLO 23 Ltd., Series 2022-23A, Class A1R                                                                                   | CUSIP: 00119EAN7<br>LEI: 54930001FYWQPYWEPQ30 | Long             | ABS-CBDO         | CORP              | JE        |      640000 | PA      | $639285.44     | 0.02%             | 2038-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| AGL CLO 21 Ltd.                                                           | AGL CLO 21 Ltd., Series 2022-21A, Class A1R                                                                                   | CUSIP: 00119FAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      300000 | PA      | $301074.99     | 0.01%             | 2037-10-21      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| AGL CLO 5 Ltd.                                                            | AGL CLO 5 Ltd., Series 2020-5A, Class D1AR                                                                                    | CUSIP: 00119TBM5<br>LEI: 549300N06ILVP775P131 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249481.73     | 0.01%             | 2039-01-20      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| AGL CLO 5 Ltd.                                                            | AGL CLO 5 Ltd., Series 2020-5A, Class D2R3                                                                                    | CUSIP: 00119TBR4<br>LEI: 549300N06ILVP775P131 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249974.85     | 0.01%             | 2039-01-20      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 Ltd.                                                            | AGL CLO 6 Ltd., Series 2020-6A, Class A1R2                                                                                    | CUSIP: 00119VAY5<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |      830000 | PA      | $832490.00     | 0.02%             | 2038-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 2 Ltd.                                                       | AGL Core CLO 2 Ltd., Series 2019-2A, Class A1R                                                                                | CUSIP: 001200AJ3<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |     1320000 | PA      | $1324036.56    | 0.04%             | 2037-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 15 Ltd.                                                      | AGL Core CLO 15 Ltd., Series 2021-15A, Class A1                                                                               | CUSIP: 00121GAA6<br>LEI: 5493001O95I190NV0196 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500500.20     | 0.01%             | 2035-01-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| AGL CLO 37 Ltd.                                                           | AGL CLO 37 Ltd., Series 2024-37A, Class A1                                                                                    | CUSIP: 00121MAA3<br>LEI: 254900AZNZG3U1TNSN78 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250504.08     | 0.01%             | 2038-04-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 Ltd.                                                         | AIMCO CLO 11 Ltd., Series 2020-11A, Class A1R2                                                                                | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |      430000 | PA      | $431775.47     | 0.01%             | 2037-07-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Aimco CLO 14 Ltd.                                                         | Aimco CLO 14 Ltd., Series 2021-14A, Class A1R                                                                                 | CUSIP: 00144GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $600453.24     | 0.02%             | 2038-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 27 Ltd.                                                          | AMMC CLO 27 Ltd., Series 2022-27A, Class A1R                                                                                  | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1750000 | PA      | $1747533.03    | 0.05%             | 2037-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                                | AREIT Ltd., Series 2024-CRE9, Class A                                                                                         | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     2077580 | PA      | $2077395.90    | 0.06%             | 2041-05-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                                | AREIT Ltd., Series 2025-CRE10, Class A                                                                                        | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      285000 | PA      | $284690.92     | 0.01%             | 2029-12-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RDS8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      860000 | PA      | $811954.22     | 0.02%             | 2047-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1674000 | PA      | $1148477.41    | 0.03%             | 2060-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     3924000 | PA      | $2626035.80    | 0.08%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     4320000 | PA      | $2848864.56    | 0.08%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     3291000 | PA      | $2263687.40    | 0.07%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     3049000 | PA      | $3066917.14    | 0.09%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AREIT LLC                                                                 | AREIT LLC, Series 2022-CRE7, Class A                                                                                          | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      276346 | PA      | $276187.13     | 0.01%             | 2039-06-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                        | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                                                                | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |     1509925 | PA      | $1527517.61    | 0.04%             | 2068-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |        2148 | PA      | $987.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |       24957 | PA      | $-8378.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |         522 | PA      | $-189.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACRES LLC                                                                 | ACRES LLC, Series 2025-FL3, Class A                                                                                           | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1209000 | PA      | $1210599.87    | 0.04%             | 2040-08-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| AGL CLO 42 Ltd.                                                           | AGL CLO 42 Ltd., Series 2025-42A, Class A1                                                                                    | CUSIP: 00791YAA6<br>LEI: 254900AMSJHVKQ5QFA09 | Long             | ABS-CBDO         | CORP              | KY        |      530000 | PA      | $531661.29     | 0.02%             | 2038-07-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class A                                                                                  | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2815000 | PA      | $2843008.41    | 0.08%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class B                                                                                  | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      221000 | PA      | $222679.82     | 0.01%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X1, Class C                                                                    | CUSIP: 00834MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      252000 | PA      | $252845.54     | 0.01%             | 2030-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X2, Class A                                                                    | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1393239 | PA      | $1394566.08    | 0.04%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X2, Class B                                                                    | CUSIP: 00835DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      206000 | PA      | $206341.34     | 0.01%             | 2030-10-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X2, Class C                                                                    | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100181.82     | 0.00%             | 2030-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 31 Ltd.                                                      | AGL Core CLO 31 Ltd., Series 2024-31A, Class C                                                                                | CUSIP: 00852MAE0<br>LEI: 254900LYT9TA0J0GKX14 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250962.88     | 0.01%             | 2037-07-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 38 Ltd.                                                      | AGL Core CLO 38 Ltd., Series 2025-38A, Class A1                                                                               | CUSIP: 00852QAA9<br>LEI: 254900ZPMRHE5M6S8F18 | Long             | ABS-CBDO         | CORP              | KY        |      710000 | PA      | $711470.98     | 0.02%             | 2038-01-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| AGL CLO 43 Ltd.                                                           | AGL CLO 43 Ltd., Series 2025-43A, Class A1                                                                                    | CUSIP: 00852TAA3<br>LEI: 254900MOOKTGLK7JFO07 | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $390995.51     | 0.01%             | 2038-09-10      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 18 Ltd.                                                         | AIMCO CLO 18 Ltd., Series 2022-18A, Class A1LR                                                                                | CUSIP: 00889EBA2<br>LEI: 2549005IX0D6XDJNNS95 | Long             | ABS-CBDO         | CORP              | JE        |      290000 | PA      | $291021.24     | 0.01%             | 2037-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO                                                                 | AIMCO CLO, Series 2018-AA, Class AR                                                                                           | CUSIP: 00900GAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      630000 | PA      | $632346.75     | 0.02%             | 2037-10-17      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                             | Air Canada Pass-Through Trust, Series 2017-1, Class B                                                                         | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |        3148 | PA      | $3145.53       | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-C, Class A                                                                              | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3590219 | PA      | $3590102.52    | 0.10%             | 2061-01-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                         | Alabama Power Co.                                                                                                             | CUSIP: 010392FB9<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      812000 | PA      | $871162.07     | 0.03%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                         | Alabama Power Co.                                                                                                             | CUSIP: 010392FJ2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      241000 | PA      | $197069.85     | 0.01%             | 2042-12-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Alen Mortgage Trust                                                       | Alen Mortgage Trust, Series 2021-ACEN, Class A                                                                                | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      231000 | PA      | $219956.28     | 0.01%             | 2034-04-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |      420758 | PA      | $-52191.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |      156100 | PA      | $-21559.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      218000 | PA      | $197204.84     | 0.01%             | 2041-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -5623000 | PA      | $-5204789.38   | -0.15%            | 2041-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12953000 | PA      | $10467591.57   | 0.30%             | 2056-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       75000 | PA      | $70936.52      | 0.00%             | 2041-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F022410<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -588000 | PA      | $-556142.34    | -0.02%            | 2041-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -935000 | PA      | $-790294.15    | -0.02%            | 2056-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10094300 | PA      | $8532049.40    | 0.25%             | 2056-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1357000 | PA      | $-1305317.38   | -0.04%            | 2041-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24000 | PA      | $23085.94      | 0.00%             | 2041-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1948400 | PA      | $-1723040.15   | -0.05%            | 2056-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032419<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1111000 | PA      | $-1079930.93   | -0.03%            | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60000 | PA      | $58322.10      | 0.00%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -183395000 | PA      | $-169532916.53 | -4.94%            | 2056-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   191595000 | PA      | $177113111.83  | 5.16%             | 2056-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -2500000 | PA      | $-2303222.65   | -0.07%            | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   275588000 | PA      | $253896209.47  | 7.39%             | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      122000 | PA      | $120393.75     | 0.00%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F040412<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -83000 | PA      | $-81907.22     | -0.00%            | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      507000 | PA      | $480851.25     | 0.01%             | 2056-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -8488000 | PA      | $-8050227.67   | -0.23%            | 2056-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6501000 | PA      | $6503285.49    | 0.19%             | 2041-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      421000 | PA      | $410955.85     | 0.01%             | 2056-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -18971000 | PA      | $-18518393.11  | -0.54%            | 2056-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8582000 | PA      | $8370547.42    | 0.24%             | 2056-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -44243000 | PA      | $-44118566.56  | -1.28%            | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1601000 | PA      | $1596497.19    | 0.05%             | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   189436747 | PA      | $192085563.36  | 5.59%             | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -619000 | PA      | $-627655.22    | -0.02%            | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    56377947 | PA      | $57884786.89   | 1.69%             | 2056-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1119000 | PA      | $-1148908.04   | -0.03%            | 2056-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      242000 | PA      | $251496.22     | 0.01%             | 2056-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                            | Alphabet, Inc.                                                                                                                | CUSIP: 02079KAW7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     3801000 | PA      | $3812665.19    | 0.11%             | 2030-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                            | Alphabet, Inc.                                                                                                                | CUSIP: 02079KBB2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     4165000 | PA      | $4099403.92    | 0.12%             | 2075-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                            | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     1084000 | PA      | $904537.38     | 0.03%             | 2042-08-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                            | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     2146000 | PA      | $1612836.99    | 0.05%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                            | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     3192000 | PA      | $3318682.53    | 0.10%             | 2035-02-06      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                            | CUSIP: 02209SBV4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1037740.25    | 0.03%             | 2035-08-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                              | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     2938000 | PA      | $2292928.34    | 0.07%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                              | CUSIP: 023135CV6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     4180000 | PA      | $4163096.04    | 0.12%             | 2035-11-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                              | CUSIP: 023135CY0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     2257000 | PA      | $2189281.20    | 0.06%             | 2065-11-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Hess Corp.                                                                | Hess Corp.                                                                                                                    | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      722000 | PA      | $829345.21     | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                            | American Municipal Power, Inc., Series 2010A                                                                                  | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |      765000 | PA      | $961810.71     | 0.03%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1273000 | PA      | $1208424.33    | 0.04%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     5985000 | PA      | $5346099.27    | 0.16%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1242000 | PA      | $1278215.76    | 0.04%             | 2029-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      405000 | PA      | $420673.26     | 0.01%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XCP3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      664000 | PA      | $680742.65     | 0.02%             | 2035-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      360000 | PA      | $360078.07     | 0.01%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                               | Amgen, Inc.                                                                                                                   | CUSIP: 031162CY4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      540000 | PA      | $320396.55     | 0.01%             | 2053-09-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                               | Amgen, Inc.                                                                                                                   | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      689000 | PA      | $538171.31     | 0.02%             | 2062-02-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      228208 | PA      | $43057.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 7 Ltd.                                              | Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR3                                                                       | CUSIP: 03328TBS3<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      930000 | PA      | $933414.96     | 0.03%             | 2037-04-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 7 Ltd.                                              | Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class BR3                                                                       | CUSIP: 03328TBU8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |     1640000 | PA      | $1647471.18    | 0.05%             | 2037-04-28      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 7 Ltd.                                              | Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class DR3                                                                       | CUSIP: 03328TBY0<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250597.45     | 0.01%             | 2037-04-28      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 15 Ltd.                                             | Anchorage Capital CLO 15 Ltd., Series 2020-15A, Class A1R2                                                                    | CUSIP: 03329FAW4<br>LEI: 549300H5Q0HJ2EHSSX26 | Long             | ABS-CBDO         | CORP              | KY        |     1080000 | PA      | $1084270.54    | 0.03%             | 2038-07-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 8 Ltd.                                              | Anchorage Capital CLO 8 Ltd., Series 2016-8A, Class A1R3                                                                      | CUSIP: 03329KBJ1<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $511347.47     | 0.01%             | 2038-10-27      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 18 Ltd.                                             | Anchorage Capital CLO 18 Ltd., Series 2021-18A, Class A1                                                                      | CUSIP: 03331AAA9<br>LEI: 549300JIJ617WYIUFX18 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250112.03     | 0.01%             | 2034-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 17 Ltd.                                             | Anchorage Capital CLO 17 Ltd., Series 2021-17A, Class A1R                                                                     | CUSIP: 03332PAN7<br>LEI: 549300UNU854VTZYQ112 | Long             | ABS-CBDO         | CORP              | KY        |     2745000 | PA      | $2749633.01    | 0.08%             | 2038-02-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 29 Ltd.                                             | Anchorage Capital CLO 29 Ltd., Series 2024-29A, Class A1                                                                      | CUSIP: 03332QAA3<br>LEI: 213800XVU2BADRNDSO76 | Long             | ABS-CBDO         | CORP              | KY        |      640000 | PA      | $642290.56     | 0.02%             | 2037-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 34 Ltd.                                             | Anchorage Capital CLO 34 Ltd., Series 2025-34A, Class A1                                                                      | CUSIP: 03332UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      720000 | PA      | $719447.61     | 0.02%             | 2039-01-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2024-11, Class A1                                                                            | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |      609691 | PA      | $615212.07     | 0.02%             | 2069-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2020-4, Class A3                                                                             | CUSIP: 03464LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83319 | PA      | $81394.55      | 0.00%             | 2065-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2022-2, Class A1                                                                             | CUSIP: 03464PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70267 | PA      | $67294.28      | 0.00%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2020-3, Class A3                                                                             | CUSIP: 03465LAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      282556 | PA      | $273812.49     | 0.01%             | 2065-04-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2024-1, Class A1                                                                             | CUSIP: 03465XAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      627498 | PA      | $628436.27     | 0.02%             | 2068-08-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2023-7, Class A1                                                                             | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |     2100268 | PA      | $2094550.65    | 0.06%             | 2067-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-2, Class A1                                                                             | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |     3698042 | PA      | $3731937.53    | 0.11%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-8, Class A1                                                                             | CUSIP: 03466UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1555102 | PA      | $1566985.62    | 0.05%             | 2070-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2024-10, Class A1                                                                            | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |      380871 | PA      | $382680.81     | 0.01%             | 2069-10-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-1, Class A1                                                                             | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |     1577748 | PA      | $1595336.73    | 0.05%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      348650 | PA      | $73849.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Antero Resources Corp.                                                    | Antero Resources Corp.                                                                                                        | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     1179000 | PA      | $1196574.17    | 0.03%             | 2029-02-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Antero Resources Corp.                                                    | Antero Resources Corp.                                                                                                        | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |    10435000 | PA      | $10579462.14   | 0.31%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                     | Elevance Health, Inc.                                                                                                         | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       79000 | PA      | $56244.19      | 0.00%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                     | Elevance Health, Inc.                                                                                                         | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      223000 | PA      | $184535.33     | 0.01%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                     | Elevance Health, Inc.                                                                                                         | CUSIP: 036752BE2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      145000 | PA      | $141399.51     | 0.00%             | 2055-02-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| APA Corp.                                                                 | APA Corp.                                                                                                                     | CUSIP: 03743QBC1<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |      196000 | PA      | $166369.38     | 0.00%             | 2042-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXIX Ltd.                                                     | Apidos CLO XXXIX Ltd., Series 2022-39A, Class A1R                                                                             | CUSIP: 03766HAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $861654.04     | 0.03%             | 2038-10-21      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXIX Ltd.                                                     | Apidos CLO XXXIX Ltd., Series 2022-39A, Class BR                                                                              | CUSIP: 03766HAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250682.08     | 0.01%             | 2038-10-21      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXIX Ltd.                                                     | Apidos CLO XXXIX Ltd., Series 2022-39A, Class D1R                                                                             | CUSIP: 03766HAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $241058.90     | 0.01%             | 2038-10-21      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXII                                                          | Apidos CLO XXXII, Series 2019-32A, Class A1R                                                                                  | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |      222875 | PA      | $222869.61     | 0.01%             | 2033-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XLVI Ltd.                                                      | Apidos CLO XLVI Ltd., Series 2023-46A, Class A1R                                                                              | CUSIP: 03770RAN2<br>LEI: 254900XSALC4GJ58ZP29 | Long             | ABS-CBDO         | CORP              | JE        |      350000 | PA      | $350186.24     | 0.01%             | 2038-10-24      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XLVIII Ltd.                                                    | APIDOS CLO XLVIII Ltd., Series 2024-48A, Class A1                                                                             | CUSIP: 03770WAA9<br>LEI: 25490046M6DC4604K633 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250836.75     | 0.01%             | 2037-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Apidos CLO LV                                                             | Apidos CLO LV, Series 2025-55A, Class A1                                                                                      | CUSIP: 03771VAA0<br>LEI: 254900Z4DQDC7AU0J989 | Long             | ABS-CBDO         | CORP              | KY        |      570000 | PA      | $570000.00     | 0.02%             | 2039-01-20      | Floating      | 4.93%                 | No            |                  3 | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                                   | CUSIP: 037833EF3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     1467000 | PA      | $906858.66     | 0.03%             | 2051-02-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp.                                                            | AppLovin Corp.                                                                                                                | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     1498000 | PA      | $1536536.24    | 0.04%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp.                                                            | AppLovin Corp.                                                                                                                | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     9666000 | PA      | $10023351.15   | 0.29%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp.                                                            | AppLovin Corp.                                                                                                                | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     3453000 | PA      | $3419852.27    | 0.10%             | 2054-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                        | Aqua Finance Trust, Series 2021-A, Class A                                                                                    | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       30737 | PA      | $28279.26      | 0.00%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                            | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A                                                      | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1199108 | PA      | $1197029.87    | 0.03%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class D                                                         | CUSIP: 03881BAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1080000 | PA      | $920994.41     | 0.03%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class E                                                         | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $494556.78     | 0.01%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes LLC                             | Arbor Realty Commercial Real Estate Notes LLC, Series 2025-FL1, Class A                                                       | CUSIP: 03881KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1100000 | PA      | $1097777.12    | 0.03%             | 2043-01-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd.                          | Arbor Realty Collateralized Loan Obligation Ltd., Series 2025-BTR1, Class A                                                   | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1103000 | PA      | $1106252.53    | 0.03%             | 2041-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class A5                                                        | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137000 | PA      | $123692.79     | 0.00%             | 2054-10-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                            | ARES Commercial Mortgage Trust, Series 2024-IND, Class A                                                                      | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3630000 | PA      | $3634485.23    | 0.11%             | 2041-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO LLC                                               | Ares Direct Lending CLO LLC, Series 2025-4A, Class A1                                                                         | CUSIP: 039933AA4<br>LEI: 2549008VI9L2AN96MC59 | Long             | ABS-CBDO         | CORP              | US        |      460000 | PA      | $459958.05     | 0.01%             | 2039-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Ares LXIII CLO Ltd.                                                       | Ares LXIII CLO Ltd., Series 2022-63A, Class A1R                                                                               | CUSIP: 039937AS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      550000 | PA      | $551916.42     | 0.02%             | 2038-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO LLC                                               | Ares Direct Lending CLO LLC, Series 2025-2A, Class A1                                                                         | CUSIP: 039960AA7<br>LEI: 254900F5EQV7KVCD4M68 | Long             | ABS-CBDO         | CORP              | US        |      760000 | PA      | $760619.86     | 0.02%             | 2037-10-16      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| AREIT LLC                                                                 | AREIT LLC, Series 2023-CRE8, Class A                                                                                          | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      253484 | PA      | $253152.50     | 0.01%             | 2041-08-17      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| AREIT                                                                     | AREIT, Series 2025-CRE11, Class A                                                                                             | CUSIP: 04002DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1762000 | PA      | $1763981.19    | 0.05%             | 2043-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ARES LII CLO Ltd.                                                         | ARES LII CLO Ltd., Series 2019-52A, Class BRR                                                                                 | CUSIP: 04009ABA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310227.82     | 0.01%             | 2031-04-22      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ARES Loan Funding III Ltd.                                                | ARES Loan Funding III Ltd., Series 2022-ALF3A, Class A1R                                                                      | CUSIP: 04009BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      615000 | PA      | $615494.21     | 0.02%             | 2036-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Ares XLI CLO Ltd.                                                         | Ares XLI CLO Ltd., Series 2016-41A, Class AR2                                                                                 | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250419.58     | 0.01%             | 2034-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO Ltd.                                                        | ARES XLIV CLO Ltd., Series 2017-44A, Class CRR                                                                                | CUSIP: 04016NBR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      420000 | PA      | $421262.44     | 0.01%             | 2034-04-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Ares XLIII CLO Ltd.                                                       | Ares XLIII CLO Ltd., Series 2017-43A, Class A1R2                                                                              | CUSIP: 04016PAS7<br>LEI: 549300ECLIGB6OZRBA51 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250875.50     | 0.01%             | 2038-01-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ares LIX CLO Ltd.                                                         | Ares LIX CLO Ltd., Series 2021-59A, Class A                                                                                   | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250315.08     | 0.01%             | 2034-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ARES LX CLO Ltd.                                                          | ARES LX CLO Ltd., Series 2021-60A, Class AR                                                                                   | CUSIP: 04018FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1900000 | PA      | $1901485.61    | 0.06%             | 2034-07-18      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Ares LVI CLO Ltd.                                                         | Ares LVI CLO Ltd., Series 2020-56A, Class A1R2                                                                                | CUSIP: 04018NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $410865.39     | 0.01%             | 2038-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| ARES1                                                                     | ARES1, Series 2024-IND2, Class A                                                                                              | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2590000 | PA      | $2591597.25    | 0.08%             | 2034-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                     | Arroyo Mortgage Trust, Series 2022-1, Class A3                                                                                | CUSIP: 042855AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3785000 | PA      | $3197798.51    | 0.09%             | 2056-12-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                                          | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174000 | PA      | $172690.42     | 0.01%             | 2035-04-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust              | AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust                                                                  | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4140908.57    | 0.12%             | 2044-12-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund XXII Ltd.                                          | Atlas Senior Loan Fund XXII Ltd., Series 2023-22A, Class A1                                                                   | CUSIP: 04940BAA8<br>LEI: 529900J6GF0KI17SQP67 | Long             | ABS-CBDO         | CORP              | JE        |     1650000 | PA      | $1651961.52    | 0.05%             | 2036-01-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund XX Ltd.                                            | Atlas Senior Loan Fund XX Ltd., Series 2022-20A, Class XR                                                                     | CUSIP: 049410AN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      150000 | PA      | $150000.00     | 0.00%             | 2037-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A                                                                       | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1420000 | PA      | $1448454.39    | 0.04%             | 2029-11-10      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class D                                                                       | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2736000 | PA      | $2599200.00    | 0.08%             | 2036-12-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class A                                                                       | CUSIP: 049917AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      529000 | PA      | $529549.95     | 0.02%             | 2042-08-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-5C23, Class D                                                                               | CUSIP: 05493QAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115000 | PA      | $113635.74     | 0.00%             | 2056-12-15      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2024-BHP, Class A                                                                                         | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1190000 | PA      | $1191964.93    | 0.03%             | 2039-08-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2025-EWEST, Class A                                                                                        | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1977000 | PA      | $1976996.84    | 0.06%             | 2042-06-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO I Ltd.                                                        | BBAM US CLO I Ltd., Series 2022-1A, Class AR                                                                                  | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $299967.51     | 0.01%             | 2038-03-30      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                                                   | BDS LLC, Series 2022-FL11, Class ATS                                                                                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200969 | PA      | $200992.26     | 0.01%             | 2039-03-19      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                         | BAT Capital Corp.                                                                                                             | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     4731000 | PA      | $5313942.75    | 0.15%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                         | BAT Capital Corp.                                                                                                             | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1052000 | PA      | $1192721.25    | 0.03%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                         | BAT Capital Corp.                                                                                                             | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1550000 | PA      | $1541157.30    | 0.04%             | 2033-03-22      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                         | BAT Capital Corp.                                                                                                             | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1511000 | PA      | $1253414.86    | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                         | BAT Capital Corp.                                                                                                             | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     2023000 | PA      | $1709252.30    | 0.05%             | 2049-09-06      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                         | BAT Capital Corp.                                                                                                             | CUSIP: 05526DBQ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2705.27       | 0.00%             | 2050-04-02      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                         | BAT Capital Corp.                                                                                                             | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     4483000 | PA      | $4237637.25    | 0.12%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                                               | BBCMS Trust, Series 2015-SRCH, Class A1                                                                                       | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      305191 | PA      | $301277.44     | 0.01%             | 2035-08-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                                               | BBCMS Trust, Series 2015-SRCH, Class XA                                                                                       | CUSIP: 05547HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6098922 | PA      | $56537.01      | 0.00%             | 2035-08-10      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                               | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      969000 | PA      | $917250.85     | 0.03%             | 2037-03-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class B                                                                               | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280000 | PA      | $252233.83     | 0.01%             | 2037-03-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                                                   | BDS LLC, Series 2024-FL13, Class A                                                                                            | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2734000 | PA      | $2729119.81    | 0.08%             | 2039-09-19      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-VICT, Class A                                                                                | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1710000 | PA      | $1717410.46    | 0.05%             | 2041-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO V Ltd.                                                        | BBAM US CLO V Ltd., Series 2025-5A, Class A1                                                                                  | CUSIP: 05556BAA0<br>LEI: 213800MKXSA1BGWGVJ66 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250891.50     | 0.01%             | 2038-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class A                                                                     | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1712000 | PA      | $1716813.46    | 0.05%             | 2042-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class D                                                                     | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176000 | PA      | $176879.74     | 0.01%             | 2042-11-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO VI Ltd.                                                       | BBAM US CLO VI Ltd., Series 2025-6A, Class A1                                                                                 | CUSIP: 05556TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      720000 | PA      | $721328.90     | 0.02%             | 2039-01-27      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2024-PMDW, Class A                                                                                          | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $122787.67     | 0.00%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| BPR Mortgage Trust                                                        | BPR Mortgage Trust, Series 2023-STON, Class A                                                                                 | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1954000 | PA      | $2026348.80    | 0.06%             | 2039-12-05      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class A                                                                                                | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1088000 | PA      | $1089697.93    | 0.03%             | 2041-06-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2024-PARK, Class A                                                                      | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      370000 | PA      | $377109.37     | 0.01%             | 2039-11-05      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-LUNR, Class A                                                                                           | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203279 | PA      | $203532.77     | 0.01%             | 2040-06-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-JDI, Class A                                                                        | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1621000 | PA      | $1622506.56    | 0.05%             | 2042-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2023-C5, Class XA                                                                                  | CUSIP: 055988AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5749459 | PA      | $228326.54     | 0.01%             | 2056-06-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class A2                                                                               | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      257903 | PA      | $244245.36     | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class C                                                                                | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2810000 | PA      | $2581077.45    | 0.08%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class E                                                                                | CUSIP: 05604FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $87750.17      | 0.00%             | 2033-03-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV2, Class C                                                                       | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1361188.81    | 0.04%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VIV5, Class A                                                                       | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      914000 | PA      | $848630.17     | 0.02%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class D                                                                                           | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1832000 | PA      | $1745057.31    | 0.05%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class D                                                                                           | CUSIP: 05606GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2110000 | PA      | $2108490.30    | 0.06%             | 2036-06-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2017-CC, Class D                                                                                            | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210000 | PA      | $170773.64     | 0.00%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2021-601L, Class D                                                                                          | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      758000 | PA      | $626044.33     | 0.02%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2017-GM, Class D                                                                                            | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140000 | PA      | $135653.66     | 0.00%             | 2039-06-13      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                                                                       | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      902166 | PA      | $855029.27     | 0.02%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV4, Class A                                                                       | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2451903 | PA      | $2277419.70    | 0.07%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AV                                                                                           | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      192167 | PA      | $192010.63     | 0.01%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AJV                                                                                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      519160 | PA      | $518522.68     | 0.02%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-VAMF, Class B                                                                                           | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133000 | PA      | $132919.12     | 0.00%             | 2039-01-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class B                                                                       | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      546000 | PA      | $547011.79     | 0.02%             | 2027-06-15      | Floating      | 6.89%                 | 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        |      185945 | PA      | $186117.44     | 0.01%             | 2039-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class A                                                                                            | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      750000 | PA      | $750000.00     | 0.02%             | 2041-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class C                                                                                            | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1603000 | PA      | $1608742.56    | 0.05%             | 2041-03-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class D                                                                                            | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      769000 | PA      | $773898.48     | 0.02%             | 2041-03-15      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL5, Class A                                                                        | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67301 | PA      | $67342.81      | 0.00%             | 2041-03-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class A                                                                                           | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      841644 | PA      | $842422.65     | 0.02%             | 2041-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class D                                                                                           | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      324545 | PA      | $326151.07     | 0.01%             | 2041-04-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-KING, Class A                                                                       | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      858695 | PA      | $858695.44     | 0.03%             | 2034-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class A                                                                                           | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3639000 | PA      | $3637860.99    | 0.11%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-PALM, Class A                                                                       | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2654135 | PA      | $2655791.33    | 0.08%             | 2037-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                                                                       | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1740000 | PA      | $1748616.65    | 0.05%             | 2041-10-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class B                                                                       | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      423000 | PA      | $425618.67     | 0.01%             | 2041-10-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIR2, Class A                                                                       | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1975911 | PA      | $1978367.54    | 0.06%             | 2041-10-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                                                 | BXMT Ltd., Series 2025-FL5, Class A                                                                                           | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1489000 | PA      | $1481214.32    | 0.04%             | 2042-10-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                            | BSTN Commercial Mortgage Trust, Series 2025-1C, Class A                                                                       | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1127000 | PA      | $1157275.62    | 0.03%             | 2044-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer LLC                                                          | BSPDF Issuer LLC, Series 2025-FL2, Class A                                                                                    | CUSIP: 05615KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      185000 | PA      | $184868.98     | 0.01%             | 2042-12-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2015-IA, Class BR                                                                                    | CUSIP: 056162AQ3<br>LEI: 549300QR3VQZ1T0JUI29 | Long             | ABS-CBDO         | CORP              | KY        |      248174 | PA      | $248260.13     | 0.01%             | 2031-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-LIFE, Class A                                                                                           | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1863000 | PA      | $1905147.58    | 0.06%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BRES Commercial Mortgage Trust                                            | BRES Commercial Mortgage Trust, Series 2025-ATCAP, Class A                                                                    | CUSIP: 05619GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      908000 | PA      | $912147.11     | 0.03%             | 2042-11-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                                            | BOCA Commercial Mortgage Trust, Series 2025-BOCA, Class A                                                                     | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1850000 | PA      | $1852310.47    | 0.05%             | 2042-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-ARIA, Class A                                                                                           | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      845000 | PA      | $852659.93     | 0.02%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                                             | BLP Commercial Mortgage Trust, Series 2024-IND2, Class A                                                                      | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      231297 | PA      | $231439.51     | 0.01%             | 2041-03-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO                                                   | Bain Capital Credit CLO, Series 2019-2A, Class BR3                                                                            | CUSIP: 05682LBC0<br>LEI: 549300WZ8E2KQS66KT95 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250086.03     | 0.01%             | 2032-10-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO                                                   | Bain Capital Credit CLO Ltd., Series 2018-2A, Class BR                                                                        | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $750265.80     | 0.02%             | 2031-07-19      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                              | Bain Capital Credit CLO Ltd., Series 2020-2A, Class ARR                                                                       | CUSIP: 05683EAW2<br>LEI: 254900JJEDONFKODOF95 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250062.70     | 0.01%             | 2034-07-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                              | Bain Capital Credit CLO Ltd., Series 2021-3A, Class D                                                                         | CUSIP: 05683NAG7<br>LEI: 254900XV68IP5ZAT0548 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $244751.45     | 0.01%             | 2034-07-24      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Ballyrock CLO 14 Ltd.                                                     | Ballyrock CLO 14 Ltd., Series 2020-14A, Class A1AR                                                                            | CUSIP: 05874XAL3<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |      617000 | PA      | $619167.40     | 0.02%             | 2037-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Ballyrock CLO Ltd.                                                        | Ballyrock CLO Ltd., Series 2020-2A, Class A2R                                                                                 | CUSIP: 05875DAL6<br>LEI: 254900Y6C4AXEAZ9T124 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250055.10     | 0.01%             | 2031-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Ballyrock CLO 29 Ltd.                                                     | Ballyrock CLO 29 Ltd., Series 2025-29A, Class A1A                                                                             | CUSIP: 05876GAA2<br>LEI: 254900DD7OSYIC2KWA70 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250839.90     | 0.01%             | 2038-07-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Ballyrock CLO 25 Ltd.                                                     | Ballyrock CLO 25 Ltd., Series 2023-25A, Class BR                                                                              | CUSIP: 05876QAS1<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250476.15     | 0.01%             | 2038-01-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Ballyrock CLO 32 Ltd.                                                     | Ballyrock CLO 32 Ltd., Series 2025-32A, Class B                                                                               | CUSIP: 058944AG4<br>LEI: 254900RL3S1UBVHQYH63 | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $511418.06     | 0.01%             | 2039-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                                  | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      255000 | PA      | $194618.73     | 0.01%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                                  | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      279000 | PA      | $188520.85     | 0.01%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                                  | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      141000 | PA      | $135564.59     | 0.00%             | 2053-06-01      | Fixed         | 5.40%                 | 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        |      331820 | PA      | $348576.88     | 0.01%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3797000 | PA      | $3749241.49    | 0.11%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3878000 | PA      | $3745677.21    | 0.11%             | 2030-07-23      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2775000 | PA      | $2739599.63    | 0.08%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1306000 | PA      | $1198456.31    | 0.03%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1063000 | PA      | $1013998.58    | 0.03%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     5036000 | PA      | $5023660.54    | 0.15%             | 2033-04-27      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      337000 | PA      | $346957.15     | 0.01%             | 2034-04-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      944000 | PA      | $984671.09     | 0.03%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GLV9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3481000 | PA      | $3525882.52    | 0.10%             | 2027-09-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3616000 | PA      | $3663968.77    | 0.11%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      886000 | PA      | $922345.57     | 0.03%             | 2036-05-09      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust                   | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XB                                           | CUSIP: 06427DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4185000 | PA      | $20899.05      | 0.00%             | 2050-02-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2019-BN20, Class XB                                                                                              | CUSIP: 06540AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8371000 | PA      | $104884.44     | 0.00%             | 2062-09-15      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN35, Class C                                                                                               | CUSIP: 06540CBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      312000 | PA      | $265575.96     | 0.01%             | 2064-06-15      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class XA                                                                                              | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11994880 | PA      | $442542.72     | 0.01%             | 2064-05-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class XB                                                                                              | CUSIP: 06541CBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    81230000 | PA      | $1873699.11    | 0.05%             | 2064-05-15      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                              | Barclays Mortgage Loan Trust, Series 2022-NQM1, Class A1                                                                      | CUSIP: 06744DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1661435 | PA      | $1652857.74    | 0.05%             | 2052-07-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bardot CLO Ltd.                                                           | Bardot CLO Ltd., Series 2019-2A, Class ARR                                                                                    | CUSIP: 06744NBQ9<br>LEI: 549300KP12IHV6MTDK86 | Long             | ABS-CBDO         | CORP              | KY        |      245110 | PA      | $245031.26     | 0.01%             | 2032-10-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                              | Barclays Mortgage Loan Trust, Series 2025-NQM1, Class A1                                                                      | CUSIP: 06744WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7635861 | PA      | $7711158.67    | 0.22%             | 2065-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2018-2A, Class B1AR                                                                                  | CUSIP: 06760JAU9<br>LEI: 549300I8OP7Y4MO3JF74 | Long             | ABS-CBDO         | CORP              | KY        |     1840000 | PA      | $1846740.10    | 0.05%             | 2036-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Barrow Hanley CLO II Ltd.                                                 | Barrow Hanley CLO II Ltd., Series 2023-2A, Class A1R                                                                          | CUSIP: 06875RAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      370000 | PA      | $370925.15     | 0.01%             | 2038-03-31      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Battalion CLO VIII Ltd.                                                   | Battalion CLO VIII Ltd., Series 2015-8A, Class A1R3                                                                           | CUSIP: 07132ACJ0<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      938659 | PA      | $938635.15     | 0.03%             | 2030-07-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Battalion CLO VIII Ltd.                                                   | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R3                                                                           | CUSIP: 07132ACL5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      666000 | PA      | $665425.31     | 0.02%             | 2030-07-18      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Battalion CLO X Ltd.                                                      | Battalion CLO X Ltd., Series 2016-10A, Class A1R3                                                                             | CUSIP: 07132JBL7<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $349957.44     | 0.01%             | 2035-01-24      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Battalion CLO 18 Ltd.                                                     | Battalion CLO 18 Ltd., Series 2020-18A, Class BRR                                                                             | CUSIP: 07134QBA3<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |      375000 | PA      | $375302.66     | 0.01%             | 2036-10-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                   | Bay Area Toll Authority, Series 2010S-1                                                                                       | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     1385000 | PA      | $1581462.67    | 0.05%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| BAY Mortgage Trust                                                        | BAY Mortgage Trust, Series 2025-LIVN, Class A                                                                                 | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3058000 | PA      | $3060125.92    | 0.09%             | 2035-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2005-3A, Class A1                                                                      | CUSIP: 07324SCB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133956 | PA      | $130829.23     | 0.00%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2005-4A, Class A1                                                                      | CUSIP: 07324SCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      912703 | PA      | $871020.09     | 0.03%             | 2036-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-4A, Class A1                                                                      | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      198125 | PA      | $190560.94     | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2017-C1, Class B                                                                                 | CUSIP: 07332VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1895510.20    | 0.06%             | 2050-02-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2025-C35, Class A5                                                                               | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1051397.50    | 0.03%             | 2058-07-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2025-C35, Class AS                                                                               | CUSIP: 07337DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      255000 | PA      | $266561.70     | 0.01%             | 2058-07-15      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2025-C35, Class D                                                                                | CUSIP: 07337DAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      282000 | PA      | $233353.25     | 0.01%             | 2058-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                                    | Becton Dickinson & Co.                                                                                                        | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      965000 | PA      | $990544.98     | 0.03%             | 2029-06-07      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Beignet Investor LLC                                                      | Beignet Investor LLC                                                                                                          | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10165000 | PA      | $10739272.89   | 0.31%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2019-B9, Class XA                                                                            | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2772090 | PA      | $68755.58      | 0.00%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B17, Class XB                                                                           | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1560000 | PA      | $26897.72      | 0.00%             | 2053-03-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2021-B23, Class XA                                                                           | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5680735 | PA      | $257726.41     | 0.01%             | 2054-02-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2021-B24, Class XA                                                                           | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19195345 | PA      | $768863.80     | 0.02%             | 2054-03-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B21, Class A5                                                                           | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      175000 | PA      | $154814.03     | 0.00%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXVII Ltd.                                    | Benefit Street Partners CLO XXVII Ltd., Series 2022-27A, Class AR                                                             | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |     2420000 | PA      | $2428617.62    | 0.07%             | 2037-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO 43 Ltd.                                       | Benefit Street Partners CLO 43 Ltd., Series 2025-43A, Class A                                                                 | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250537.10     | 0.01%             | 2038-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO V-B Ltd.                                      | Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1R                                                              | CUSIP: 08181JAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      960000 | PA      | $963209.66     | 0.03%             | 2037-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO X Ltd.                                        | Benefit Street Partners CLO X Ltd., Series 2016-10A, Class A1R3                                                               | CUSIP: 08181LBE6<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |      966000 | PA      | $968805.65     | 0.03%             | 2038-07-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XX Ltd.                                       | Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class ARR                                                               | CUSIP: 08182FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $340817.97     | 0.01%             | 2037-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXXVIII Ltd.                                  | Benefit Street Partners CLO XXXVIII Ltd., Series 2024-38A, Class A                                                            | CUSIP: 08183FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1410000 | PA      | $1414984.35    | 0.04%             | 2038-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXVI Ltd.                                     | Benefit Street Partners CLO XXVI Ltd., Series 2022-26A, Class AR                                                              | CUSIP: 08186AAJ5<br>LEI: 2549008S0Y5AP2WIEL43 | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270906.36     | 0.01%             | 2037-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXIX Ltd.                                     | Benefit Street Partners CLO XXIX Ltd., Series 2022-29A, Class AR                                                              | CUSIP: 08186EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $249881.68     | 0.01%             | 2038-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XVIII Ltd.                                    | Benefit Street Partners CLO XVIII Ltd., Series 2019-18A, Class AR2                                                            | CUSIP: 08186PAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500797.75     | 0.01%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXIII Ltd.                                    | Benefit Street Partners CLO XXIII Ltd., Series 2021-23A, Class A1R                                                            | CUSIP: 08186VAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249827.45     | 0.01%             | 2034-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO 42 Ltd.                                       | Benefit Street Partners CLO 42 Ltd., Series 2025-42A, Class A                                                                 | CUSIP: 08187LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      690000 | PA      | $691745.63     | 0.02%             | 2038-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO 44 Ltd.                                       | Benefit Street Partners CLO 44 Ltd., Series 2025-44A, Class A1                                                                | CUSIP: 08187NAA5<br>LEI: 254900Z6HW34YGOYWK97 | Long             | ABS-CBDO         | CORP              | KY        |      570000 | PA      | $570785.75     | 0.02%             | 2039-01-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XII-B Ltd.                                    | Benefit Street Partners CLO XII-B Ltd., Series 2017-12BRA, Class A                                                            | CUSIP: 081917AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $291024.28     | 0.01%             | 2037-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XII-B Ltd.                                    | Benefit Street Partners CLO XII-B Ltd., Series 2017-12BRA, Class B                                                            | CUSIP: 081917AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $411289.70     | 0.01%             | 2037-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BHG Securitization Trust                                                  | BHG Securitization Trust, Series 2022-C, Class B                                                                              | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       85394 | PA      | $85616.58      | 0.00%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                                                                     | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      730000 | PA      | $730455.74     | 0.02%             | 2041-11-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 3 Ltd.                                                    | Birch Grove CLO 3 Ltd., Series 2021-3A, Class A1R                                                                             | CUSIP: 09076VAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250468.55     | 0.01%             | 2038-01-19      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 4 Ltd.                                                    | Birch Grove CLO 4 Ltd., Series 2022-4A, Class A1R                                                                             | CUSIP: 09077CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250897.25     | 0.01%             | 2037-07-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 2 Ltd.                                                    | Birch Grove CLO 2 Ltd., Series 2021-2A, Class A1R                                                                             | CUSIP: 09077LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501873.50     | 0.01%             | 2037-10-19      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 7 Ltd.                                                    | Birch Grove CLO 7 Ltd., Series 2023-7A, Class A1R                                                                             | CUSIP: 09077RAL3<br>LEI: 254900FP4VB7V5ZG0W95 | Long             | ABS-CBDO         | CORP              | JE        |     1120000 | PA      | $1121959.89    | 0.03%             | 2038-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 10 Ltd.                                                   | Birch Grove CLO 10 Ltd., Series 2024-10A, Class A                                                                             | CUSIP: 09090JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      550000 | PA      | $551981.10     | 0.02%             | 2038-01-22      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 13 Ltd.                                                   | Birch Grove CLO 13 Ltd., Series 2025-13A, Class A1                                                                            | CUSIP: 09090QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280642.10     | 0.01%             | 2038-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                                 | BlackRock Liquidity Funds, T-Fund, Institutional Class                                                                        | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |    79400357 | NS      | $79400356.92   | 2.31%             |  |  |  | No            |                  1 | On Loan: No      |
| BlackRock ETF Trust II                                                    | iShares AAA CLO Active ETF                                                                                                    | CUSIP: 092528504<br>LEI: 529900KNSFG5S5J6YP44 | Long             |  | RF                | US        |      100000 | NS      | $5174460.00    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2014-2A, Class BR2                                                                              | CUSIP: 09626QBC0<br>LEI: 549300NUS8PQQUZMPR50 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250182.95     | 0.01%             | 2030-10-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2013-2A, Class BR                                                                               | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |      118479 | PA      | $118490.91     | 0.00%             | 2030-10-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXV Ltd.                                                 | BlueMountain CLO XXV Ltd., Series 2019-25A, Class A1RR                                                                        | CUSIP: 09627FBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250804.75     | 0.01%             | 2038-01-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2015-3A, Class A1R                                                                              | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |      180201 | PA      | $180298.28     | 0.01%             | 2031-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2016-3A, Class A1R2                                                                             | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |       99339 | PA      | $99343.07      | 0.00%             | 2030-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BlueMountain Fuji US CLO II Ltd.                                          | BlueMountain Fuji US CLO II Ltd., Series 2017-2A, Class A2                                                                    | CUSIP: 09629EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300096.93     | 0.01%             | 2030-10-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BlueMountain Fuji US CLO II Ltd.                                          | BlueMountain Fuji US CLO II Ltd., Series 2017-2A, Class A1AR                                                                  | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      131363 | PA      | $131421.46     | 0.00%             | 2030-10-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXII Ltd.                                                | BlueMountain CLO XXII Ltd., Series 2018-22A, Class B                                                                          | CUSIP: 09629PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2020000 | PA      | $2021003.94    | 0.06%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2018-1A, Class B                                                                                | CUSIP: 09629TAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2001834.20    | 0.06%             | 2030-07-30      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2018-2A, Class B                                                                                | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1200000 | PA      | $1201575.84    | 0.03%             | 2031-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2018-3A, Class A1R                                                                              | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      206010 | PA      | $206021.83     | 0.01%             | 2030-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXVI Ltd.                                                | BlueMountain CLO XXVI Ltd., Series 2019-26A, Class D1R                                                                        | CUSIP: 09630GAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250032.73     | 0.01%             | 2034-10-20      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXIX Ltd.                                                | BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR                                                                         | CUSIP: 09630KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249753.98     | 0.01%             | 2034-07-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXXV Ltd.                                                | BlueMountain CLO XXXV Ltd., Series 2022-35A, Class A1R                                                                        | CUSIP: 09631RAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250890.50     | 0.01%             | 2037-10-22      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                          | Boeing Co. (The)                                                                                                              | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     2022000 | PA      | $2297498.31    | 0.07%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                          | BP Capital Markets America, Inc.                                                                                              | CUSIP: 10373QBM1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     4865000 | PA      | $4374558.38    | 0.13%             | 2030-08-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class A1                                                                   | CUSIP: 10569NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4509999 | PA      | $4553705.38    | 0.13%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2024-CES2, Class A1A                                                                  | CUSIP: 10570PAA1<br>LEI: 2549009UFWL9U1TS6959 | Long             | ABS-O            | CORP              | US        |      280434 | PA      | $282083.42     | 0.01%             | 2054-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                                                | BRCK Trust, Series 2025-830B, Class A                                                                                         | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1109000 | PA      | $1109292.55    | 0.03%             | 2042-12-10      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO II Ltd.                                                 | Bridge Street CLO II Ltd., Series 2021-1A, Class A1A                                                                          | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00     | 0.01%             | 2034-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO VI Ltd.                                                 | Bridge Street CLO VI Ltd., Series 2025-2A, Class A1                                                                           | CUSIP: 10806PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      870000 | PA      | $872196.58     | 0.03%             | 2039-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1599000 | PA      | $1592445.30    | 0.05%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      189000 | PA      | $186433.21     | 0.01%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      480000 | PA      | $407084.40     | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1075000 | PA      | $1061034.00    | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2768000 | PA      | $2871659.27    | 0.08%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2499000 | PA      | $2505967.44    | 0.07%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     4204000 | PA      | $4212084.33    | 0.12%             | 2034-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1402000 | PA      | $1454542.50    | 0.04%             | 2032-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     3036000 | PA      | $2776963.83    | 0.08%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FCT6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2283000 | PA      | $2081737.77    | 0.06%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FCU3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      813000 | PA      | $752565.46     | 0.02%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FCX7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1485000 | PA      | $1455785.09    | 0.04%             | 2038-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Bryant Park CLO Ltd.                                                      | Bryant Park CLO Ltd., Series 2025-27A, Class A1                                                                               | CUSIP: 11765EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1050000 | PA      | $1053394.97    | 0.03%             | 2038-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd.                                                  | Bryant Park Funding Ltd., Series 2024-24A, Class A1                                                                           | CUSIP: 11766DAA0<br>LEI: 3912003A96YDRT8EGP15 | Long             | ABS-CBDO         | CORP              | KY        |     3250000 | PA      | $3261596.98    | 0.09%             | 2037-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd.                                                  | Bryant Park Funding Ltd., Series 2025-28A, Class A                                                                            | CUSIP: 11766GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $410627.96     | 0.01%             | 2039-01-22      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Buckhorn Park CLO Ltd.                                                    | Buckhorn Park CLO Ltd., Series 2019-1A, Class ARR                                                                             | CUSIP: 118382BA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      570000 | PA      | $569719.45     | 0.02%             | 2034-07-18      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-GPA3, Class A                                                                       | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      834765 | PA      | $834764.91     | 0.02%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-GPA3, Class B                                                                       | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      248824 | PA      | $249363.56     | 0.01%             | 2039-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-TAIL, Class A                                                                                           | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210000 | PA      | $209999.98     | 0.01%             | 2035-06-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BWAY Trust                                                                | BWAY Trust, Series 2025-1535, Class A                                                                                         | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173000 | PA      | $178943.95     | 0.01%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MDHS, Class A                                                                       | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3196474 | PA      | $3201411.59    | 0.09%             | 2041-05-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                                                                       | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3557542 | PA      | $3564175.91    | 0.10%             | 2041-08-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-LBA6, Class D                                                                                           | CUSIP: 12433EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $529508.85     | 0.02%             | 2039-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-SPOT, Class A                                                                       | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1051705 | PA      | $1052361.74    | 0.03%             | 2040-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-BCAT, Class A                                                                       | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      796335 | PA      | $797326.69     | 0.02%             | 2042-08-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-BCAT, Class B                                                                       | CUSIP: 12433HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      208906 | PA      | $208906.09     | 0.01%             | 2042-08-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-BCAT, Class C                                                                       | CUSIP: 12433HAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167700 | PA      | $167909.37     | 0.00%             | 2042-08-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VLT6, Class A                                                                                           | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4766979 | PA      | $4761020.28    | 0.14%             | 2042-03-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2023-XL3, Class A                                                                        | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      857779 | PA      | $858573.53     | 0.02%             | 2040-12-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                              | CUSIP: 124857AJ2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      317000 | PA      | $233683.48     | 0.01%             | 2042-07-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                              | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       14000 | PA      | $10046.91      | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                              | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     2993000 | PA      | $2944335.95    | 0.09%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD6, Class B                                                                                   | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      121000 | PA      | $115638.43     | 0.00%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  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        |      280000 | PA      | $273295.09     | 0.01%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD5, Class B                                                                                   | CUSIP: 12515HBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      446000 | PA      | $433433.55     | 0.01%             | 2050-08-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CENT                                                                      | CENT, Series 2025-CITY, Class A                                                                                               | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1160000 | PA      | $1174108.62    | 0.03%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-R1, Class A1                                                                                            | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203813 | PA      | $201632.79     | 0.01%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XB                                                                     | CUSIP: 12531YAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2030000 | PA      | $33.15         | 0.00%             | 2058-05-10      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class B                                                                      | CUSIP: 12532CBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      667000 | PA      | $648555.05     | 0.02%             | 2050-06-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding 2021-IV Ltd., Series 2021-4A, Class AR                                                                           | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $702513.84     | 0.02%             | 2037-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2014-1A, Class BR2                                                                                  | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |      380000 | PA      | $380401.09     | 0.01%             | 2031-01-18      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2014-3A, Class A1R                                                                                  | CUSIP: 12549QBL8<br>LEI: 549300KEIUMRD7WX5J42 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249950.43     | 0.01%             | 2038-03-31      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2017-5A, Class AR                                                                                   | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250914.50     | 0.01%             | 2037-07-17      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2018-3A, Class A1R                                                                                  | CUSIP: 12551YAJ2<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250664.23     | 0.01%             | 2038-10-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2019-1A, Class A1R2                                                                                 | CUSIP: 12553DAS6<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |     1370000 | PA      | $1374924.05    | 0.04%             | 2037-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2021-6A, Class A                                                                                    | CUSIP: 12553SAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250064.23     | 0.01%             | 2034-10-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2019-3A, Class CR2                                                                                  | CUSIP: 12554VBC9<br>LEI: 254900SVOWCOSOG16T40 | Long             | ABS-CBDO         | CORP              | KY        |      490000 | PA      | $491437.27     | 0.01%             | 2038-01-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2020-1A, Class A1R                                                                                  | CUSIP: 12555QAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300151.29     | 0.01%             | 2036-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2020-1A, Class BR                                                                                   | CUSIP: 12555QAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      740000 | PA      | $740379.84     | 0.02%             | 2036-07-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2020-4A, Class A1R                                                                                  | CUSIP: 12562RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1830000 | PA      | $1835746.02    | 0.05%             | 2040-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2022-1A, Class A                                                                                    | CUSIP: 12570LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250180.08     | 0.01%             | 2035-04-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-I1, Class A1                                                                                           | CUSIP: 12571DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3031684 | PA      | $3066888.29    | 0.09%             | 2069-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-I1, Class M1                                                                                           | CUSIP: 12571DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2739130 | PA      | $2775037.26    | 0.08%             | 2069-10-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2025-4A, Class A1                                                                                   | CUSIP: 12575MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      470000 | PA      | $471316.80     | 0.01%             | 2038-10-24      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2025-4A, Class B                                                                                    | CUSIP: 12575MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      320000 | PA      | $321026.53     | 0.01%             | 2038-10-24      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2025-4A, Class C                                                                                    | CUSIP: 12575MAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      320000 | PA      | $321047.42     | 0.01%             | 2038-10-24      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2023-1A, Class A1R                                                                                  | CUSIP: 12575RAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      414270 | PA      | $415108.23     | 0.01%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2024-3A, Class A1                                                                                   | CUSIP: 12575WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250916.75     | 0.01%             | 2037-07-21      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                                             | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class A                                                                      | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2149000 | PA      | $2150995.78    | 0.06%             | 2037-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                                             | CHI Commercial Mortgage Trust, Series 2025-110W, Class D                                                                      | CUSIP: 12577HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      489000 | PA      | $490740.60     | 0.01%             | 2040-12-13      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class XB                                                                   | CUSIP: 12595JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3170000 | PA      | $16817.17      | 0.00%             | 2050-11-15      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2018-COR3, Class XD                                                                         | CUSIP: 12595VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      770000 | PA      | $26546.06      | 0.00%             | 2051-05-10      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-CX12, Class C                                                                    | CUSIP: 12595XAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      268000 | PA      | $249407.29     | 0.01%             | 2051-08-15      | Variable      | 4.72%                 | 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        |     6404432 | PA      | $269443.41     | 0.01%             | 2052-06-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                    | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1824027 | PA      | $66090.69      | 0.00%             | 2052-09-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class XB                                                                    | CUSIP: 12597BAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4040000 | PA      | $68086.08      | 0.00%             | 2052-09-15      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class D                                                                     | CUSIP: 12597DAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2849000 | PA      | $2359407.90    | 0.07%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2021-5, Class A1                                                                             | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      808707 | PA      | $735895.87     | 0.02%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2016-667M, Class D                                                                          | CUSIP: 12636GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      218436 | PA      | $164414.00     | 0.00%             | 2036-10-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class C                                                                      | CUSIP: 12636LBE9<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |      118911 | PA      | $118141.62     | 0.00%             | 2048-11-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2017-CALI, Class C                                                                                         | CUSIP: 12652FAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      370000 | PA      | $109157.40     | 0.00%             | 2032-11-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2017-TIME, Class A                                                                                         | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230000 | PA      | $218940.43     | 0.01%             | 2039-11-13      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2021-NQM8, Class M1                                                                                        | CUSIP: 12659FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      175000 | PA      | $134929.95     | 0.00%             | 2066-10-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2021-BHAR, Class B                                                                                         | CUSIP: 12659VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      465000 | PA      | $461231.36     | 0.01%             | 2038-11-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-NQM3, Class A1B                                                                                       | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1589000 | PA      | $1578895.55    | 0.05%             | 2067-03-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                              | CUSIP: 126650BR0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      187000 | PA      | $193908.66     | 0.01%             | 2039-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                              | CUSIP: 126650EE6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      562000 | PA      | $564761.77     | 0.02%             | 2044-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                    | CWHEQ Revolving Home Equity Loan Trust, Series 2006-I, Class 1A                                                               | CUSIP: 12668FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       71943 | PA      | $69799.93      | 0.00%             | 2037-01-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1                                                                    | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64040 | PA      | $62321.28      | 0.00%             | 2035-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd.                                                           | CQS US CLO Ltd., Series 2025-4A, Class A1                                                                                     | CUSIP: 12674KAC9<br>LEI: 25490009GM1MG9XIPV52 | Long             | ABS-CBDO         | CORP              | KY        |      720000 | PA      | $722551.68     | 0.02%             | 2036-07-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 5 Ltd.                                                         | CQS US CLO 5 Ltd., Series 2025-5A, Class B                                                                                    | CUSIP: 12676EAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250493.93     | 0.01%             | 2039-01-17      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class A                                                                    | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $249209.20     | 0.01%             | 2042-11-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class D                                                                    | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $458959.62     | 0.01%             | 2042-11-10      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-11, Class A1                                                                            | CUSIP: 12676KAC7<br>LEI: 213800CETFGZSOQ6WF79 | Long             | ABS-MBS          | CORP              | US        |     1214872 | PA      | $1217902.62    | 0.04%             | 2070-11-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Cali                                                                      | Cali, Series 2024-SUN, Class A                                                                                                | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1370000 | PA      | $1371692.50    | 0.04%             | 2041-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| State of California                                                       | State of California, Series 2009                                                                                              | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     1300000 | PA      | $1577650.62    | 0.05%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| State of California                                                       | State of California, Series 2018                                                                                              | CUSIP: 13063DGE2<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     4110000 | PA      | $4185219.99    | 0.12%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                           | Cameron LNG LLC                                                                                                               | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     2352000 | PA      | $2057101.98    | 0.06%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                           | Cameron LNG LLC                                                                                                               | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     2474000 | PA      | $2147629.77    | 0.06%             | 2038-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Canyon CLO Ltd.                                                           | Canyon CLO Ltd., Series 2020-3A, Class A1R                                                                                    | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501906.65     | 0.01%             | 2037-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Canyon CLO Ltd.                                                           | Canyon CLO Ltd., Series 2020-3A, Class BR                                                                                     | CUSIP: 13876RAS3<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $351059.84     | 0.01%             | 2037-10-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Canyon CLO Ltd.                                                           | Canyon CLO Ltd., Series 2018-1A, Class A                                                                                      | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       97474 | PA      | $97505.51      | 0.00%             | 2031-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd.                                                   | Canyon Capital CLO Ltd., Series 2016-1A, Class AR                                                                             | CUSIP: 13887PAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      100126 | PA      | $100162.33     | 0.00%             | 2031-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd.                                                   | Canyon Capital CLO Ltd., Series 2019-2A, Class AR2                                                                            | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1110000 | PA      | $1108360.64    | 0.03%             | 2034-10-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO II Ltd.                                               | Capital Four US CLO II Ltd., Series 2022-1A, Class AR                                                                         | CUSIP: 14016CAN6<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250466.65     | 0.01%             | 2037-01-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2022-2A, Class A1R                                                                                | CUSIP: 143119AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250918.53     | 0.01%             | 2038-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2021-11A, Class A1R                                                                               | CUSIP: 143122AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250873.75     | 0.01%             | 2037-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2017-3A, Class A1R2                                                                               | CUSIP: 14314FAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      867000 | PA      | $870541.35     | 0.03%             | 2037-10-21      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2019-4A, Class A11R                                                                               | CUSIP: 14317VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1070000 | PA      | $1070737.12    | 0.03%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2022-1A, Class A1                                                                                 | CUSIP: 14318JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250058.55     | 0.01%             | 2035-04-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2025-6A, Class A1                                                                                 | CUSIP: 14320LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $399988.56     | 0.01%             | 2039-01-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CarVal CLO IV Ltd.                                                        | CarVal CLO IV Ltd., Series 2021-1A, Class A1R                                                                                 | CUSIP: 14687EAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1270000 | PA      | $1273273.17    | 0.04%             | 2038-03-31      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Cedar Funding VII CLO Ltd.                                                | Cedar Funding VII CLO Ltd., Series 2018-7A, Class AR2                                                                         | CUSIP: 15032FAW6<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250375.25     | 0.01%             | 2038-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Cedar Funding II CLO Ltd.                                                 | Cedar Funding II CLO Ltd., Series 2013-1A, Class BR3                                                                          | CUSIP: 15032TBU9<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |      680000 | PA      | $682236.45     | 0.02%             | 2038-07-22      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Cedar Funding XI CLO Ltd.                                                 | Cedar Funding XI CLO Ltd., Series 2019-11A, Class A2R2                                                                        | CUSIP: 15033LAY8<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $279812.06     | 0.01%             | 2032-05-29      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Cerberus Loan Funding XLIV LLC                                            | Cerberus Loan Funding XLIV LLC, Series 2023-5A, Class A                                                                       | CUSIP: 15674DAA2<br>LEI: 6354005DPIRML7EMPA20 | Long             | ABS-CBDO         | CORP              | US        |      310000 | PA      | $310702.83     | 0.01%             | 2036-01-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2521000 | PA      | $2601812.27    | 0.08%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      549000 | PA      | $468289.23     | 0.01%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1063000 | PA      | $798525.21     | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      367000 | PA      | $231001.50     | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5772000 | PA      | $3439593.79    | 0.10%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4791000 | PA      | $3092222.41    | 0.09%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1786000 | PA      | $1168092.29    | 0.03%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      136000 | PA      | $94348.74      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2218000 | PA      | $1334631.08    | 0.04%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2112000 | PA      | $1670265.59    | 0.05%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                               | Cheniere Energy Partners LP                                                                                                   | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     7164000 | PA      | $6976009.69    | 0.20%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                               | Cheniere Energy Partners LP                                                                                                   | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      950000 | PA      | $874982.56     | 0.03%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                               | Cheniere Energy Partners LP                                                                                                   | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     2344000 | PA      | $2447412.36    | 0.07%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                     | Cheniere Energy, Inc.                                                                                                         | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     9330000 | PA      | $9678755.21    | 0.28%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                      | Cheniere Corpus Christi Holdings LLC                                                                                          | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     2695000 | PA      | $2631886.93    | 0.08%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                      | Cheniere Corpus Christi Holdings LLC                                                                                          | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     4147000 | PA      | $3535972.10    | 0.10%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                       | Expand Energy Corp.                                                                                                           | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      777000 | PA      | $777054.87     | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                       | Expand Energy Corp.                                                                                                           | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    11422000 | PA      | $11820290.28   | 0.34%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding 2018-II Ltd., Series 2018-2A, Class A1R                                                                          | CUSIP: 17180WAJ4<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250935.58     | 0.01%             | 2037-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2018-1A, Class A1R                                                                                  | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |      960000 | PA      | $962985.79     | 0.03%             | 2038-01-18      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2018-1A, Class BR                                                                                   | CUSIP: 17181NAG9<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $502096.00     | 0.01%             | 2038-01-18      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2017-1A, Class ARR                                                                                  | CUSIP: 17181PAC3<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |     1190000 | PA      | $1194199.51    | 0.03%             | 2037-04-21      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding 2017-I Ltd., Series 2017-1A, Class BRR                                                                           | CUSIP: 17181PAE9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $341754.54     | 0.01%             | 2037-04-21      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2019-7A, Class A1R                                                                                  | CUSIP: 171935AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      990000 | PA      | $992772.00     | 0.03%             | 2038-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 17292GKU8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | SN               | CORP              | US        |     3970000 | PA      | $3970000.00    | 0.12%             | 2030-12-11      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      175000 | PA      | $173413.58     | 0.01%             | 2030-03-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1105000 | PA      | $989966.77     | 0.03%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2239000 | PA      | $2257175.19    | 0.07%             | 2028-05-07      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      432000 | PA      | $441238.17     | 0.01%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1770000 | PA      | $1775477.76    | 0.05%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      494000 | PA      | $498617.58     | 0.01%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1930000 | PA      | $1838087.67    | 0.05%             | 2030-11-05      | Variable      | 2.98%                 | 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        |       24440 | PA      | $23645.74      | 0.00%             | 2048-09-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3934000 | PA      | $3603797.23    | 0.10%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1779000 | PA      | $1793146.86    | 0.05%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3922000 | PA      | $3978194.73    | 0.12%             | 2029-03-04      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class X                                                                | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10100000 | PA      | $342982.26     | 0.01%             | 2042-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |       34982 | PA      | $-7678.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     4059000 | PA      | $-24734.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     8075000 | PA      | $-42952.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     4050000 | PA      | $-16914.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Clover CLO LLC                                                            | Clover CLO LLC, Series 2018-1A, Class A1RR                                                                                    | CUSIP: 18914GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      280000 | PA      | $280940.49     | 0.01%             | 2037-04-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Clover CLO LLC                                                            | Clover CLO LLC, Series 2021-3A, Class AR                                                                                      | CUSIP: 18915FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      850000 | PA      | $849408.57     | 0.02%             | 2035-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COAST Commercial Mortgage Trust                                           | COAST Commercial Mortgage Trust, Series 2023-2HTL, Class A                                                                    | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1081495 | PA      | $1080819.71    | 0.03%             | 2036-08-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| COAST Commercial Mortgage Trust                                           | COAST Commercial Mortgage Trust, Series 2023-2HTL, Class D                                                                    | CUSIP: 19033EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      935000 | PA      | $933832.37     | 0.03%             | 2036-08-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-B, Class B                                                                      | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      138701 | PA      | $127435.89     | 0.00%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-B, Class C                                                                      | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       58475 | PA      | $54382.74      | 0.00%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2024-6, Class A1                                                                             | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |      536347 | PA      | $539330.86     | 0.02%             | 2069-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-7, Class A1                                                                             | CUSIP: 19689CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1602589 | PA      | $1618424.04    | 0.05%             | 2070-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-8, Class A1                                                                             | CUSIP: 19689DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      883664 | PA      | $891383.89     | 0.03%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SHELL                                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     1320000 | PA      | $-800.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     3782000 | PA      | $4193772.85    | 0.12%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class A                                                                          | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2160000 | PA      | $2162669.98    | 0.06%             | 2041-06-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class B                                                                          | CUSIP: 20047DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      635000 | PA      | $635782.76     | 0.02%             | 2041-06-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                                        | Compass Datacenters Issuer III LLC, Series 2025-3A, Class A2                                                                  | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1915000 | PA      | $1926506.09    | 0.06%             | 2050-07-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Concord Music Royalties LLC                                               | Concord Music Royalties LLC, Series 2024-1A, Class A                                                                          | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      488000 | PA      | $492371.21     | 0.01%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class A                                                                                         | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1350000 | PA      | $1347895.76    | 0.04%             | 2041-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -367000 | PA      | $-303863.07    | -0.01%            | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11554000 | PA      | $9566304.95    | 0.28%             | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -356000 | PA      | $-307022.19    | -0.01%            | 2056-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8388000 | PA      | $7233994.73    | 0.21%             | 2056-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6461000 | PA      | $5804552.32    | 0.17%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -223000 | PA      | $-200342.85    | -0.01%            | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1455000 | PA      | $1323878.59    | 0.04%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -175000 | PA      | $-159229.38    | -0.00%            | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2915000 | PA      | $2753194.73    | 0.08%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -67000 | PA      | $-63280.98     | -0.00%            | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11356000 | PA      | $11059679.38   | 0.32%             | 2056-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10051000 | PA      | $10027243.76   | 0.29%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -281000 | PA      | $-280335.84    | -0.01%            | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -889000 | PA      | $-897620.09    | -0.03%            | 2056-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    25691000 | PA      | $25940109.96   | 0.76%             | 2056-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    15963000 | PA      | $16266671.17   | 0.47%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -1020000 | PA      | $-1039403.91   | -0.03%            | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7003000 | PA      | $7238804.18    | 0.21%             | 2056-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -7003000 | PA      | $-7238804.18   | -0.21%            | 2056-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6396000 | PA      | $6604119.89    | 0.19%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd.                                                           | CQS US CLO Ltd., Series 2023-3A, Class B                                                                                      | CUSIP: 223929AE0<br>LEI: 254900OIQPM0JE7KVZ52 | Long             | ABS-CBDO         | CORP              | JE        |      400000 | PA      | $400771.72     | 0.01%             | 2037-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Creeksource Dunes Creek CLO Ltd.                                          | Creeksource Dunes Creek CLO Ltd., Series 2024-1A, Class A1                                                                    | CUSIP: 225914AA8<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501884.80     | 0.01%             | 2038-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Creeksource Dunes Creek CLO Ltd.                                          | Creeksource Dunes Creek CLO Ltd., Series 2024-1A, Class B                                                                     | CUSIP: 225914AE0<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250477.43     | 0.01%             | 2038-01-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     3108000 | PA      | $3229095.33    | 0.09%             | 2031-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -157097000 | PA      | $-425357.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -210569000 | PA      | $-813919.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2024-H7, Class A1                                                                                | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1188915 | PA      | $1198014.22    | 0.03%             | 2069-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2023-H2, Class A1A                                                                               | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      725610 | PA      | $734326.39     | 0.02%             | 2068-11-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-CES1, Class A1A                                                                             | CUSIP: 22757WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      206966 | PA      | $207691.74     | 0.01%             | 2060-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H8, Class A1A                                                                               | CUSIP: 22757XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      894269 | PA      | $896211.20     | 0.03%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H1, Class A1                                                                                | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10922453 | PA      | $11029551.58   | 0.32%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H1, Class M1                                                                                | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2901377 | PA      | $2937200.30    | 0.09%             | 2070-02-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H2, Class A1                                                                                | CUSIP: 22758PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1062588 | PA      | $1068473.86    | 0.03%             | 2070-03-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H2, Class M1                                                                                | CUSIP: 22758PAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3344817 | PA      | $3371529.04    | 0.10%             | 2070-03-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      111000 | PA      | $105289.77     | 0.00%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      432000 | PA      | $386189.94     | 0.01%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     1449000 | PA      | $1503557.89    | 0.04%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO 11 Ltd.                                                   | Crown Point CLO 11 Ltd., Series 2021-11A, Class A1R                                                                           | CUSIP: 22845JAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250473.55     | 0.01%             | 2038-02-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CRSO Trust                                                                | CRSO Trust                                                                                                                    | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      458170 | PA      | $475833.28     | 0.01%             | 2028-07-10      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2024-GATE, Class A                                                                     | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1660000 | PA      | $1670559.76    | 0.05%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -27513000 | PA      | $-191641.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    29513000 | PA      | $66518.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -29513000 | PA      | $-19809.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     5844070 | PA      | $6933.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     3891620 | PA      | $2250.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -5145000 | PA      | $-207633.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -5145000 | PA      | $-138024.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2025-LXP, Class A                                                                                            | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      313000 | PA      | $313484.90     | 0.01%             | 2037-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2025-LXP, Class D                                                                                            | CUSIP: 23292LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190000 | PA      | $190471.11     | 0.01%             | 2037-08-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| DBC Mortgage Trust                                                        | DBC Mortgage Trust, Series 2025-DBC, Class A                                                                                  | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2299000 | PA      | $2300775.52    | 0.07%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| DBGS                                                                      | DBGS, Series 2024-SBL, Class A                                                                                                | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2630000 | PA      | $2630000.00    | 0.08%             | 2034-08-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                       | DBGS Mortgage Trust, Series 2019-1735, Class X                                                                                | CUSIP: 23307EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5975000 | PA      | $53541.98      | 0.00%             | 2037-04-10      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                       | DBWF Mortgage Trust, Series 2024-LCRS, Class A                                                                                | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      139000 | PA      | $138827.00     | 0.00%             | 2037-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                      | DBJPM Mortgage Trust, Series 2017-C6, Class XD                                                                                | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3040000 | PA      | $36619.44      | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                      | DBJPM Mortgage Trust, Series 2016-C1, Class A4                                                                                | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $239303.90     | 0.01%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -11676000 | PA      | $-7343.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class A                                                                                           | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      970000 | PA      | $970897.35     | 0.03%             | 2034-03-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| DGWD Trust                                                                | DGWD Trust, Series 2025-INFL, Class A                                                                                         | CUSIP: 23347FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      989000 | PA      | $992309.89     | 0.03%             | 2035-08-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Dwight Issuer LLC                                                         | Dwight Issuer LLC, Series 2025-FL1, Class A                                                                                   | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      127000 | PA      | $127250.39     | 0.00%             | 2042-06-18      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -26789333 | PA      | $-5339.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -46321000 | PA      | $-13650.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -24881000 | PA      | $-8416.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -931360 | PA      | $-24514.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    -3190320 | PA      | $-83972.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    -3190320 | PA      | $-133291.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -931360 | PA      | $-38912.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -4636000 | PA      | $-20500.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -10485000 | PA      | $-19879.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -2347400 | PA      | $-14955.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -146700966 | PA      | $-48125.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -61768828 | PA      | $-289030.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   146700966 | PA      | $153055.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -146700966 | PA      | $-94513.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -11563000 | PA      | $-24386.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -3004000 | PA      | $-99148.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   -93231000 | PA      | $-249103.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -5779000 | PA      | $-42706.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -3004000 | PA      | $-106746.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -7683000 | PA      | $-18080.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -5779000 | PA      | $-34396.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -7683000 | PA      | $-17233.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | USD/JPY Up-and-in barrier option; Barrier price USD 160.25000                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |     6728800 | PA      | $1798.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DC Trust                                                                  | DC Trust, Series 2024-HLTN, Class A                                                                                           | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $172124.29     | 0.01%             | 2040-04-13      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2024-1, Class A1                                                                 | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      388502 | PA      | $391441.02     | 0.01%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2022-2, Class M1                                                                 | CUSIP: 24380XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      312000 | PA      | $278232.99     | 0.01%             | 2067-03-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2022-3, Class M1                                                                 | CUSIP: 24381YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      634000 | PA      | $619266.94     | 0.02%             | 2067-07-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2025-INV1, Class A1                                                              | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1060222 | PA      | $1062393.57    | 0.03%             | 2060-11-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                    | Dell International LLC                                                                                                        | CUSIP: 24703DBS9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     3565000 | PA      | $3559911.82    | 0.10%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 3 Ltd.                                               | Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1R                                                                        | CUSIP: 25255JAL1<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |      710000 | PA      | $712639.78     | 0.02%             | 2038-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 5 Ltd.                                               | Diameter Capital CLO 5 Ltd., Series 2023-5A, Class A1R                                                                        | CUSIP: 25255RAL3<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |      660000 | PA      | $661217.37     | 0.02%             | 2039-01-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 12 Ltd.                                              | Diameter Capital CLO 12 Ltd., Series 2025-12A, Class A                                                                        | CUSIP: 25255YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1160000 | PA      | $1162048.56    | 0.03%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 13 Ltd.                                              | Diameter Capital CLO 13 Ltd., Series 2025-13A, Class A1                                                                       | CUSIP: 25256GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1010000 | PA      | $1010000.00    | 0.03%             | 2039-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 8 Ltd.                                               | Diameter Capital CLO 8 Ltd., Series 2024-8A, Class A1A                                                                        | CUSIP: 25256JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4590000 | PA      | $4607506.72    | 0.13%             | 2037-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                                      | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     9863000 | PA      | $9791569.29    | 0.29%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                                      | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    11766000 | PA      | $11413945.87   | 0.33%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                                      | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     7957000 | PA      | $7435117.80    | 0.22%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 10 Ltd.                                              | Diameter Capital CLO 10 Ltd., Series 2025-10A, Class A                                                                        | CUSIP: 25290BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4844000 | PA      | $4858937.44    | 0.14%             | 2038-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Dominion Energy South Carolina, Inc.                                      | Dominion Energy South Carolina, Inc., Series 2025                                                                             | CUSIP: 25731VAC8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |      561000 | PA      | $579943.67     | 0.02%             | 2035-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                     | Dominion Energy, Inc., Series B                                                                                               | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     3642000 | PA      | $3943379.14    | 0.11%             | 2054-06-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Dryden 41 Senior Loan Fund                                                | Dryden 41 Senior Loan Fund, Series 2015-41A, Class AR                                                                         | CUSIP: 26244KAN6<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | KY        |       89953 | PA      | $89956.06      | 0.00%             | 2031-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Dryden 55 CLO Ltd.                                                        | Dryden 55 CLO Ltd., Series 2018-55A, Class A1                                                                                 | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      199585 | PA      | $199676.94     | 0.01%             | 2031-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Dryden 87 CLO Ltd.                                                        | Dryden 87 CLO Ltd., Series 2021-87A, Class BR                                                                                 | CUSIP: 26246GAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $331420.91     | 0.01%             | 2038-08-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Dryden 98 CLO Ltd.                                                        | Dryden 98 CLO Ltd., Series 2022-98A, Class A                                                                                  | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250124.40     | 0.01%             | 2035-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Dryden 30 Senior Loan Fund                                                | Dryden 30 Senior Loan Fund, Series 2013-30A, Class CR                                                                         | CUSIP: 26249BAU5<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |      230127 | PA      | $230721.36     | 0.01%             | 2028-11-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Dryden 64 CLO Ltd.                                                        | Dryden 64 CLO Ltd., Series 2018-64A, Class A                                                                                  | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      169192 | PA      | $169202.21     | 0.00%             | 2031-04-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Dryden 65 CLO Ltd.                                                        | Dryden 65 CLO Ltd., Series 2018-65A, Class B                                                                                  | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250876.70     | 0.01%             | 2030-07-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Dryden 72 CLO Ltd.                                                        | Dryden 72 CLO Ltd., Series 2019-72A, Class ARR                                                                                | CUSIP: 26252NAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      152313 | PA      | $152309.98     | 0.00%             | 2032-05-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                                                        | Dryden 68 CLO Ltd., Series 2019-68A, Class ARR                                                                                | CUSIP: 26252QAS1<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249954.75     | 0.01%             | 2035-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Dryden 104 CLO Ltd.                                                       | Dryden 104 CLO Ltd., Series 2022-104A, Class A1R                                                                              | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      690000 | PA      | $690111.09     | 0.02%             | 2034-08-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                             | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     1011000 | PA      | $778572.32     | 0.02%             | 2047-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                             | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      253000 | PA      | $199119.80     | 0.01%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                             | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     1439000 | PA      | $996578.66     | 0.03%             | 2051-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                             | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     4635000 | PA      | $4583033.31    | 0.13%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                                     | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     1003000 | PA      | $757241.43     | 0.02%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                                     | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      484000 | PA      | $383314.38     | 0.01%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                                     | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     2598000 | PA      | $1774632.88    | 0.05%             | 2049-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                                     | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      780000 | PA      | $553191.03     | 0.02%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                                     | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      295000 | PA      | $283000.48     | 0.01%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                                    | Duke Energy Ohio, Inc.                                                                                                        | CUSIP: 26442EAH3<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      492000 | PA      | $450382.40     | 0.01%             | 2030-06-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                                    | Duke Energy Ohio, Inc.                                                                                                        | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     1298000 | PA      | $1344576.96    | 0.04%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                  | Duke Energy Progress LLC                                                                                                      | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     1844000 | PA      | $1405399.82    | 0.04%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                  | Duke Energy Progress LLC                                                                                                      | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     1722000 | PA      | $1003914.10    | 0.03%             | 2050-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                  | Duke Energy Progress LLC                                                                                                      | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     1002000 | PA      | $776735.27     | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                  | Duke Energy Progress LLC                                                                                                      | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     3209000 | PA      | $3262864.70    | 0.10%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                                   | Duke Energy Florida LLC                                                                                                       | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     2534000 | PA      | $2285921.37    | 0.07%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Durst Commercial Mortgage Trust                                           | Durst Commercial Mortgage Trust, Series 2025-151, Class A                                                                     | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      346000 | PA      | $352934.91     | 0.01%             | 2042-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Durst Commercial Mortgage Trust                                           | Durst Commercial Mortgage Trust, Series 2025-151, Class D                                                                     | CUSIP: 266895AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      662000 | PA      | $683808.86     | 0.02%             | 2042-08-10      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2024-INV2, Class A1                                                                | CUSIP: 26844LAA6<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |     5330914 | PA      | $5333760.45    | 0.16%             | 2069-10-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2024-NQM1, Class A1A                                                               | CUSIP: 26845DAA3<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-MBS          | CORP              | US        |      698312 | PA      | $704266.88     | 0.02%             | 2069-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-INV1, Class A1                                                                | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |     5002523 | PA      | $5051425.11    | 0.15%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-INV3, Class A1                                                                | CUSIP: 26847NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2319042 | PA      | $2339268.55    | 0.07%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class A15                                                                                         | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960000 | PA      | $965040.48     | 0.03%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class XP15                                                                                        | CUSIP: 26860XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9225000 | PA      | $59383.35      | 0.00%             | 2039-06-10      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class A10                                                                                         | CUSIP: 26860XAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960000 | PA      | $965040.48     | 0.03%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class XP10                                                                                        | CUSIP: 26860XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10185000 | PA      | $9861.32       | 0.00%             | 2039-06-10      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     8018000 | PA      | $7981476.65    | 0.23%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     7477000 | PA      | $8121164.56    | 0.24%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2696000 | PA      | $2731148.24    | 0.08%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2508000 | PA      | $2493673.35    | 0.07%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     7560000 | PA      | $7109306.44    | 0.21%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     5379000 | PA      | $5550830.11    | 0.16%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1871000 | PA      | $1954530.94    | 0.06%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAT6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2127000 | PA      | $2168011.73    | 0.06%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAV1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      285000 | PA      | $289210.82     | 0.01%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAX7<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     8315000 | PA      | $8334614.92    | 0.24%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAZ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     3724000 | PA      | $3853524.18    | 0.11%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LBB4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    14623000 | PA      | $16084846.69   | 0.47%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LBD0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    18326000 | PA      | $18446283.43   | 0.54%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CLO Ltd.                                                      | Eaton Vance CLO Ltd., Series 2020-2A, Class AR2                                                                               | CUSIP: 27829PAU0<br>LEI: 549300FU3GAH1NNHOO94 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250919.25     | 0.01%             | 2037-10-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CLO Ltd.                                                      | Eaton Vance CLO Ltd., Series 2013-1A, Class AR4                                                                               | CUSIP: 27830BBY9<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501660.10     | 0.01%             | 2038-10-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Loan Issue No. 4 LLC                          | EDvestinU Private Education Loan Issue No. 4 LLC, Series 2022-A, Class A                                                      | CUSIP: 28165AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      367627 | PA      | $368181.91     | 0.01%             | 2040-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | EFMT, Series 2025-NQM5, Class A1                                                                                              | CUSIP: 28225KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      919838 | PA      | $921565.80     | 0.03%             | 2070-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                        | Elevation CLO Ltd., Series 2018-10A, Class BR                                                                                 | CUSIP: 28623CAN1<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $329946.05     | 0.01%             | 2031-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 38 Ltd.                                                       | Elmwood CLO 38 Ltd., Series 2025-1A, Class A                                                                                  | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1370000 | PA      | $1368513.41    | 0.04%             | 2038-04-22      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd.                                                       | Elmwood CLO 29 Ltd., Series 2024-5A, Class AR1                                                                                | CUSIP: 289913AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1010000 | PA      | $1013478.95    | 0.03%             | 2037-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                                       | Elmwood CLO II Ltd., Series 2019-2A, Class A1RR                                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1250000 | PA      | $1254332.13    | 0.04%             | 2037-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                                       | Elmwood CLO II Ltd., Series 2019-2A, Class BRR                                                                                | CUSIP: 29001LBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250912.05     | 0.01%             | 2037-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VI Ltd.                                                       | Elmwood CLO VI Ltd., Series 2020-3A, Class ARR                                                                                | CUSIP: 29001VAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $361380.92     | 0.01%             | 2037-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 24 Ltd.                                                       | Elmwood CLO 24 Ltd., Series 2023-3A, Class AR                                                                                 | CUSIP: 290020AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      850000 | PA      | $853331.15     | 0.02%             | 2038-01-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd.                                                      | Elmwood CLO III Ltd., Series 2019-3A, Class BRR                                                                               | CUSIP: 29002HBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250895.50     | 0.01%             | 2037-07-18      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VII Ltd.                                                      | Elmwood CLO VII Ltd., Series 2020-4A, Class A1RR                                                                              | CUSIP: 29002QAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250888.98     | 0.01%             | 2037-10-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                                                      | Elmwood CLO XII Ltd., Series 2021-5A, Class AR                                                                                | CUSIP: 29002YAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      292000 | PA      | $293040.31     | 0.01%             | 2037-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 19 Ltd.                                                       | Elmwood CLO 19 Ltd., Series 2022-6A, Class AR2                                                                                | CUSIP: 29004JAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250524.43     | 0.01%             | 2038-10-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Embraer Netherlands Finance BV                                            | Embraer Netherlands Finance BV                                                                                                | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |     1156000 | PA      | $1224088.40    | 0.04%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2463000 | PA      | $2502811.37    | 0.07%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 29273RBC2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      401000 | PA      | $451886.88     | 0.01%             | 2029-11-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1008000 | PA      | $1058777.42    | 0.03%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2349000 | PA      | $2226032.03    | 0.06%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      276000 | PA      | $230914.76     | 0.01%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Equinix Europe 2 Financing Corp. LLC                                      | Equinix Europe 2 Financing Corp. LLC                                                                                          | CUSIP: 29390XAA2<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1759996.76    | 0.05%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQT Trust                                                                 | EQT Trust, Series 2024-EXTR, Class A                                                                                          | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3470000 | PA      | $3550925.95    | 0.10%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                                 | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $4886901.18    | 0.14%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                                 | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      450000 | PA      | $307441.72     | 0.01%             | 2052-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                                 | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     3888000 | PA      | $3736758.28    | 0.11%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                    | Extra Space Storage LP                                                                                                        | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      782000 | PA      | $772747.10     | 0.02%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                    | Extra Space Storage LP                                                                                                        | CUSIP: 30225VAK3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     1904000 | PA      | $1981691.75    | 0.06%             | 2030-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                    | Extra Space Storage LP                                                                                                        | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      189000 | PA      | $187138.63     | 0.01%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                    | Extra Space Storage LP                                                                                                        | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     1286000 | PA      | $1163452.80    | 0.03%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                      | Meta Platforms, Inc.                                                                                                          | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     3187000 | PA      | $2574410.44    | 0.07%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                      | Meta Platforms, Inc.                                                                                                          | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     2526000 | PA      | $2343104.26    | 0.07%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-K80, Class B                                                | CUSIP: 30307RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      235000 | PA      | $231312.10     | 0.01%             | 2050-08-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2024-FL9, Class A                                                                                | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      931000 | PA      | $929668.39     | 0.03%             | 2039-10-19      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2025-FL10, Class A                                                                               | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      210000 | PA      | $209909.62     | 0.01%             | 2042-08-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31283HQM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         732 | PA      | $755.73        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         494 | PA      | $510.29        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128KBBX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14330 | PA      | $14808.99      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      309930 | PA      | $315135.89     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      191844 | PA      | $193726.89     | 0.01%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      113100 | PA      | $108381.68     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M9QK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      468342 | PA      | $476218.30     | 0.01%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      722999 | PA      | $755700.55     | 0.02%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      112487 | PA      | $115809.79     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9470 | PA      | $9563.39       | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      221802 | PA      | $228621.07     | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      157217 | PA      | $154702.07     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MFCW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4655 | PA      | $4590.60       | 0.00%             | 2029-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      308863 | PA      | $300495.96     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MJMD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      102343 | PA      | $106759.06     | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      359083 | PA      | $345213.41     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51614 | PA      | $52097.65      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       56723 | PA      | $55564.29      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23362 | PA      | $23551.50      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312942F34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34899 | PA      | $34211.09      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94448 | PA      | $92916.88      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312943JY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22119 | PA      | $21748.12      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32444 | PA      | $31826.45      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32184 | PA      | $31680.81      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312944SL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33532 | PA      | $33007.23      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $45.59         | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307KBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55435 | PA      | $54200.61      | 0.00%             | 2029-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1072 | PA      | $1044.87       | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41650 | PA      | $40311.18      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MR32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37922 | PA      | $36752.52      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      209396 | PA      | $205707.87     | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MYJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      426691 | PA      | $420213.47     | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18663 | PA      | $18350.44      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27138 | PA      | $26390.24      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36003 | PA      | $35091.82      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19802 | PA      | $19432.54      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6304 | PA      | $6130.48       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25182 | PA      | $24601.29      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25441 | PA      | $24856.63      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35228 | PA      | $34389.50      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31329KME1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         665 | PA      | $674.59        | 0.00%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57439 | PA      | $54395.61      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      299428 | PA      | $281448.12     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      418617 | PA      | $410920.36     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132CWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      443459 | PA      | $404486.67     | 0.01%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132CWS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      670606 | PA      | $621625.46     | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132CWS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      268329 | PA      | $248881.42     | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132CWSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2561624 | PA      | $2333342.52    | 0.07%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132CWTB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1362935 | PA      | $1263795.36    | 0.04%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132CWXG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      515077 | PA      | $478074.12     | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1107612 | PA      | $1028056.88    | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1457043 | PA      | $1422623.51    | 0.04%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1152957 | PA      | $1089926.89    | 0.03%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      478685 | PA      | $394489.70     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1017165 | PA      | $837708.55     | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1238905 | PA      | $1022117.35    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      196285 | PA      | $162700.57     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      336682 | PA      | $325307.41     | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3036330 | PA      | $2505038.33    | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2176045 | PA      | $1797411.19    | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      718190 | PA      | $693267.24     | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1357702 | PA      | $1312699.05    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      138549 | PA      | $135502.01     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1118558 | PA      | $1045100.06    | 0.03%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      412078 | PA      | $399188.70     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3930908 | PA      | $3844453.37    | 0.11%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1609853 | PA      | $1535778.83    | 0.04%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      300631 | PA      | $284864.48     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72662 | PA      | $70223.10      | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1641246 | PA      | $1577626.11    | 0.05%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3441553 | PA      | $3367665.59    | 0.10%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      670116 | PA      | $651045.97     | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1062334 | PA      | $973825.67     | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4109127 | PA      | $3799235.88    | 0.11%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5944926 | PA      | $5391303.71    | 0.16%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1435130 | PA      | $1397507.84    | 0.04%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      769464 | PA      | $744520.05     | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3027068 | PA      | $2733089.22    | 0.08%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1157272 | PA      | $1113171.66    | 0.03%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2767235 | PA      | $2410610.52    | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      214946 | PA      | $177110.49     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1232414 | PA      | $1012653.40    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4104958 | PA      | $3386738.41    | 0.10%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DNHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      485804 | PA      | $469164.89     | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1474539 | PA      | $1494077.89    | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2974047 | PA      | $2996563.24    | 0.09%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DP3F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      409081 | PA      | $421563.10     | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DPEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      337751 | PA      | $326235.15     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1258096 | PA      | $1295969.62    | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DPQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      286691 | PA      | $293595.71     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      600938 | PA      | $624751.04     | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2066503 | PA      | $2116271.30    | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10526600 | PA      | $10534124.60   | 0.31%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DU2R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1098305 | PA      | $1135800.06    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2356339 | PA      | $1818114.00    | 0.05%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9440680 | PA      | $7790876.80    | 0.23%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      831496 | PA      | $751790.98     | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7356088 | PA      | $6348908.14    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      580756 | PA      | $480500.22     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4084800 | PA      | $3540981.46    | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2424305 | PA      | $2004121.41    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1056648 | PA      | $873188.99     | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1126704 | PA      | $1015734.36    | 0.03%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15126327 | PA      | $13616602.65   | 0.40%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3519316 | PA      | $3031660.51    | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2468420 | PA      | $2210131.82    | 0.06%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6132493 | PA      | $4997649.86    | 0.15%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      539845 | PA      | $438427.84     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      426171 | PA      | $417782.13     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22842 | PA      | $22654.06      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15258 | PA      | $15108.33      | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      119945 | PA      | $120889.95     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3227 | PA      | $3166.96       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      118443 | PA      | $118554.42     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GJ5A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29409 | PA      | $28795.92      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44271 | PA      | $43348.13      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      148914 | PA      | $142977.99     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GTNL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      146502 | PA      | $144459.44     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13844 | PA      | $13257.95      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5293 | PA      | $5071.71       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      240337 | PA      | $230756.24     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21970 | PA      | $21198.74      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63944 | PA      | $61394.56      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      362714 | PA      | $335832.65     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89303 | PA      | $85198.46      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JAST3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67751 | PA      | $64837.33      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29818 | PA      | $28259.12      | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JN3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      392392 | PA      | $388494.63     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JN7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      460648 | PA      | $461481.52     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89243 | PA      | $87198.83      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      113667 | PA      | $113563.43     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JQJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      235161 | PA      | $231452.15     | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      210807 | PA      | $205654.14     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      177057 | PA      | $172574.34     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36094 | PA      | $35601.37      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       47772 | PA      | $47091.33      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123098 | PA      | $119927.31     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      122042 | PA      | $118845.04     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      234595 | PA      | $228550.28     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8636 | PA      | $8410.61       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30147 | PA      | $29594.24      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86212 | PA      | $82228.19      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31502 | PA      | $30059.77      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18560 | PA      | $17734.14      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27871 | PA      | $26658.75      | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41455 | PA      | $39718.41      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73697 | PA      | $69437.14      | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13428 | PA      | $13115.72      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30754 | PA      | $30012.67      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      260319 | PA      | $254510.50     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45075 | PA      | $42852.89      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59081 | PA      | $57597.62      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58240 | PA      | $56731.06      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      292543 | PA      | $266575.21     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      146422 | PA      | $134375.58     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      152079 | PA      | $139285.24     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73723 | PA      | $67726.22      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2312297 | PA      | $2300983.06    | 0.07%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      373424 | PA      | $371176.36     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63997 | PA      | $60378.35      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      102718 | PA      | $97464.64      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      668202 | PA      | $664932.23     | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132Y4AU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1973848 | PA      | $1969242.88    | 0.06%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      305904 | PA      | $304788.51     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      612766 | PA      | $611328.90     | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48318 | PA      | $47310.68      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      408740 | PA      | $385862.34     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      229319 | PA      | $228734.62     | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      753637 | PA      | $751395.95     | 0.02%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      229615 | PA      | $228705.86     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      390341 | PA      | $371918.28     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      459178 | PA      | $437506.79     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      141857 | PA      | $144428.21     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      432606 | PA      | $405081.28     | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      583410 | PA      | $503248.87     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A7UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      159511 | PA      | $145122.48     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      319054 | PA      | $263482.60     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133B3GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1161949 | PA      | $958617.18     | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79727 | PA      | $80554.94      | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      815984 | PA      | $799535.08     | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      353418 | PA      | $355932.34     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      117280 | PA      | $118120.76     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133BUJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1041246 | PA      | $1066131.30    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133D1CR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      134069 | PA      | $137813.64     | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      930856 | PA      | $722435.52     | 0.02%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2298146 | PA      | $2076131.40    | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1195469 | PA      | $1075427.00    | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8061775 | PA      | $6981651.77    | 0.20%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1337764 | PA      | $1200082.22    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4116862 | PA      | $3365350.58    | 0.10%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5112523 | PA      | $4416780.20    | 0.13%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2712291 | PA      | $2352710.42    | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      388919 | PA      | $318380.84     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2458354 | PA      | $2409457.68    | 0.07%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KQ2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      324789 | PA      | $336472.16     | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KQDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41865 | PA      | $43558.80      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      761086 | PA      | $783410.45     | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KQQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      264496 | PA      | $274994.36     | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1345767 | PA      | $1378177.07    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KR5K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      650499 | PA      | $662494.31     | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KR6D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      554839 | PA      | $578725.52     | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2262266 | PA      | $2316749.06    | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KRJT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      389760 | PA      | $396787.87     | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KRPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      512503 | PA      | $522532.22     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      367427 | PA      | $374244.41     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      404037 | PA      | $349926.51     | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2210531 | PA      | $1918587.84    | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      426062 | PA      | $369526.51     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133L8AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      730401 | PA      | $677268.47     | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133L8FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      630099 | PA      | $573550.93     | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133L8GG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1592208 | PA      | $1476327.76    | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133L8JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1749218 | PA      | $1627279.73    | 0.05%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133L8KJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      748954 | PA      | $696739.45     | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      771022 | PA      | $629937.82     | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133W7J30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82381 | PA      | $85071.90      | 0.00%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                         | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |     1500000 | PA      | $1691315.04    | 0.05%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2023-35, Class FC                                           | CUSIP: 3136BQEZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1690215 | PA      | $1694951.72    | 0.05%             | 2053-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2023-68, Class FB                                           | CUSIP: 3136BQF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1782544 | PA      | $1787069.03    | 0.05%             | 2054-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-63, Class FH                                           | CUSIP: 3136BSQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1289632 | PA      | $1293256.67    | 0.04%             | 2054-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2024-88, Class FC                                                               | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1061166 | PA      | $1069172.16    | 0.03%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-96, Class FA                                           | CUSIP: 3136BTK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1847837 | PA      | $1862261.79    | 0.05%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-95, Class FC                                           | CUSIP: 3136BTQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      370891 | PA      | $373935.05     | 0.01%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-13, Class FB                                           | CUSIP: 3136BU2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1303696 | PA      | $1311885.56    | 0.04%             | 2055-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-1, Class FX                                            | CUSIP: 3136BUE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1215986 | PA      | $1224716.18    | 0.04%             | 2055-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-2, Class FG                                            | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2303752 | PA      | $2324775.59    | 0.07%             | 2055-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-18, Class FH                                           | CUSIP: 3136BVAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      661814 | PA      | $667249.67     | 0.02%             | 2054-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-9, Class FG                                            | CUSIP: 3136BVEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      690351 | PA      | $695193.63     | 0.02%             | 2055-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-35, Class FJ                                           | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1532591 | PA      | $1549536.88    | 0.05%             | 2055-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-42, Class FA                                           | CUSIP: 3136BWKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      915658 | PA      | $924580.33     | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-42, Class FE                                           | CUSIP: 3136BWLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1670863 | PA      | $1688984.31    | 0.05%             | 2055-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-63, Class DF                                           | CUSIP: 3136BWXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      822161 | PA      | $829734.28     | 0.02%             | 2055-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      265097 | PA      | $271678.34     | 0.01%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31371KLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          48 | PA      | $49.31         | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                         | CUSIP: 31371KRN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5145 | PA      | $5356.31       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K120, Class X1  | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    40226952 | PA      | $1591064.44    | 0.05%             | 2030-10-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K121, Class X1  | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2998127 | PA      | $116814.23     | 0.00%             | 2030-10-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series KL06, Class XFX | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1452392 | PA      | $65224.00      | 0.00%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series KW09, Class X1  | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8594947 | PA      | $169537.92     | 0.00%             | 2029-05-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series KL05, Class X1P | CUSIP: 3137FNAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13486000 | PA      | $378112.38     | 0.01%             | 2029-06-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ48, Class A2                      | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      476000 | PA      | $490264.43     | 0.01%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-P015, Class A1                                         | CUSIP: 3137HDJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      236591 | PA      | $235993.91     | 0.01%             | 2032-11-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5468, Class WF                                                   | CUSIP: 3137HHC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1340269 | PA      | $1343090.23    | 0.04%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5482, Class FB                                                   | CUSIP: 3137HHLV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1474329 | PA      | $1488872.80    | 0.04%             | 2054-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5479, Class FB                                                   | CUSIP: 3137HHMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      768533 | PA      | $774483.02     | 0.02%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5478, Class FD                                                                       | CUSIP: 3137HHSB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      926799 | PA      | $933974.01     | 0.03%             | 2054-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5500, Class DF                                                                       | CUSIP: 3137HJAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1138958 | PA      | $1147332.22    | 0.03%             | 2054-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5503, Class FB                                                   | CUSIP: 3137HJD53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      997355 | PA      | $1004994.14    | 0.03%             | 2055-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5508, Class FE                                                   | CUSIP: 3137HJGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1251346 | PA      | $1264732.59    | 0.04%             | 2055-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5502, Class EF                                                   | CUSIP: 3137HJSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      905220 | PA      | $912823.80     | 0.03%             | 2055-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5516, Class FC                                                   | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22334972 | PA      | $22509168.74   | 0.66%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5513, Class FD                                                   | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9299213 | PA      | $9366874.51    | 0.27%             | 2055-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5515, Class FB                                                   | CUSIP: 3137HKJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      943096 | PA      | $951110.29     | 0.03%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5539, Class FC                                                   | CUSIP: 3137HL3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1266254 | PA      | $1278732.18    | 0.04%             | 2055-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5543, Class FC                                                   | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      969014 | PA      | $978456.34     | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5543, Class FG                                                   | CUSIP: 3137HLLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      977862 | PA      | $987498.90     | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Class FH                                                                | CUSIP: 3137HLLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1230058 | PA      | $1242478.44    | 0.04%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5543, Class FM                                                   | CUSIP: 3137HLLH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1296728 | PA      | $1309505.74    | 0.04%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5563, Class FA                                                   | CUSIP: 3137HMKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2137750 | PA      | $2154906.50    | 0.06%             | 2055-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5570, Class FA                                                   | CUSIP: 3137HMM23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1393332 | PA      | $1405315.00    | 0.04%             | 2055-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5574, Class FB                                                   | CUSIP: 3137HMZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1013310 | PA      | $1021336.16    | 0.03%             | 2055-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31383MMZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22030 | PA      | $22601.03      | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31385H3P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         118 | PA      | $120.37        | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31389GP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $6.91          | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59098 | PA      | $61119.71      | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138A5WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2256 | PA      | $2279.90       | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138AEY49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35907 | PA      | $35962.61      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138AFCC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3933 | PA      | $4045.04       | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138AK7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46507 | PA      | $46699.49      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65113 | PA      | $66960.43      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152562 | PA      | $153521.14     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138E2GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29590 | PA      | $30383.60      | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      544358 | PA      | $529219.93     | 0.02%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25957 | PA      | $24845.28      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13424 | PA      | $12865.95      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EGCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2474 | PA      | $2543.72       | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EGDR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7806 | PA      | $7856.20       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40084 | PA      | $41184.14      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      553120 | PA      | $588322.29     | 0.02%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2098 | PA      | $2098.63       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      249890 | PA      | $252051.22     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      369698 | PA      | $391015.34     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98664 | PA      | $104353.86     | 0.00%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ENGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1223112 | PA      | $1223884.13    | 0.04%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89261 | PA      | $87752.68      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                         | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53731 | PA      | $52449.82      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      126868 | PA      | $124978.24     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103888 | PA      | $102320.56     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54133 | PA      | $53316.74      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156567 | PA      | $153920.98     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113801 | PA      | $111906.51     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9439 | PA      | $9299.01       | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1089687 | PA      | $1106019.70    | 0.03%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6580 | PA      | $6412.14       | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67699 | PA      | $67744.59      | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20344 | PA      | $18667.63      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26600 | PA      | $25153.04      | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79895 | PA      | $78510.11      | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      537283 | PA      | $536737.28     | 0.02%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59299 | PA      | $59339.18      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62733 | PA      | $60085.45      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78546 | PA      | $76776.52      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9513 | PA      | $9119.70       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9492 | PA      | $9068.37       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34454 | PA      | $32867.92      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136426 | PA      | $137340.16     | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138M7PZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31024 | PA      | $30824.55      | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6057 | PA      | $5987.14       | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5315 | PA      | $5244.99       | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22230 | PA      | $21880.83      | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54980 | PA      | $54178.71      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WCKZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      169479 | PA      | $167170.31     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2936 | PA      | $2864.97       | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3590 | PA      | $3501.66       | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WEBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      413784 | PA      | $381098.16     | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24845 | PA      | $24224.42      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WEKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1220246 | PA      | $1121579.51    | 0.03%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12871 | PA      | $12823.45      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62118 | PA      | $60512.38      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10377 | PA      | $10099.93      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      642749 | PA      | $589183.33     | 0.02%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1257153 | PA      | $1152383.37    | 0.03%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      378077 | PA      | $377444.35     | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66105 | PA      | $64367.13      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128211 | PA      | $124840.12     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91678 | PA      | $90175.94      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119505 | PA      | $117516.80     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77557 | PA      | $75518.04      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97707 | PA      | $96057.08      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86594 | PA      | $85972.00      | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95516 | PA      | $92923.10      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125919 | PA      | $122444.82     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97470 | PA      | $94823.56      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97534 | PA      | $94797.16      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122305 | PA      | $118930.07     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85384 | PA      | $83028.16      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      282049 | PA      | $273341.04     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      135771 | PA      | $131636.94     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17003 | PA      | $15512.70      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78440 | PA      | $71975.18      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71738 | PA      | $69564.32      | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127815 | PA      | $117280.64     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125230 | PA      | $121307.77     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58156 | PA      | $56367.93      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191939 | PA      | $185870.68     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104471 | PA      | $101153.17     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111621 | PA      | $108139.51     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      150666 | PA      | $146079.82     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      197996 | PA      | $189621.96     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12509 | PA      | $11972.78      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      202128 | PA      | $192454.63     | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79610 | PA      | $75718.58      | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      217995 | PA      | $210768.31     | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      529747 | PA      | $484609.25     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      268540 | PA      | $256204.66     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79962 | PA      | $77171.98      | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WKLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204065 | PA      | $199337.47     | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14020 | PA      | $13855.00      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16406 | PA      | $16211.25      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X4GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      286435 | PA      | $283246.39     | 0.01%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X4S68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100518 | PA      | $99601.40      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180425 | PA      | $178215.76     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186048 | PA      | $183885.31     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113778 | PA      | $112574.25     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      833051 | PA      | $830006.22     | 0.02%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X8QJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      297586 | PA      | $295310.21     | 0.01%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32738 | PA      | $32305.32      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7555 | PA      | $7443.52       | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      173883 | PA      | $174011.00     | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XHBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148394 | PA      | $147004.68     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      308098 | PA      | $308926.67     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XSGK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215822 | PA      | $212700.48     | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XTR56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      265405 | PA      | $263029.37     | 0.01%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XTT88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53810 | PA      | $52727.04      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XUBT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54826 | PA      | $53962.54      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XUUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99003 | PA      | $97616.44      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XWUY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      142032 | PA      | $140772.53     | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164095 | PA      | $157844.80     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138Y4BK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18520 | PA      | $18269.42      | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138Y4T58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107117 | PA      | $105435.18     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18562 | PA      | $18192.65      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138Y9BM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      436536 | PA      | $431921.37     | 0.01%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YBWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69104 | PA      | $67230.45      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26461 | PA      | $25958.83      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YD3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32863 | PA      | $30358.88      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YGYL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39024 | PA      | $37859.27      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YJDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170318 | PA      | $157074.33     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YLYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100186 | PA      | $91912.34      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16032 | PA      | $15627.37      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40324 | PA      | $39653.03      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YXT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17673 | PA      | $17177.65      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31390MJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         757 | PA      | $769.70        | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2005-29, Class WB                                                               | CUSIP: 31394DGE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1742 | PA      | $1735.28       | 0.00%             | 2035-04-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 2996, Class MK                                                                       | CUSIP: 31395UYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1054 | PA      | $1085.96       | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association ACES Variable Rate Notes, Series 2006-M2, Class A2A                                     | CUSIP: 31396PGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      397426 | PA      | $398720.06     | 0.01%             | 2032-10-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31400EU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         846 | PA      | $868.29        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      591865 | PA      | $608496.85     | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7123 | PA      | $7429.03       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14347 | PA      | $14943.97      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1303662 | PA      | $1353168.05    | 0.04%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3334 | PA      | $3452.94       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402TTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141655 | PA      | $139804.00     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140A84Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      116904 | PA      | $120723.17     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140ATJ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155733 | PA      | $160820.56     | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18689 | PA      | $18231.89      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6721 | PA      | $6592.06       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11242 | PA      | $10841.76      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21996 | PA      | $21204.56      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43048 | PA      | $41667.39      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10218 | PA      | $9906.71       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62447 | PA      | $59775.75      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140FEB29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      407430 | PA      | $398849.12     | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140FFPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108254 | PA      | $104599.28     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      197187 | PA      | $188243.04     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92536 | PA      | $91659.24      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70797 | PA      | $68434.92      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      333867 | PA      | $331601.14     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13786 | PA      | $13714.87      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16779 | PA      | $16677.05      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19943 | PA      | $19818.14      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      224291 | PA      | $210824.11     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45962 | PA      | $45485.20      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26961 | PA      | $26662.54      | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6324 | PA      | $6286.99       | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18397 | PA      | $18289.15      | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1001736 | PA      | $940473.97     | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22000 | PA      | $21871.01      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1427170 | PA      | $1418506.38    | 0.04%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16498 | PA      | $16385.94      | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28116 | PA      | $27951.70      | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28012 | PA      | $27813.54      | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      337598 | PA      | $326594.43     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64323 | PA      | $62283.77      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HKYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82988 | PA      | $83002.47      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13926 | PA      | $13806.81      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80993 | PA      | $82112.70      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127122 | PA      | $127307.27     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J57D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      438890 | PA      | $428589.88     | 0.01%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19589 | PA      | $18972.11      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236376 | PA      | $225371.92     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      441421 | PA      | $417663.64     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12104 | PA      | $11930.43      | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      281179 | PA      | $271840.99     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1138426 | PA      | $1141780.87    | 0.03%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10845 | PA      | $10510.24      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27417 | PA      | $26869.43      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      460652 | PA      | $446167.90     | 0.01%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      225368 | PA      | $215829.82     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      365732 | PA      | $349378.01     | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      428988 | PA      | $426254.35     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7906 | PA      | $7771.63       | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77624 | PA      | $79474.90      | 0.00%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      767658 | PA      | $747526.67     | 0.02%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120387 | PA      | $120511.95     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      600610 | PA      | $596964.12     | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      149714 | PA      | $152168.93     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JAQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1783905 | PA      | $1773076.33    | 0.05%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      938581 | PA      | $941488.53     | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      681037 | PA      | $691265.46     | 0.02%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      446992 | PA      | $443866.34     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1071601 | PA      | $883964.19     | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      599194 | PA      | $495304.77     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140KFQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      853049 | PA      | $746177.19     | 0.02%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      464604 | PA      | $379597.73     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      345301 | PA      | $281651.88     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3172343 | PA      | $2579331.33    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      996568 | PA      | $821615.35     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140L8JK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      397862 | PA      | $307311.19     | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140N6TX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50481 | PA      | $52488.36      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140N8U97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      397576 | PA      | $401482.51     | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140NAYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      942866 | PA      | $961317.30     | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140NBEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120948 | PA      | $123645.00     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140NBHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40327 | PA      | $41892.52      | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140NBPH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94008 | PA      | $95665.62      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      240947 | PA      | $250692.42     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      458015 | PA      | $468305.54     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      495454 | PA      | $507386.24     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                         | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1084000 | PA      | $1126148.80    | 0.03%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2126222 | PA      | $2114990.28    | 0.06%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      706378 | PA      | $701584.98     | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102232 | PA      | $98698.88      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      181553 | PA      | $181732.02     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q9ZV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      925084 | PA      | $926072.29     | 0.03%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q9ZW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207723 | PA      | $207928.86     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3527904 | PA      | $3528501.01    | 0.10%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53461 | PA      | $51658.01      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3789295 | PA      | $3789935.40    | 0.11%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      412480 | PA      | $395662.25     | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QDS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      225091 | PA      | $208726.08     | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QDSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      452676 | PA      | $422198.57     | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523602 | PA      | $502187.12     | 0.01%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      981396 | PA      | $947569.99     | 0.03%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244963 | PA      | $234375.80     | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QE4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      231947 | PA      | $215291.88     | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1990864 | PA      | $1721857.18    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3014160 | PA      | $2602693.63    | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2885741 | PA      | $2490383.95    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3023528 | PA      | $2609287.36    | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3984234 | PA      | $3439349.26    | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3301338 | PA      | $2851481.75    | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1020327 | PA      | $881544.64     | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      942170 | PA      | $879956.77     | 0.03%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      385366 | PA      | $373382.64     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      367336 | PA      | $355176.74     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      764814 | PA      | $730128.80     | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      752987 | PA      | $717453.47     | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2276262 | PA      | $1978426.61    | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2513648 | PA      | $2388531.80    | 0.07%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168442 | PA      | $153434.69     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2815517 | PA      | $2677732.56    | 0.08%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      505634 | PA      | $488896.74     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212282 | PA      | $205256.77     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      615027 | PA      | $531740.87     | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      130777 | PA      | $126465.12     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235923 | PA      | $228975.14     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207482 | PA      | $201181.62     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QHPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      329154 | PA      | $300227.06     | 0.01%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QHPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      411197 | PA      | $381656.36     | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QK2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      380742 | PA      | $331700.53     | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      389063 | PA      | $360746.25     | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      543872 | PA      | $496063.70     | 0.01%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78950 | PA      | $76517.16      | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160616 | PA      | $155284.02     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120352 | PA      | $116643.23     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199085 | PA      | $193303.64     | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QLLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      250631 | PA      | $241712.08     | 0.01%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2931948 | PA      | $2526548.63    | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2228113 | PA      | $1928966.16    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2724574 | PA      | $2360913.39    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4103431 | PA      | $3542139.06    | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1250164 | PA      | $1083693.28    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3094087 | PA      | $2551424.95    | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2727380 | PA      | $2219223.79    | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1333599 | PA      | $1102353.09    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2950302 | PA      | $2654288.03    | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1257405 | PA      | $1131460.28    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1553091 | PA      | $1340649.84    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      610940 | PA      | $529319.37     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2180152 | PA      | $1882433.66    | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2601688 | PA      | $2243993.11    | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      844214 | PA      | $697109.01     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4343533 | PA      | $3577344.85    | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      396141 | PA      | $344711.57     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      341303 | PA      | $316340.54     | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      652974 | PA      | $604811.43     | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2340917 | PA      | $1927765.95    | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4264088 | PA      | $3503237.01    | 0.10%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QQ3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1471401 | PA      | $1524346.81    | 0.04%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QQ4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106195 | PA      | $110671.27     | 0.00%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QQTM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1243676 | PA      | $1288422.59    | 0.04%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QQWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      910620 | PA      | $943382.91     | 0.03%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QQWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      193186 | PA      | $201346.95     | 0.01%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      628033 | PA      | $643483.47     | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QRBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2503797 | PA      | $2511522.52    | 0.07%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QRDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      443774 | PA      | $462310.73     | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QRER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2998211 | PA      | $3106095.27    | 0.09%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QRWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      988150 | PA      | $997859.71     | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      412825 | PA      | $429521.93     | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1394471 | PA      | $1450868.56    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2394918 | PA      | $2452596.71    | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      395047 | PA      | $403112.17     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSBJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1191465 | PA      | $1244558.32    | 0.04%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      283932 | PA      | $292519.46     | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1788216 | PA      | $1831283.84    | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSP47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      703626 | PA      | $718697.16     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2555074 | PA      | $2658414.21    | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QST27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1385319 | PA      | $1414419.15    | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5062842 | PA      | $5215651.13    | 0.15%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1730604 | PA      | $1805875.56    | 0.05%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QSVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      415913 | PA      | $423862.15     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5587253 | PA      | $5812601.13    | 0.17%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QUBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1704089 | PA      | $1758926.99    | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3302454 | PA      | $3436609.60    | 0.10%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140W3CJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14180814 | PA      | $11699389.09   | 0.34%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      971350 | PA      | $932833.56     | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2618893 | PA      | $2359735.31    | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      720939 | PA      | $682908.07     | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      663261 | PA      | $634452.95     | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      380224 | PA      | $361582.15     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      474547 | PA      | $458819.77     | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      489566 | PA      | $404811.94     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      725034 | PA      | $682359.90     | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      435845 | PA      | $378810.81     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1650499 | PA      | $1361901.42    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45939 | PA      | $43965.69      | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31557 | PA      | $30213.90      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184952 | PA      | $176992.52     | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5956107 | PA      | $5601152.45    | 0.16%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      331852 | PA      | $308014.89     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1486043 | PA      | $1228033.11    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2014299 | PA      | $1941315.16    | 0.06%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      392807 | PA      | $378611.20     | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XBG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1901089 | PA      | $1731665.91    | 0.05%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2249673 | PA      | $2165482.05    | 0.06%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XBKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      541118 | PA      | $501750.45     | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1833801 | PA      | $1709610.60    | 0.05%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XCAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      617326 | PA      | $572974.47     | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1581057 | PA      | $1300396.30    | 0.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XCUV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      633449 | PA      | $586363.62     | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XCV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      675514 | PA      | $625911.90     | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288217 | PA      | $267676.13     | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      812741 | PA      | $669993.05     | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      975682 | PA      | $846961.93     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      999754 | PA      | $907106.14     | 0.03%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      275616 | PA      | $255975.05     | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2135604 | PA      | $1834150.69    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2771252 | PA      | $2392177.62    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3401707 | PA      | $2927215.21    | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1903638 | PA      | $1563920.04    | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1842850 | PA      | $1515309.00    | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18202357 | PA      | $15355434.42   | 0.45%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2948758 | PA      | $2554115.61    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2114001 | PA      | $1748755.29    | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      318707 | PA      | $265430.73     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      320691 | PA      | $265329.66     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122314 | PA      | $113368.78     | 0.00%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      280323 | PA      | $259824.29     | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      864392 | PA      | $829297.24     | 0.02%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      427902 | PA      | $411199.43     | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1476230 | PA      | $1370172.50    | 0.04%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      936940 | PA      | $867885.89     | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3442307 | PA      | $2796388.66    | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      729094 | PA      | $590530.60     | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      601318 | PA      | $541622.09     | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      961576 | PA      | $860233.56     | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8388920 | PA      | $7161064.03    | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5181698 | PA      | $4203386.57    | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100933 | PA      | $77876.47      | 0.00%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      849055 | PA      | $861333.39     | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1061845 | PA      | $1077832.99    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1054753 | PA      | $1062738.21    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XJSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      552838 | PA      | $504231.81     | 0.01%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XJTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47684 | PA      | $49481.79      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XJVT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      862300 | PA      | $799248.12     | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2894757 | PA      | $2795610.01    | 0.08%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XKEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3045925 | PA      | $2649344.21    | 0.08%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1729774 | PA      | $1781759.21    | 0.05%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XLE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      856949 | PA      | $872136.73     | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1937333 | PA      | $1983991.94    | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XLEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      582099 | PA      | $605642.01     | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XPHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      747100 | PA      | $762757.59     | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1304436 | PA      | $1064865.15    | 0.03%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Y66J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      839878 | PA      | $865046.73     | 0.03%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97329 | PA      | $102941.07     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37330 | PA      | $38290.79      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31890 | PA      | $33629.20      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46397 | PA      | $49071.51      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111936 | PA      | $118390.19     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43348 | PA      | $45847.46      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37384 | PA      | $37888.63      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56708 | PA      | $59977.29      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31411XVB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.77          | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31412QHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155066 | PA      | $161567.73     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31412RHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25740 | PA      | $25938.80      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31416VBK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47816 | PA      | $47123.71      | 0.00%             | 2035-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68108 | PA      | $68655.59      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31416WSC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      206146 | PA      | $207928.90     | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29155 | PA      | $29332.24      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      334816 | PA      | $327450.36     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8156 | PA      | $8059.02       | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6145 | PA      | $6056.95       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3112 | PA      | $3069.55       | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      383239 | PA      | $354241.40     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22676 | PA      | $20899.02      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      423154 | PA      | $391224.99     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417S3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194503 | PA      | $201636.58     | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69281 | PA      | $72186.48      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37641 | PA      | $36070.92      | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55550 | PA      | $53168.13      | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      778333 | PA      | $755388.39     | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24642 | PA      | $23821.91      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      276107 | PA      | $266894.16     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      496249 | PA      | $464730.52     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      493092 | PA      | $462486.95     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      302478 | PA      | $284315.45     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343725 | PA      | $332202.24     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43799 | PA      | $42325.76      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36449 | PA      | $35219.12      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35994 | PA      | $34779.52      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      242006 | PA      | $232868.67     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67134 | PA      | $68211.67      | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2912710 | PA      | $2364611.26    | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      964415 | PA      | $782633.90     | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      394091 | PA      | $389304.78     | 0.01%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1551514 | PA      | $1268282.20    | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2445230 | PA      | $1886727.05    | 0.05%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2795359 | PA      | $2282146.84    | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2133077 | PA      | $1645861.14    | 0.05%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11239267 | PA      | $9171114.07    | 0.27%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2884322 | PA      | $2232642.74    | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9299423 | PA      | $7841843.31    | 0.23%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2430453 | PA      | $2112506.17    | 0.06%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523790 | PA      | $404127.88     | 0.01%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      651465 | PA      | $565830.60     | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6361440 | PA      | $5521271.24    | 0.16%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      997639 | PA      | $865882.43     | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      449921 | PA      | $441065.33     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      296584 | PA      | $297009.93     | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17377434 | PA      | $17679623.19   | 0.51%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3426 | PA      | $3623.62       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418MRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      412352 | PA      | $422941.22     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44331 | PA      | $46870.09      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244449 | PA      | $258548.72     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419EDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66540 | PA      | $66979.08      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419EJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85120 | PA      | $85655.25      | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419EXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72864 | PA      | $73227.81      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31427MKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      983512 | PA      | $1017076.11    | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31427QMU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3808035 | PA      | $3469726.00    | 0.10%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31427QMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4879745 | PA      | $4915652.77    | 0.14%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31427QMX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4877151 | PA      | $4979375.33    | 0.14%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31427QMY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4060391 | PA      | $4224567.97    | 0.12%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3142GQKK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      175268 | PA      | $178086.53     | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3142GR4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      557639 | PA      | $575475.17     | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3142GR6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1135754 | PA      | $1173449.83    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3142GRLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      753189 | PA      | $777423.30     | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3142GRMY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      628310 | PA      | $648029.22     | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3142GRVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1064769 | PA      | $1099555.65    | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3142GUKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      970999 | PA      | $1003212.07    | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3142GUTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2073049 | PA      | $2141819.96    | 0.06%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC                                           | Consolidated Communications LLC, Series 2025-4A, Class B                                                                      | CUSIP: 315961AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3454000 | PA      | $3473956.87    | 0.10%             | 2055-12-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                               | FIGRE Trust, Series 2025-HE7, Class A                                                                                         | CUSIP: 31684RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      558095 | PA      | $559576.12     | 0.02%             | 2055-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                              | FirstEnergy Transmission LLC                                                                                                  | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     1570000 | PA      | $1515258.81    | 0.04%             | 2044-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                              | FirstEnergy Transmission LLC                                                                                                  | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     1719000 | PA      | $1460166.27    | 0.04%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                              | FirstEnergy Transmission LLC                                                                                                  | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     5090000 | PA      | $5100093.98    | 0.15%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                              | FirstEnergy Transmission LLC                                                                                                  | CUSIP: 33767BAJ8<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     1772000 | PA      | $1771434.22    | 0.05%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp., Series C                                                                                                   | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1506000 | PA      | $1325787.04    | 0.04%             | 2047-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp.                                                                                                             | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     8860000 | PA      | $8260890.79    | 0.24%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp., Series C                                                                                                   | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     5674000 | PA      | $3913480.76    | 0.11%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd.                                                      | 522 Funding CLO Ltd., Series 2019-5A, Class AR                                                                                | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.18     | 0.01%             | 2035-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO 21 Ltd.                                                      | Flatiron CLO 21 Ltd., Series 2021-1A, Class A1R                                                                               | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3150000 | PA      | $3161434.50    | 0.09%             | 2037-10-19      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO 21 Ltd.                                                      | Flatiron CLO 21 Ltd., Series 2021-1A, Class A2R                                                                               | CUSIP: 33883PAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      430000 | PA      | $430964.96     | 0.01%             | 2037-10-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO 25 Ltd.                                                      | Flatiron CLO 25 Ltd., Series 2024-2A, Class A                                                                                 | CUSIP: 33883XAA8<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $260903.63     | 0.01%             | 2037-10-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO 25 Ltd.                                                      | Flatiron CLO 25 Ltd., Series 2024-2A, Class B                                                                                 | CUSIP: 33883XAC4<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250759.90     | 0.01%             | 2037-10-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                                     | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      620000 | PA      | $424608.19     | 0.01%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                                     | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     1630000 | PA      | $1038922.13    | 0.03%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class A                                                           | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      627000 | PA      | $628371.44     | 0.02%             | 2039-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                                     | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1178000 | PA      | $1107023.80    | 0.03%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                                     | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1409000 | PA      | $1478209.84    | 0.04%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                                     | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      333000 | PA      | $341829.72     | 0.01%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                 | Ford Motor Credit Co. LLC                                                                                                     | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1523000 | PA      | $1558329.56    | 0.05%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class A                                                                             | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      467570 | PA      | $473175.06     | 0.01%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                     | Foundry JV Holdco LLC                                                                                                         | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      432000 | PA      | $458089.05     | 0.01%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                     | Foundry JV Holdco LLC                                                                                                         | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     1048000 | PA      | $1081739.90    | 0.03%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                     | Foundry JV Holdco LLC                                                                                                         | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     4153000 | PA      | $4345479.76    | 0.13%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                     | Foundry JV Holdco LLC                                                                                                         | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $209087.34     | 0.01%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                     | Foundry JV Holdco LLC                                                                                                         | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      808000 | PA      | $849047.62     | 0.02%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2021-NQM3, Class B1                                                                                        | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      328000 | PA      | $249091.27     | 0.01%             | 2066-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2023-NQM4, Class A1                                                                                        | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1135501 | PA      | $1084442.40    | 0.03%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      149051 | PA      | $144630.88     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36176Q4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32402 | PA      | $30349.31      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177MZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55303 | PA      | $51711.73      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177PPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96066 | PA      | $89913.73      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177Q3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51190 | PA      | $47931.51      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177Q6Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51829 | PA      | $48527.08      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177YDZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      107278 | PA      | $100052.23     | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71838 | PA      | $67129.29      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55567 | PA      | $51824.16      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178EK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14583 | PA      | $13664.59      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178N7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53804 | PA      | $50244.92      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178WQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35337 | PA      | $32977.28      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      198803 | PA      | $186271.16     | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179DLP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       81361 | PA      | $76125.89      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179F7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96284 | PA      | $89796.60      | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      505611 | PA      | $474597.68     | 0.01%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      432110 | PA      | $407715.62     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      234115 | PA      | $220898.42     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23649 | PA      | $22299.87      | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30559 | PA      | $29619.87      | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28236 | PA      | $26330.35      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15660 | PA      | $14216.17      | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42024 | PA      | $39210.19      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      104630 | PA      | $97527.01      | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31039 | PA      | $28917.73      | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41942 | PA      | $39074.71      | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79348 | PA      | $73923.63      | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29411 | PA      | $27400.88      | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      440318 | PA      | $409694.95     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       89037 | PA      | $82952.00      | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59841 | PA      | $57685.72      | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       84035 | PA      | $78239.30      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179T4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      486954 | PA      | $450253.90     | 0.01%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      102562 | PA      | $95136.72      | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      289244 | PA      | $269689.48     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      401611 | PA      | $387073.29     | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      634385 | PA      | $589240.64     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      462561 | PA      | $445399.14     | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      387074 | PA      | $360685.14     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      230036 | PA      | $221459.47     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      605435 | PA      | $561602.02     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      685626 | PA      | $636093.76     | 0.02%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13181 | PA      | $12228.87      | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      903117 | PA      | $894592.60     | 0.03%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      194388 | PA      | $193298.37     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1110073 | PA      | $1096502.35    | 0.03%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22224 | PA      | $21960.17      | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    13725719 | PA      | $11371533.23   | 0.33%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1104912 | PA      | $915356.06     | 0.03%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      130849 | PA      | $129331.98     | 0.00%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      182752 | PA      | $174943.52     | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6620201 | PA      | $5486837.12    | 0.16%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1213882 | PA      | $1005720.34    | 0.03%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4854111 | PA      | $4189228.47    | 0.12%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5880443 | PA      | $5416303.67    | 0.16%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4200454 | PA      | $3625101.23    | 0.11%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1136199 | PA      | $1044768.12    | 0.03%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6435218 | PA      | $5554122.18    | 0.16%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7046179 | PA      | $6339439.19    | 0.18%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8570401 | PA      | $7710779.08    | 0.22%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3382534 | PA      | $2919234.05    | 0.08%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2310806 | PA      | $1994289.18    | 0.06%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2269686 | PA      | $2042033.56    | 0.06%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35635 | PA      | $32087.65      | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2277290 | PA      | $1967124.33    | 0.06%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1963539 | PA      | $1805530.03    | 0.05%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      492726 | PA      | $455054.40     | 0.01%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       89623 | PA      | $82387.36      | 0.00%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9640901 | PA      | $9656606.04    | 0.28%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      466843 | PA      | $403332.66     | 0.01%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4740496 | PA      | $4515328.39    | 0.13%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1965340 | PA      | $1697878.22    | 0.05%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35982 | PA      | $35755.70      | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      154987 | PA      | $152818.45     | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DPF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       78468 | PA      | $73182.99      | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      103920 | PA      | $96918.52      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DQE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67591 | PA      | $63038.15      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      111745 | PA      | $104284.69     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      177264 | PA      | $165428.25     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DVB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37095 | PA      | $34617.91      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180E4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      112350 | PA      | $104781.55     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180E5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      126530 | PA      | $118122.63     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180KJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      149454 | PA      | $139476.56     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180UFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       87178 | PA      | $81411.15      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36181D7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      199538 | PA      | $186216.23     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36181FEB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      116336 | PA      | $108678.15     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      350657 | PA      | $328009.06     | 0.01%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36181GFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      111780 | PA      | $104657.44     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19987 | PA      | $19197.68      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29429 | PA      | $28305.26      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     3167000 | PA      | $3222123.50    | 0.09%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AP4<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      600000 | PA      | $583296.90     | 0.02%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AQ2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     1088000 | PA      | $1042115.34    | 0.03%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AR0<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     2768000 | PA      | $2504372.64    | 0.07%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AV1<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     2235000 | PA      | $2243095.17    | 0.07%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26137 | PA      | $24816.17      | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70887 | PA      | $65428.12      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96487 | PA      | $88938.66      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74335 | PA      | $68427.60      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      191420 | PA      | $175968.39     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      116616 | PA      | $107131.26     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48306 | PA      | $47780.88      | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55230 | PA      | $54629.70      | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38254 | PA      | $37897.61      | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35371 | PA      | $34020.92      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36200M2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         611 | PA      | $630.09        | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9085 | PA      | $8868.44       | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46074 | PA      | $45020.85      | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       57394 | PA      | $59264.88      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15111 | PA      | $15219.88      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18339 | PA      | $18471.12      | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15101 | PA      | $15209.95      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         952 | PA      | $959.30        | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12198 | PA      | $11867.63      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      191276 | PA      | $186091.83     | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      299720 | PA      | $291574.12     | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      304630 | PA      | $297830.06     | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4612 | PA      | $4485.89       | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      267596 | PA      | $260302.06     | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      207370 | PA      | $211851.78     | 0.01%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34869 | PA      | $35835.31      | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      567420 | PA      | $582617.81     | 0.02%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      313594 | PA      | $322089.67     | 0.01%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      102773 | PA      | $105712.94     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36211SXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         175 | PA      | $175.53        | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       78582 | PA      | $73506.06      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36225BSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         385 | PA      | $392.19        | 0.00%             | 2032-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      288251 | PA      | $265695.39     | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1924506 | PA      | $1916395.22    | 0.06%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3622A2TM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3711114 | PA      | $3556945.75    | 0.10%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2006-5, Class 2A1                                                                              | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      407740 | PA      | $129591.22     | 0.00%             | 2036-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WLF2, Class A                                                                                   | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2624000 | PA      | $2631306.27    | 0.08%             | 2041-05-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61642 | PA      | $63346.65      | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      215540 | PA      | $221660.15     | 0.01%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GT Loan Financing I Ltd.                                                  | GT Loan Financing I Ltd., Series 2013-1A, Class AR2                                                                           | CUSIP: 36248MAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2120000 | PA      | $2121580.67    | 0.06%             | 2039-04-28      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2019-GSA1, Class XA                                                                      | CUSIP: 36261PAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5100559 | PA      | $128502.47     | 0.00%             | 2052-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2019-GSA1, Class C                                                                       | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $54878.30      | 0.00%             | 2052-11-10      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A4                                                               | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115833 | PA      | $108414.88     | 0.00%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2020-GSA2, Class XA                                                                      | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3834801 | PA      | $234650.29     | 0.01%             | 2053-12-12      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-FUN, Class A                                                                  | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3235000 | PA      | $3247001.53    | 0.09%             | 2028-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GSAT Trust                                                                | GSAT Trust, Series 2025-BMF, Class A                                                                                          | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      338000 | PA      | $338422.40     | 0.01%             | 2040-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-NQM5, Class A1                                                               | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |      646030 | PA      | $646655.85     | 0.02%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-DSC2, Class A1                                                               | CUSIP: 36275JAC4<br>LEI: 254900Y4XCLF0D6VBG48 | Long             | ABS-MBS          | CORP              | US        |      352978 | PA      | $353629.07     | 0.01%             | 2066-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36294V5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33556 | PA      | $34527.93      | 0.00%             | 2036-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Galaxy XXII CLO Ltd.                                                      | Galaxy XXII CLO Ltd., Series 2016-22A, Class ARRR                                                                             | CUSIP: 36320TBD4<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |     2450000 | PA      | $2450566.69    | 0.07%             | 2034-04-16      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                             | Gartner, Inc.                                                                                                                 | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     5627000 | PA      | $5608801.16    | 0.16%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                             | Gartner, Inc.                                                                                                                 | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     1802000 | PA      | $1708841.59    | 0.05%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                             | Gartner, Inc.                                                                                                                 | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     6342000 | PA      | $6113016.00    | 0.18%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2025-NQM4, Class A1                                                                                        | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1159928 | PA      | $1170328.00    | 0.03%             | 2070-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XEV4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     1613000 | PA      | $1688127.98    | 0.05%             | 2034-04-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XFK7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      280000 | PA      | $295061.14     | 0.01%             | 2035-07-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO 20 Ltd.                                                 | Kennedy Lewis CLO 20 Ltd., Series 2024-20A, Class B                                                                           | CUSIP: 370912AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $511728.49     | 0.01%             | 2038-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO 13 Ltd.                                                 | Kennedy Lewis CLO 13 Ltd., Series 2023-13A, Class A1                                                                          | CUSIP: 370918AA2<br>LEI: 549300OHYOREA2V0F579 | Long             | ABS-CBDO         | CORP              | KY        |      790000 | PA      | $790317.03     | 0.02%             | 2037-01-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO 4 Ltd.                                                  | Kennedy Lewis CLO 4 Ltd., Series 4A, Class ARR                                                                                | CUSIP: 37148BAC4<br>LEI: 549300HNXZUJB12SQJ60 | Long             | ABS-CBDO         | CORP              | KY        |     1050000 | PA      | $1053538.50    | 0.03%             | 2037-07-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO 8 Ltd.                                                  | Kennedy Lewis CLO 8 Ltd., Series 8A, Class A1R2                                                                               | CUSIP: 37148EAN4<br>LEI: 2549002O2LJ1LE1W2D54 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250904.23     | 0.01%             | 2038-01-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO 7 Ltd.                                                  | Kennedy Lewis CLO 7 Ltd., Series 7A, Class A1R                                                                                | CUSIP: 37149LAL1<br>LEI: 25490036G9JNQQPHIX69 | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $281016.12     | 0.01%             | 2037-04-22      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO 19 Ltd.                                                 | Kennedy Lewis CLO 19 Ltd., Series 2025-19A, Class A                                                                           | CUSIP: 37150JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250280.75     | 0.01%             | 2036-04-22      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                         | Georgia Power Co., Series B                                                                                                   | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      399000 | PA      | $298262.47     | 0.01%             | 2050-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                         | Georgia Power Co.                                                                                                             | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |        2000 | PA      | $2027.22       | 0.00%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                         | Georgia Power Co.                                                                                                             | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     1901000 | PA      | $1938183.05    | 0.06%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                         | Georgia Power Co.                                                                                                             | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     2503000 | PA      | $2568062.33    | 0.07%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                      | Glencore Funding LLC                                                                                                          | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     2548000 | PA      | $2334693.36    | 0.07%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                      | Glencore Funding LLC                                                                                                          | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      504000 | PA      | $454349.40     | 0.01%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                      | Glencore Funding LLC                                                                                                          | CUSIP: 378272BL1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      344000 | PA      | $362225.35     | 0.01%             | 2033-05-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                      | Glencore Funding LLC                                                                                                          | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |        5000 | PA      | $5380.94       | 0.00%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 16 Ltd.                                 | GoldenTree Loan Management US CLO 16 Ltd., Series 2022-16A, Class ARR                                                         | CUSIP: 38090AAQ1<br>LEI: 549300KYU0TCMXRAI217 | Long             | ABS-CBDO         | CORP              | JE        |      580000 | PA      | $579479.62     | 0.02%             | 2038-01-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 11 Ltd.                                 | GoldenTree Loan Management US CLO 11 Ltd., Series 2021-11A, Class AR                                                          | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |     1740000 | PA      | $1739010.29    | 0.05%             | 2034-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 23 Ltd.                                 | GoldenTree Loan Management US CLO 23 Ltd., Series 2024-23A, Class A                                                           | CUSIP: 38139KAC3<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |      370000 | PA      | $370792.06     | 0.01%             | 2039-01-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 23 Ltd.                                 | GoldenTree Loan Management US CLO 23 Ltd., Series 2024-23A, Class B                                                           | CUSIP: 38139KAG4<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |      590000 | PA      | $591831.83     | 0.02%             | 2039-01-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 25 Ltd.                                 | GoldenTree Loan Management US CLO 25 Ltd., Series 2025-25A, Class A                                                           | CUSIP: 38139XAC5<br>LEI: 254900NWYEI4MM854T50 | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $290982.72     | 0.01%             | 2037-04-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      409000 | PA      | $433738.90     | 0.01%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2822000 | PA      | $2948205.23    | 0.09%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2674000 | PA      | $2739817.03    | 0.08%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1671000 | PA      | $1725551.28    | 0.05%             | 2031-01-28      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     5984000 | PA      | $6052348.23    | 0.18%             | 2028-04-23      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       91000 | PA      | $93989.12      | 0.00%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       53000 | PA      | $52873.68      | 0.00%             | 2031-10-21      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3906000 | PA      | $3914126.67    | 0.11%             | 2029-05-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2993000 | PA      | $2658892.13    | 0.08%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      270000 | PA      | $246189.50     | 0.01%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2144000 | PA      | $2106434.55    | 0.06%             | 2027-09-10      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $4237637.62    | 0.12%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     5266000 | PA      | $5302947.78    | 0.15%             | 2028-08-23      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      469000 | PA      | $421722.39     | 0.01%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners 48 LP                                              | Golub Capital Partners 48 LP, Series 2020-48A, Class A1R                                                                      | CUSIP: 38177DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $601977.18     | 0.02%             | 2038-04-17      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 53B Ltd.                                       | Golub Capital Partners CLO 53B Ltd., Series 2021-53A, Class AR                                                                | CUSIP: 38177YAL6<br>LEI: 254900DPK2EA9C8DGV68 | Long             | ABS-CBDO         | CORP              | KY        |     1100000 | PA      | $1099022.54    | 0.03%             | 2034-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 76 B Ltd.                                      | Golub Capital Partners CLO 76 B Ltd., Series 2024-76A, Class A1                                                               | CUSIP: 38180BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250909.50     | 0.01%             | 2037-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 76 B Ltd.                                      | Golub Capital Partners CLO 76 B Ltd., Series 2024-76A, Class B                                                                | CUSIP: 38180BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250550.10     | 0.01%             | 2037-10-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 76 B Ltd.                                      | Golub Capital Partners CLO 76 B Ltd., Series 2024-76A, Class D1                                                               | CUSIP: 38180BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $249631.58     | 0.01%             | 2037-10-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 44M Ltd.                                       | Golub Capital Partners CLO 44M Ltd., Series 2019-44A, Class A1R                                                               | CUSIP: 38180NAA9<br>LEI: 254900KERZS5XFEN4I27 | Long             | ABS-CBDO         | CORP              | KY        |     2620000 | PA      | $2620100.87    | 0.08%             | 2038-10-21      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 43B Ltd.                                       | Golub Capital Partners CLO 43B Ltd., Series 2019-43A, Class A1R                                                               | CUSIP: 38180PAA4<br>LEI: 2549006E2S3MDN9M6Q69 | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $291115.63     | 0.01%             | 2037-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 77 B Ltd.                                      | Golub Capital Partners CLO 77 B Ltd., Series 2024-77A, Class A1                                                               | CUSIP: 38180QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      461871 | PA      | $462769.39     | 0.01%             | 2038-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 17 Ltd.                                        | Golub Capital Partners CLO 17 Ltd., Series 2013-17A, Class A1RR                                                               | CUSIP: 38180VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1400000 | PA      | $1401210.72    | 0.04%             | 2039-02-09      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 81 B Ltd.                                      | Golub Capital Partners CLO 81 B Ltd., Series 2025-81A, Class A1                                                               | CUSIP: 38181DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250821.98     | 0.01%             | 2038-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Golub Capital Private Credit Fund CLO 2                                   | Golub Capital Private Credit Fund CLO 2, Series 2025-1A, Class A1                                                             | CUSIP: 38181WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1600000 | PA      | $1600168.16    | 0.05%             | 2039-10-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 19B-R3 Ltd.                                    | Golub Capital Partners CLO 19B-R3 Ltd., Series 2017-19RA, Class A1R3                                                          | CUSIP: 38181YAA4<br>LEI: 2549003VC5PGFRGCQU51 | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $859945.82     | 0.03%             | 2036-10-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 78M                                            | Golub Capital Partners CLO 78M, Series 2025-78A, Class A1                                                                     | CUSIP: 381934AC2<br>LEI: 254900PSE4IZIZUH7U62 | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250000.00     | 0.01%             | 2039-04-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2013-30                                                  | CUSIP: 38378KBK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      539731 | PA      | $7769.42       | 0.00%             | 2053-09-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-96                                                  | CUSIP: 38379UZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      706027 | PA      | $26425.59      | 0.00%             | 2057-12-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2023-50, Class AC                                        | CUSIP: 38381JDG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      223578 | PA      | $202179.29     | 0.01%             | 2063-09-16      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2023-118, Class BA                                       | CUSIP: 38381JNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      280489 | PA      | $255740.25     | 0.01%             | 2065-05-16      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2025-88, Class AT                                                            | CUSIP: 38381MRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      444087 | PA      | $446233.96     | 0.01%             | 2058-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2025-130, Class AL                                                           | CUSIP: 38381MXF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      282554 | PA      | $281764.49     | 0.01%             | 2056-08-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2025-129, Class AB                                                           | CUSIP: 38381MYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      282450 | PA      | $281782.21     | 0.01%             | 2054-09-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2025-128, Class AD                                                           | CUSIP: 38381MZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      894664 | PA      | $901207.73     | 0.03%             | 2056-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2025-128, Class AG                                                           | CUSIP: 38381MZB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      888809 | PA      | $875041.54     | 0.03%             | 2066-07-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2025-126, Class AD                                                           | CUSIP: 38381PXY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      384597 | PA      | $385069.03     | 0.01%             | 2065-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-83, Class PI                                                            | CUSIP: 38382QQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1661041 | PA      | $276077.81     | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-58, Class IY                                                            | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2105337 | PA      | $353596.39     | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-78, Class IP                                                            | CUSIP: 38382TBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2192163 | PA      | $363631.79     | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-97, Class LI                                                            | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2462818 | PA      | $417886.35     | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-78, Class D                                                             | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1036695 | PA      | $168455.52     | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-85, Class IK                                                            | CUSIP: 38383R2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1395133 | PA      | $226629.46     | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2025-9, Class FE                                         | CUSIP: 38385BZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1037487 | PA      | $1042003.78    | 0.03%             | 2055-01-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO IX Ltd.                                                   | Great Lakes CLO IX Ltd., Series 2025-9A, Class A1                                                                             | CUSIP: 390922AC6<br>LEI: 254900GD0BIHJ4BVAE98 | Long             | ABS-CBDO         | CORP              | KY        |      740000 | PA      | $740728.83     | 0.02%             | 2039-01-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WOLF, Class A                                                                                   | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125000 | PA      | $125193.00     | 0.00%             | 2039-03-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-2A, Class C                                                               | CUSIP: 39571VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      336000 | PA      | $338865.37     | 0.01%             | 2060-06-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-2A, Class D                                                               | CUSIP: 39571VAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      268000 | PA      | $270123.18     | 0.01%             | 2060-06-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-3A, Class A3                                                              | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      988000 | PA      | $990294.93     | 0.03%             | 2060-12-27      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes LLC                                                   | Greystone CRE Notes LLC, Series 2025-FL4, Class A                                                                             | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      409000 | PA      | $410201.85     | 0.01%             | 2043-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| HILT Commercial Mortgage Trust                                            | HILT Commercial Mortgage Trust, Series 2024-ORL, Class A                                                                      | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1535000 | PA      | $1536906.78    | 0.04%             | 2037-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| HILT Commercial Mortgage Trust                                            | HILT Commercial Mortgage Trust, Series 2024-ORL, Class D                                                                      | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1180000 | PA      | $1185840.76    | 0.03%             | 2037-05-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Homes Trust                                                               | Homes Trust, Series 2025-NQM2, Class A1                                                                                       | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1164809 | PA      | $1172408.53    | 0.03%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Homes Trust                                                               | Homes Trust, Series 2025-AFC1, Class A1                                                                                       | CUSIP: 403969AC2<br>LEI: 2549006ZK3R8WZLA9S73 | Long             | ABS-MBS          | CORP              | US        |     7388816 | PA      | $7467924.62    | 0.22%             | 2060-01-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119AJ8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      168000 | PA      | $193210.16     | 0.01%             | 2033-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1242000 | PA      | $841831.86     | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      229000 | PA      | $223098.51     | 0.01%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1098000 | PA      | $1037094.17    | 0.03%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      712000 | PA      | $581462.55     | 0.02%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     3989000 | PA      | $4163315.19    | 0.12%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      365000 | PA      | $380665.70     | 0.01%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      540000 | PA      | $534927.53     | 0.02%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      280000 | PA      | $291779.10     | 0.01%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4508000 | PA      | $4731637.28    | 0.14%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1338000 | PA      | $1363608.06    | 0.04%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     3990000 | PA      | $3953865.56    | 0.12%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust                                            | HLTN Commercial Mortgage Trust, Series 2024-DPLO, Class A                                                                     | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $641187.14     | 0.02%             | 2041-06-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class A                                                                       | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      370000 | PA      | $374548.63     | 0.01%             | 2039-05-10      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class A                                                                                           | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      660120 | PA      | $661762.01     | 0.02%             | 2041-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class D                                                                                           | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      246313 | PA      | $247309.20     | 0.01%             | 2041-10-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 4 Ltd.                                                    | HalseyPoint CLO 4 Ltd., Series 2021-4A, Class A                                                                               | CUSIP: 40637LAA8<br>LEI: 549300CMJUK1VCINNF57 | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270142.59     | 0.01%             | 2034-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 7 Ltd.                                                    | HalseyPoint CLO 7 Ltd., Series 2023-7A, Class A1R                                                                             | CUSIP: 40638LAL3<br>LEI: 5493000LI3XMVBCJEF82 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250843.50     | 0.01%             | 2038-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 6 Ltd.                                                    | HalseyPoint CLO 6 Ltd., Series 2022-6A, Class A1R                                                                             | CUSIP: 40639GAN9<br>LEI: 5493001PG85K1980W896 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250848.00     | 0.01%             | 2038-01-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                               | L3Harris Technologies, Inc.                                                                                                   | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      330000 | PA      | $329149.18     | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Hess Corp.                                                                | Hess Corp.                                                                                                                    | CUSIP: 42809HAC1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      490000 | PA      | $528784.50     | 0.02%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Homes Trust                                                               | Homes Trust, Series 2024-NQM2, Class A1                                                                                       | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |      787240 | PA      | $793948.46     | 0.02%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Homes Trust                                                               | Homes Trust, Series 2025-NQM1, Class M1                                                                                       | CUSIP: 43761DAF7<br>LEI: 254900LUV7YA0N50XT86 | Long             | ABS-MBS          | CORP              | US        |     3600000 | PA      | $3654086.40    | 0.11%             | 2070-01-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | HOMES Trust, Series 2025-NQM5, Class A1                                                                                       | CUSIP: 43762CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1038230 | PA      | $1039283.26    | 0.03%             | 2070-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Houston Galleria Mall Trust                                               | Houston Galleria Mall Trust, Series 2025-HGLR, Class A                                                                        | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $103618.82     | 0.00%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                  | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B2                                                             | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      647651 | PA      | $649429.97     | 0.02%             | 2032-05-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                  | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B2                                                             | CUSIP: 44644NAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1109958 | PA      | $1113338.33    | 0.03%             | 2032-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                  | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B2                                                             | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      497916 | PA      | $498618.62     | 0.01%             | 2033-09-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust                                             | INT Commercial Mortgage Trust, Series 2025-PLAZA, Class A                                                                     | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      583000 | PA      | $584661.08     | 0.02%             | 2037-11-05      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| INV Mortgage Trust                                                        | INV Mortgage Trust, Series 2024-IND, Class A                                                                                  | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960000 | PA      | $952817.28     | 0.03%             | 2041-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                                            | ILPT Commercial Mortgage Trust, Series 2025-LPF2, Class A                                                                     | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2027000 | PA      | $2066115.83    | 0.06%             | 2042-07-13      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                         | State of Illinois, Series 2003                                                                                                | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     3289510 | PA      | $3371318.93    | 0.10%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                           | Impac CMB Trust, Series 2007-A, Class A                                                                                       | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      374317 | PA      | $367595.08     | 0.01%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                                                | INCREF LLC, Series 2025-FL1, Class A                                                                                          | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      819000 | PA      | $820599.59     | 0.02%             | 2042-10-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                                                         | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     1918000 | PA      | $1814428.00    | 0.05%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                                                         | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     2624000 | PA      | $1755613.44    | 0.05%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Invesco US CLO Ltd.                                                       | Invesco US CLO Ltd., Series 2023-3A, Class AR                                                                                 | CUSIP: 46091RAL7<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |      530000 | PA      | $531705.12     | 0.02%             | 2038-07-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Invesco CLO Ltd.                                                          | Invesco CLO Ltd., Series 2022-1A, Class B                                                                                     | CUSIP: 460988AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270798.80     | 0.01%             | 2035-04-20      | Floating      | 5.68%                 | 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 XC                                             | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4330000 | PA      | $13416.07      | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class AS                                                          | CUSIP: 46591ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40000 | PA      | $39601.10      | 0.00%             | 2051-06-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                                | JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class A3                                                        | CUSIP: 46591EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      390000 | PA      | $377049.58     | 0.01%             | 2052-06-13      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-OMNI, Class A                                             | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2330000 | PA      | $2375664.51    | 0.07%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class A                                             | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1616084.96    | 0.05%             | 2039-11-09      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class D                                             | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $451220.21     | 0.01%             | 2039-11-09      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A                                              | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79667 | PA      | $79642.47      | 0.00%             | 2038-04-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class D                                              | CUSIP: 466330AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1550000 | PA      | $1549993.65    | 0.05%             | 2038-04-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XB                                            | CUSIP: 46639YAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2524662 | PA      | $6528.27       | 0.00%             | 2046-04-15      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA                                                         | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44631 | PA      | $0.45          | 0.00%             | 2047-09-15      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1                                                         | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      233000 | PA      | $212649.78     | 0.01%             | 2048-12-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class B                                             | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      644000 | PA      | $635155.50     | 0.02%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC                                                          | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $8012.16       | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      807000 | PA      | $802450.13     | 0.02%             | 2028-05-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4285000 | PA      | $3806729.47    | 0.11%             | 2031-11-19      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4180000 | PA      | $3991504.74    | 0.12%             | 2029-06-01      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1718000 | PA      | $1785018.25    | 0.05%             | 2034-06-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5483000 | PA      | $5569204.05    | 0.16%             | 2027-10-22      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5115000 | PA      | $5387626.74    | 0.16%             | 2029-10-23      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1177000 | PA      | $1200413.51    | 0.03%             | 2028-04-22      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5557000 | PA      | $5705018.25    | 0.17%             | 2030-07-22      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3324000 | PA      | $3429310.93    | 0.10%             | 2035-07-22      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4405000 | PA      | $4448170.76    | 0.13%             | 2028-10-22      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5883000 | PA      | $6080631.15    | 0.18%             | 2031-01-24      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1520000 | PA      | $1588580.32    | 0.05%             | 2036-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2025-BHR5, Class A                                             | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      490241 | PA      | $490847.51     | 0.01%             | 2040-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A                                              | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      413000 | PA      | $361370.87     | 0.01%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHH, Class A                                              | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      899312 | PA      | $756513.25     | 0.02%             | 2035-06-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2021-INV7, Class A3A                                                                       | CUSIP: 46654CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7911184 | PA      | $7156097.78    | 0.21%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2021-INV7, Class A4A                                                                       | CUSIP: 46654CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4033941 | PA      | $2777997.67    | 0.08%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2021-INV7, Class A5A                                                                       | CUSIP: 46654CAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1815367 | PA      | $1501790.50    | 0.04%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D                                              | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      564000 | PA      | $464197.44     | 0.01%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                                              | JW Commercial Mortgage Trust, Series 2024-MRCO, Class A                                                                       | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1451000 | PA      | $1453242.09    | 0.04%             | 2039-06-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                                              | JW Commercial Mortgage Trust, Series 2024-MRCO, Class D                                                                       | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      577000 | PA      | $578440.83     | 0.02%             | 2039-06-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2025-VIS1, Class M1                                                                        | CUSIP: 46659BAF9<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-MBS          | CORP              | US        |     3151114 | PA      | $3195477.90    | 0.09%             | 2055-08-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2025-NQM5, Class A1LC                                                                      | CUSIP: 46664DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      296826 | PA      | $296093.72     | 0.01%             | 2065-05-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                          | Jersey Central Power & Light Co.                                                                                              | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |      154000 | PA      | $155729.71     | 0.00%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| KKR CLO 30 Ltd.                                                           | KKR CLO 30 Ltd., Series 30A, Class BR2                                                                                        | CUSIP: 48250EBE4<br>LEI: 549300NB16RGUJOZXI16 | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $260747.45     | 0.01%             | 2037-04-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| KKR CLO 17 Ltd.                                                           | KKR CLO 17 Ltd., Series 17, Class BR                                                                                          | CUSIP: 48251FAJ0<br>LEI: 549300I0HBY0ZQ3YIB77 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250455.73     | 0.01%             | 2034-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| KKR CLO 18 Ltd.                                                           | KKR CLO 18 Ltd., Series 18, Class A1R2                                                                                        | CUSIP: 48251JAS2<br>LEI: 54930088PYF0FHKY5C94 | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $746422.95     | 0.02%             | 2035-10-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| KKR CLO 21 Ltd.                                                           | KKR CLO 21 Ltd., Series 21, Class A                                                                                           | CUSIP: 48252KAA7<br>LEI: 5493008X0MRR4A6VYF15 | Long             | ABS-CBDO         | CORP              | KY        |       55190 | PA      | $55197.46      | 0.00%             | 2031-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| KKR CLO 26 Ltd.                                                           | KKR CLO 26 Ltd., Series 26, Class ARR                                                                                         | CUSIP: 48253HAW5<br>LEI: 549300S5YSR4S7FFS332 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250077.98     | 0.01%             | 2034-10-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 34 Ltd.                                                           | KKR CLO 34 Ltd., Series 34A, Class AR                                                                                         | CUSIP: 48253UAJ5<br>LEI: 254900DSRKUNUNRNUG13 | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $729451.99     | 0.02%             | 2034-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 28 Ltd.                                                           | KKR CLO 28 Ltd., Series 28A, Class AR2                                                                                        | CUSIP: 48253WAW2<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |      370000 | PA      | $369942.87     | 0.01%             | 2035-02-09      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| KKR CLO 35 Ltd.                                                           | KKR CLO 35 Ltd., Series 35A, Class AR                                                                                         | CUSIP: 48254LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.25     | 0.01%             | 2038-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| KKR CLO 48 Ltd.                                                           | KKR CLO 48 Ltd., Series 48A, Class AR                                                                                         | CUSIP: 48256EAQ2<br>LEI: 549300GM4MA615ZG7468 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250630.93     | 0.01%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| KKR CLO 54 Ltd.                                                           | KKR CLO 54 Ltd., Series 2024-54A, Class A                                                                                     | CUSIP: 48256VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250902.75     | 0.01%             | 2038-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| KeyBank NA                                                                | KeyBank NA                                                                                                                    | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |     2566000 | PA      | $2591702.36    | 0.08%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVC Cordatus Loan Fund IV DAC                                             | CVC Cordatus Loan Fund IV DAC, Series 4X, Class BR1                                                                           | CUSIP: N/A<br>LEI: 2138005AFEIY5AMT4165       | Long             | ABS-CBDO         | CORP              | IE        |      260000 | PA      | $303875.89     | 0.01%             | 2034-02-22      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Avoca CLO XXII DAC                                                        | Avoca CLO XXII DAC, Series 22X, Class B1                                                                                      | CUSIP: N/A<br>LEI: 5493000BN1WPGQDK4X78       | Long             | ABS-CBDO         | CORP              | IE        |      200000 | PA      | $233659.70     | 0.01%             | 2035-04-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Henley CLO IV DAC                                                         | Henley CLO IV DAC, Series 4X, Class B1                                                                                        | CUSIP: N/A<br>LEI: 6354009HFM8XXW6PPK55       | Long             | ABS-CBDO         | CORP              | IE        |      130000 | PA      | $152377.03     | 0.00%             | 2034-04-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                                             | KSL Commercial Mortgage Trust, Series 2024-HT2, Class A                                                                       | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1516557 | PA      | $1516083.59    | 0.04%             | 2039-12-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| KSL Trust                                                                 | KSL Trust                                                                                                                     | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1313000 | PA      | $1311547.15    | 0.04%             | 2030-06-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Mortgage Trust                         | Ladder Capital Commercial Mortgage Mortgage Trust, Series 2013-GCP, Class XA                                                  | CUSIP: 50184BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2606996 | PA      | $53587.85      | 0.00%             | 2036-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| LCM 29 Ltd.                                                               | LCM 29 Ltd., Series 29A, Class AR                                                                                             | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      233359 | PA      | $233399.34     | 0.01%             | 2031-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LCM 31 Ltd.                                                               | LCM 31 Ltd., Series 31A, Class AR                                                                                             | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      520000 | PA      | $520381.47     | 0.02%             | 2034-07-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| LCM 34 Ltd.                                                               | LCM 34 Ltd., Series 34A, Class A1R                                                                                            | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360043.63     | 0.01%             | 2034-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                                                 | LQR Trust, Series 2025-CALI, Class A                                                                                          | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      348000 | PA      | $347999.10     | 0.01%             | 2043-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fashion Show Mall LLC                                                     | Fashion Show Mall LLC, Series 2024-SHOW, Class A                                                                              | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      519642 | PA      | $527456.48     | 0.02%             | 2041-10-10      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class A                                                                                          | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      492824 | PA      | $493127.56     | 0.01%             | 2041-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class D                                                                                          | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125860 | PA      | $126054.08     | 0.00%             | 2041-10-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                            | Lehman Brothers Holdings, Inc.                                                                                                | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |    14400000 | PA      | $1.44          | 0.00%             | 2017-12-28      | Fixed         | 6.75%                 | No            |                  3 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class B                                                                               | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      263000 | PA      | $264222.40     | 0.01%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class C                                                                               | CUSIP: 52590AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100712.56     | 0.00%             | 2034-02-21      | Fixed         | 5.25%                 | No            |                  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        |      387000 | PA      | $388123.58     | 0.01%             | 2034-02-21      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class A                                                                               | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1595000 | PA      | $1594521.98    | 0.05%             | 2035-05-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class B                                                                               | CUSIP: 525951AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      264000 | PA      | $263473.14     | 0.01%             | 2035-05-21      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class C                                                                               | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99557.86      | 0.00%             | 2035-05-21      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-1A, Class B                                                                               | CUSIP: 52603DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      437000 | PA      | $443284.80     | 0.01%             | 2032-06-21      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-1A, Class C                                                                               | CUSIP: 52603DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      168000 | PA      | $170765.04     | 0.00%             | 2032-06-21      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-1A, Class D                                                                               | CUSIP: 52603DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      195000 | PA      | $198678.01     | 0.01%             | 2032-06-21      | Fixed         | 7.21%                 | No            |                  2 | 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        |     1380000 | PA      | $1395477.39    | 0.04%             | 2034-09-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class C                                                                               | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $101729.94     | 0.00%             | 2034-09-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer LLC                                                       | LoanCore Issuer LLC, Series 2025-CRE9, Class A                                                                                | CUSIP: 538912AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      770000 | PA      | $769055.44     | 0.02%             | 2042-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                      | LoanCore Issuer Ltd., Series 2022-CRE7, Class A                                                                               | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      355002 | PA      | $354580.61     | 0.01%             | 2037-01-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| LoanCore 2025 Issuer LLC                                                  | LoanCore 2025 Issuer LLC, Series 2025-CRE8, Class A                                                                           | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      313000 | PA      | $313041.53     | 0.01%             | 2042-08-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District                                    | Los Angeles Community College District, Series 2010E                                                                          | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      980000 | PA      | $1061939.86    | 0.03%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| LUX                                                                       | LUX Trust, Series 2023-LION, Class A                                                                                          | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      461953 | PA      | $466534.23     | 0.01%             | 2040-08-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Lyra Music Assets Delaware LP                                             | Lyra Music Assets Delaware LP, Series 2025-1A, Class A2                                                                       | CUSIP: 552339AD5<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |      498000 | PA      | $502150.18     | 0.01%             | 2065-09-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2020-NQM1, Class A3                                                                                         | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      132365 | PA      | $128248.41     | 0.00%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2022-NQM1, Class M1                                                                                         | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      596689 | PA      | $546376.36     | 0.02%             | 2066-12-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2022-FL9, Class A                                                         | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      709027 | PA      | $708575.67     | 0.02%             | 2037-06-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2022-FL10, Class A                                                        | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      109421 | PA      | $109250.26     | 0.00%             | 2037-09-17      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class A                                                                                  | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80569 | PA      | $80594.13      | 0.00%             | 2037-02-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HF1, Class A                                                                                  | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      683119 | PA      | $684393.82     | 0.02%             | 2041-12-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                                   | MF1 LLC, Series 2025-FL19, Class A                                                                                            | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1056000 | PA      | $1058978.24    | 0.03%             | 2042-05-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class A                                                                                         | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      694000 | PA      | $720766.12     | 0.02%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                                                | MSCI, Inc.                                                                                                                    | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     3938000 | PA      | $3963981.62    | 0.12%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                                            | MSWF Commercial Mortgage Trust, Series 2023-2, Class XA                                                                       | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11480765 | PA      | $643000.93     | 0.02%             | 2056-12-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2024-FL14, Class A                                                        | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      447000 | PA      | $448115.55     | 0.01%             | 2039-03-19      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LXXI Ltd.                                            | Madison Park Funding LXXI Ltd., Series 2025-71A, Class A1                                                                     | CUSIP: 55817DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      680000 | PA      | $679097.50     | 0.02%             | 2038-04-23      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XIX Ltd.                                             | Madison Park Funding XIX Ltd., Series 2015-19A, Class AR3                                                                     | CUSIP: 55819QBJ5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |     1229000 | PA      | $1229984.55    | 0.04%             | 2037-01-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXIV Ltd.                                            | Madison Park Funding XXIV Ltd., Series 2016-24A, Class BR2                                                                    | CUSIP: 55820NAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      234129 | PA      | $234146.61     | 0.01%             | 2029-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXVII Ltd.                                           | Madison Park Funding XXVII Ltd., Series 2018-27A, Class A1R                                                                   | CUSIP: 55820YAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249956.90     | 0.01%             | 2038-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXX Ltd.                                             | Madison Park Funding XXX Ltd., Series 2018-30A, Class A1R                                                                     | CUSIP: 55821TAL1<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |     2820000 | PA      | $2829446.44    | 0.08%             | 2037-07-16      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXX Ltd.                                             | Madison Park Funding XXX Ltd., Series 2018-30A, Class BR                                                                      | CUSIP: 55821TAQ0<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250976.00     | 0.01%             | 2037-07-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LVII Ltd.                                            | Madison Park Funding LVII Ltd., Series 2022-57A, Class A1R                                                                    | CUSIP: 55822GAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      880000 | PA      | $880002.64     | 0.03%             | 2034-07-27      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LXXIII Ltd.                                          | Madison Park Funding LXXIII Ltd., Series 2025-73A, Class B                                                                    | CUSIP: 55823HAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270806.87     | 0.01%             | 2038-10-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XL-R Ltd.                                            | Madison Park Funding XL-R Ltd., Series 2025-40RA, Class A                                                                     | CUSIP: 55823RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360936.00     | 0.01%             | 2038-10-16      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                                | Warnermedia Holdings, Inc.                                                                                                    | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     7065000 | PA      | $7017466.68    | 0.20%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-AA, Class A                                                                       | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2080000 | PA      | $2106419.74    | 0.06%             | 2038-05-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-AA, Class B                                                                       | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      281000 | PA      | $284717.04     | 0.01%             | 2038-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-AA, Class C                                                                       | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      289000 | PA      | $293554.44     | 0.01%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2024-AA, Class A                                                                       | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1174000 | PA      | $1189632.98    | 0.03%             | 2036-09-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2024-AA, Class D                                                                       | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $102440.84     | 0.00%             | 2036-09-22      | Fixed         | 6.77%                 | No            |                  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        |     3007000 | PA      | $3048969.60    | 0.09%             | 2038-11-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2024-BA, Class D                                                                       | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      267000 | PA      | $273400.92     | 0.01%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2025-NQM3, Class A1                                                                                         | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2206799 | PA      | $2212301.60    | 0.06%             | 2070-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-TWA, Class A                                                                                  | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      710000 | PA      | $719462.67     | 0.02%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-TWA, Class XA                                                                                 | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3312000 | PA      | $27062.02      | 0.00%             | 2039-06-12      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                                         | Mello Mortgage Capital Acceptance, Series 2021-MTG3, Class A22                                                                | CUSIP: 58549RAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1393348.80    | 0.04%             | 2051-07-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                     | Metropolitan Transportation Authority, Series 2010A                                                                           | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      270000 | PA      | $293947.30     | 0.01%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                     | Metropolitan Transportation Authority, Series 2010E                                                                           | CUSIP: 59261A6J1<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      360000 | PA      | $401779.66     | 0.01%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                           | Microsoft Corp.                                                                                                               | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     3176000 | PA      | $2080396.97    | 0.06%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                    | MidAmerican Energy Co.                                                                                                        | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     1022000 | PA      | $691911.94     | 0.02%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO XII Ltd.                                              | MidOcean Credit CLO XII Ltd., Series 2023-12A, Class A1RR                                                                     | CUSIP: 59803TBA8<br>LEI: 5493000CPZWPTWX7TF71 | Long             | ABS-CBDO         | CORP              | JE        |      760000 | PA      | $762355.16     | 0.02%             | 2038-07-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Milford Park CLO Ltd.                                                     | Milford Park CLO Ltd., Series 2022-1A, Class AR                                                                               | CUSIP: 59966PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      610000 | PA      | $609683.29     | 0.02%             | 2038-01-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO II DAC                                                      | Voya Euro CLO II DAC, Series 2A, Class CR                                                                                     | CUSIP: N/A<br>LEI: 635400URG3IUW6R6W254       | Long             | ABS-CBDO         | CORP              | IE        |      250000 | PA      | $294038.86     | 0.01%             | 2035-07-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Milos CLO Ltd.                                                            | Milos CLO Ltd., Series 2017-1A, Class AR                                                                                      | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |        9927 | PA      | $9926.71       | 0.00%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2024-NSTB, Class A                                                                     | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3038976 | PA      | $2999302.61    | 0.09%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-MP, Class A                                                                       | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3761000 | PA      | $3495055.55    | 0.10%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-H1, Class XD                                                                      | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3030000 | PA      | $82136.63      | 0.00%             | 2050-06-15      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-H1, Class B                                                                       | CUSIP: 61691JAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3302000 | PA      | $3222377.22    | 0.09%             | 2050-06-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1155000 | PA      | $1083386.06    | 0.03%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4611000 | PA      | $4097279.22    | 0.12%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1204000 | PA      | $1184140.96    | 0.03%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3524000 | PA      | $3216330.17    | 0.09%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1335000 | PA      | $1354220.37    | 0.04%             | 2033-07-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1021000 | PA      | $1042270.73    | 0.03%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      251000 | PA      | $257668.19     | 0.01%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2567000 | PA      | $2674366.65    | 0.08%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5698000 | PA      | $5842080.14    | 0.17%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2269000 | PA      | $2296449.41    | 0.07%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3861000 | PA      | $3937474.94    | 0.11%             | 2029-04-12      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4319000 | PA      | $4454993.35    | 0.13%             | 2031-01-15      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley, Series I                                                                                                      | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3370000 | PA      | $3368914.83    | 0.10%             | 2029-10-18      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B3                                                      | CUSIP: 61763YAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      121109 | PA      | $122182.80     | 0.00%             | 2044-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-L2, Class XA                                                                      | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1849251 | PA      | $47925.73      | 0.00%             | 2052-03-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-H6, Class D                                                                       | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137000 | PA      | $112991.33     | 0.00%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-H6, Class XB                                                                      | CUSIP: 61769JBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5210000 | PA      | $116473.93     | 0.00%             | 2052-06-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1347000 | PA      | $1335277.75    | 0.04%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank NA                                            | Morgan Stanley Private Bank NA                                                                                                | CUSIP: 61776NVE0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     1929000 | PA      | $1941994.52    | 0.06%             | 2028-07-06      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM3, Class A1                                                    | CUSIP: 61776UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4233010 | PA      | $4230068.07    | 0.12%             | 2069-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-DSC2, Class A1                                                    | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2822792 | PA      | $2850119.63    | 0.08%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class A1                                                    | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4772932 | PA      | $4822130.80    | 0.14%             | 2069-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class M1                                                    | CUSIP: 617932AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2121763 | PA      | $2150639.13    | 0.06%             | 2069-11-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                          | MortgageIT Trust, Series 2004-1, Class A1                                                                                     | CUSIP: 61913PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153528 | PA      | $150002.52     | 0.00%             | 2034-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization Trust                                      | Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85                                                              | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      914352 | PA      | $898855.65     | 0.03%             | 2036-04-16      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                                      | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     1167000 | PA      | $1227243.99    | 0.04%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                                      | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     1580000 | PA      | $1641937.53    | 0.05%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                                   | Municipal Electric Authority of Georgia, Series 2010-A                                                                        | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |      649000 | PA      | $701860.08     | 0.02%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                                | NCMF Trust, Series 2025-MFS, Class A                                                                                          | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1129000 | PA      | $1133065.19    | 0.03%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                           | NGPL PipeCo LLC                                                                                                               | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     4207000 | PA      | $3870270.50    | 0.11%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                                              | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     3938000 | PA      | $3920614.91    | 0.11%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                                              | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     8780000 | PA      | $9705315.42    | 0.28%             | 2033-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                                        | CUSIP: 62947QBC1<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | US        |      699000 | PA      | $723996.24     | 0.02%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2024-3ELV, Class A                                                                                          | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1256348 | PA      | $1260001.96    | 0.04%             | 2029-08-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                                           | NYMT Loan Trust, Series 2024-INV1, Class A1                                                                                   | CUSIP: 62956XAA9<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |      136723 | PA      | $137533.88     | 0.00%             | 2069-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                                              | NY Commercial Mortgage Trust, Series 2025-299P, Class B                                                                       | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176000 | PA      | $183380.01     | 0.01%             | 2047-02-10      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                              | Natixis Commercial Mortgage Securities Trust, Series 2018-SOX, Class A                                                        | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      886000 | PA      | $875434.63     | 0.03%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                              | Natixis Commercial Mortgage Securities Trust, Series 2019-LVL, Class D                                                        | CUSIP: 63874TAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      310000 | PA      | $285141.01     | 0.01%             | 2038-08-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2015-AA, Class A3                                                                | CUSIP: 63939EAD5<br>LEI: 549300YZ4ZMNDBNO4U12 | Long             | ABS-O            | CORP              | US        |        7591 | PA      | $7593.30       | 0.00%             | 2030-11-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2018-BA, Class A2A                                                               | CUSIP: 63940QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       14664 | PA      | $14650.05      | 0.00%             | 2059-12-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A                                                          | CUSIP: 63940UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      213708 | PA      | $212686.50     | 0.01%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2                                                           | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      115976 | PA      | $114814.79     | 0.00%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2020-A, Class A2B                                                                | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      159505 | PA      | $159124.67     | 0.00%             | 2068-11-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2019-BA, Class A2A                                                                         | CUSIP: 63941LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      106539 | PA      | $105045.13     | 0.00%             | 2059-12-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-DA, Class B                                                            | CUSIP: 63942CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      174057 | PA      | $156776.02     | 0.00%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-DA, Class C                                                            | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      466485 | PA      | $437950.22     | 0.01%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2024-A, Class A                                                             | CUSIP: 63943CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2253760 | PA      | $2309449.69    | 0.07%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                                              | Navient Refinance Loan Trust, Series 2025-B, Class A                                                                          | CUSIP: 63943NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1340396 | PA      | $1341412.51    | 0.04%             | 2055-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class A1B                                                                          | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3149602 | PA      | $3170687.53    | 0.09%             | 2055-05-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-AA, Class A1B                                                                          | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2505688 | PA      | $2496348.58    | 0.07%             | 2057-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-CA, Class A1B                                                                          | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1554847 | PA      | $1565705.57    | 0.05%             | 2065-06-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 36R Ltd.                               | Neuberger Berman Loan Advisers CLO 36R Ltd., Series 2020-36RA, Class A                                                        | CUSIP: 64090EAA4<br>LEI: 254900RBT2LAQQHMHG60 | Long             | ABS-CBDO         | CORP              | KY        |     2733000 | PA      | $2740378.28    | 0.08%             | 2039-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVII Ltd.                                            | Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class AR3                                                                    | CUSIP: 64129UCC7<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250866.25     | 0.01%             | 2038-07-22      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XXI Ltd.                                             | Neuberger Berman CLO XXI Ltd., Series 2016-21A, Class A1R3                                                                    | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |     3260000 | PA      | $3272681.40    | 0.10%             | 2039-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 31 Ltd.                                | Neuberger Berman Loan Advisers CLO 31 Ltd., Series 2019-31A, Class AR2                                                        | CUSIP: 64132JAW5<br>LEI: 5493007OZE2103TZO049 | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3005868.00    | 0.09%             | 2039-01-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 34 Ltd.                                | Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class BR2                                                        | CUSIP: 64132YBJ0<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250830.55     | 0.01%             | 2039-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                             | New Jersey Turnpike Authority, Series 2009F                                                                                   | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      665000 | PA      | $797030.90     | 0.02%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO 2 Ltd.                                                   | New Mountain CLO 2 Ltd., Series CLO-2A, Class A1R                                                                             | CUSIP: 64754LAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $391428.18     | 0.01%             | 2038-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO 7 Ltd.                                                   | New Mountain CLO 7 Ltd., Series CLO-7A, Class A1                                                                              | CUSIP: 64754YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249973.38     | 0.01%             | 2038-03-31      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO 3 Ltd.                                                   | New Mountain CLO 3 Ltd., Series CLO-3A, Class A1R                                                                             | CUSIP: 647550AQ5<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250694.60     | 0.01%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO 3 Ltd.                                                   | New Mountain CLO 3 Ltd., Series CLO-3A, Class CR                                                                              | CUSIP: 647550AW2<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1004302.80    | 0.03%             | 2038-10-20      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO 8 Ltd.                                                   | New Mountain CLO 8 Ltd., Series CLO-8A, Class A1                                                                              | CUSIP: 64755GAA5<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250608.43     | 0.01%             | 2038-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2019-2A, Class A1                                                                 | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      118285 | PA      | $116491.09     | 0.00%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class A1                                                               | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |     3341041 | PA      | $3385109.46    | 0.10%             | 2065-01-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class M1                                                               | CUSIP: 64832DAF8<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |     1670547 | PA      | $1714088.47    | 0.05%             | 2065-01-25      | Variable      | 6.47%                 | No            |                  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        |     1068430 | PA      | $1076743.48    | 0.03%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  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        |      608162 | PA      | $609918.43     | 0.02%             | 2065-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                           | New York City Municipal Water Finance Authority, Series 2011CC                                                                | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      440000 | PA      | $447198.80     | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                        | New York State Dormitory Authority, Series 2010H                                                                              | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |      320000 | PA      | $322554.30     | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Newark BSL CLO 2 Ltd.                                                     | Newark BSL CLO 2 Ltd., Series 2017-1A, Class A2R                                                                              | CUSIP: 65023PAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250028.28     | 0.01%             | 2030-07-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                     | NextEra Energy Capital Holdings, Inc.                                                                                         | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      127000 | PA      | $128509.14     | 0.00%             | 2027-09-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| 1988 CLO 2 Ltd.                                                           | 1988 CLO 2 Ltd., Series 2023-2A, Class A1R                                                                                    | CUSIP: 653947AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      570000 | PA      | $569940.95     | 0.02%             | 2038-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| NJ Trust                                                                  | NJ Trust, Series 2023-GSP, Class A                                                                                            | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      490000 | PA      | $513721.24     | 0.01%             | 2029-01-06      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                    | Northrop Grumman Corp.                                                                                                        | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     1638000 | PA      | $1545777.80    | 0.05%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2021-J2, Class A1                                                                                           | CUSIP: 670861AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11147239 | PA      | $9315781.31    | 0.27%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2020-19A, Class D1R2                                                                                     | CUSIP: 670881BE0<br>LEI: 254900ZMV4RGFPV8TK42 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250722.55     | 0.01%             | 2038-04-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                    | OCP SA                                                                                                                        | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |      385000 | PA      | $415203.25     | 0.01%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2016-12A, Class XR3                                                                                      | CUSIP: 67092RAW8<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360003.56     | 0.01%             | 2037-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2016-12A, Class BAR3                                                                                     | CUSIP: 67092RBC1<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |      430000 | PA      | $431280.58     | 0.01%             | 2037-10-18      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2017-13A, Class X                                                                                        | CUSIP: 67097LAT3<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |      187500 | PA      | $187500.62     | 0.01%             | 2037-11-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2017-13A, Class AR2                                                                                      | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |     2087000 | PA      | $2094982.78    | 0.06%             | 2037-11-26      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2025-42A, Class A                                                                                        | CUSIP: 67097SAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $400989.28     | 0.01%             | 2038-05-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 4 Ltd.                                                 | OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR2                                                                          | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      660000 | PA      | $662054.45     | 0.02%             | 2038-01-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 7 Ltd.                                                 | OHA Credit Funding 7 Ltd., Series 2020-7A, Class A1R2                                                                         | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1080000 | PA      | $1082957.04    | 0.03%             | 2038-07-19      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2025-46A, Class A                                                                                        | CUSIP: 671023AA7<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $350473.87     | 0.01%             | 2038-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2025-46A, Class C                                                                                        | CUSIP: 671023AE9<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250211.38     | 0.01%             | 2038-10-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2025-46A, Class D1                                                                                       | CUSIP: 671023AG4<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $254610.78     | 0.01%             | 2038-10-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners VII Ltd.                                              | OHA Credit Partners VII Ltd., Series 2012-7A, Class AR4                                                                       | CUSIP: 67102QBK3<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249636.68     | 0.01%             | 2038-02-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2020-18A, Class D1R2                                                                                     | CUSIP: 671078BG7<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249302.58     | 0.01%             | 2037-07-20      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners XI Ltd.                                               | OHA Credit Partners XI Ltd., Series 2015-11A, Class A1R2                                                                      | CUSIP: 67109FAU9<br>LEI: 549300OYGEU6QQMCEG78 | Long             | ABS-CBDO         | CORP              | KY        |      550000 | PA      | $552039.95     | 0.02%             | 2037-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| OZLM XIX Ltd.                                                             | OZLM XIX Ltd., Series 2017-19A, Class A1RR                                                                                    | CUSIP: 67112CBE6<br>LEI: 5493009C40QUU66J8E83 | Long             | ABS-CBDO         | CORP              | KY        |      550000 | PA      | $550252.07     | 0.02%             | 2035-01-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| OZLM XVIII Ltd.                                                           | OZLM XVIII Ltd., Series 2018-18A, Class A                                                                                     | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      102884 | PA      | $102884.34     | 0.00%             | 2031-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| OZLM XVIII Ltd.                                                           | OZLM XVIII Ltd., Series 2018-18A, Class B                                                                                     | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $350523.32     | 0.01%             | 2031-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2018-15A, Class AR                                                                                       | CUSIP: 67112KAG4<br>LEI: 254900WK4JKXAXOKTL68 | Long             | ABS-CBDO         | CORP              | KY        |     1060000 | PA      | $1062096.36    | 0.03%             | 2038-01-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 3 Ltd.                                                 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR2                                                                          | CUSIP: 67112RBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1450000 | PA      | $1454552.13    | 0.04%             | 2038-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV Ltd.                                                            | OZLM XXIV Ltd., Series 2019-24A, Class A2AR                                                                                   | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250221.93     | 0.01%             | 2032-07-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 5 Ltd.                                                 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class B1R                                                                          | CUSIP: 67113GAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251124.73     | 0.01%             | 2037-10-18      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners XVI                                                   | OHA Credit Partners XVI, Series 2021-16A, Class AR                                                                            | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1160000 | PA      | $1164053.39    | 0.03%             | 2037-10-18      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2021-22A, Class AR                                                                                       | CUSIP: 67117TAN5<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $301280.13     | 0.01%             | 2037-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2024-NQM14, Class A1                                                                                        | CUSIP: 67119XAC8<br>LEI: 254900C7ZCEHM7Y5MX79 | Long             | ABS-MBS          | CORP              | US        |     2084682 | PA      | $2085065.13    | 0.06%             | 2064-09-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2024-37A, Class A1                                                                                       | CUSIP: 67120AAA9<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |      310000 | PA      | $311122.51     | 0.01%             | 2037-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2024-37A, Class B1                                                                                       | CUSIP: 67120AAE1<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |      310000 | PA      | $310938.28     | 0.01%             | 2037-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| ORL Trust                                                                 | ORL Trust, Series 2024-GLKS, Class A                                                                                          | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      810000 | PA      | $811253.96     | 0.02%             | 2039-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2024-38A, Class A                                                                                        | CUSIP: 67120KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250947.50     | 0.01%             | 2038-01-21      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 10-R Ltd.                                              | OHA Credit Funding 10-R Ltd., Series 2021-10RA, Class A1                                                                      | CUSIP: 67121RAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $510519.08     | 0.01%             | 2037-07-18      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-11X, Class A                                                                       | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      890000 | PA      | $892768.26     | 0.03%             | 2040-10-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-28L, Class A                                                                       | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      952000 | PA      | $954014.05     | 0.03%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2025-45A, Class A                                                                                        | CUSIP: 67126BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250409.98     | 0.01%             | 2038-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                          | Oaktree CLO Ltd., Series 2021-2A, Class AR                                                                                    | CUSIP: 67389BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      450000 | PA      | $449325.59     | 0.01%             | 2035-01-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                          | Oaktree CLO Ltd., Series 2025-31A, Class A                                                                                    | CUSIP: 67400BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $752398.20     | 0.02%             | 2038-07-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                          | Oaktree CLO Ltd., Series 2020-1A, Class BRR                                                                                   | CUSIP: 67402FAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250427.50     | 0.01%             | 2038-01-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                          | Oaktree CLO Ltd., Series 2024-27A, Class A2                                                                                   | CUSIP: 67402UAC0<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250993.78     | 0.01%             | 2037-10-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2025-NQM3, Class A1                                                                                         | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |     2579661 | PA      | $2605014.45    | 0.08%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2019-16A, Class AR                                                                                       | CUSIP: 67570QAK7<br>LEI: 254900XAI48J82ID5O83 | Long             | ABS-CBDO         | CORP              | KY        |      211803 | PA      | $211848.32     | 0.01%             | 2033-04-10      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                                     | Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A                                                             | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      119448 | PA      | $119449.27     | 0.00%             | 2031-04-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Octagon 75 Ltd.                                                           | Octagon 75 Ltd., Series 2025-1A, Class A1                                                                                     | CUSIP: 67579EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249976.13     | 0.01%             | 2038-01-22      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 39 Ltd.                                       | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class AR                                                                 | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       88011 | PA      | $88029.15      | 0.00%             | 2030-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 9 Ltd.                                                 | OHA Credit Funding 9 Ltd., Series 2021-9A, Class A1R                                                                          | CUSIP: 67690AAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      560000 | PA      | $561944.32     | 0.02%             | 2037-10-19      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 2 Ltd.                                                 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR2                                                                          | CUSIP: 67707EBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3470000 | PA      | $3477268.61    | 0.10%             | 2038-01-21      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 2 Ltd.                                                 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class B1R2                                                                         | CUSIP: 67707EBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250929.58     | 0.01%             | 2038-01-21      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co.                                                                                                                | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      738000 | PA      | $567019.31     | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co., Series Q                                                                                                      | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     2987000 | PA      | $2621272.38    | 0.08%             | 2031-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co., Series R                                                                                                      | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      387000 | PA      | $238510.78     | 0.01%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                              | Olympic Tower Mortgage Trust, Series 2017-OT, Class XA                                                                        | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10700000 | PA      | $38687.99      | 0.00%             | 2039-05-10      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                     | One Bryant Park Trust, Series 2019-OBP, Class A                                                                               | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      324000 | PA      | $300744.90     | 0.01%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class XCP                                                                           | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14165563 | PA      | $44105.90      | 0.00%             | 2032-02-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class XNCP                                                                          | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2833113 | PA      | $7410.29       | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| 1301 Trust                                                                | 1301 Trust, Series 2025-1301, Class A                                                                                         | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      395000 | PA      | $399869.84     | 0.01%             | 2042-08-11      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class A                                                                           | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      370000 | PA      | $362922.42     | 0.01%             | 2036-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| 1988 CLO 5 Ltd.                                                           | 1988 CLO 5 Ltd., Series 2024-5A, Class A1                                                                                     | CUSIP: 68252PAA4<br>LEI: 254900KAQBAF5XV8IU66 | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $802765.20     | 0.02%             | 2037-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2020-2A, Class C                                                                     | CUSIP: 682696AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      550000 | PA      | $530376.72     | 0.02%             | 2035-09-14      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2020-2A, Class D                                                                     | CUSIP: 682696AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1410000 | PA      | $1365025.94    | 0.04%             | 2035-09-14      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2021-1A, Class C                                                                     | CUSIP: 68269MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $94083.82      | 0.00%             | 2036-06-16      | Fixed         | 2.22%                 | 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        |      421000 | PA      | $425988.85     | 0.01%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| 1345T                                                                     | 1345T, Series 2025-AOA, Class A                                                                                               | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2660000 | PA      | $2668275.53    | 0.08%             | 2042-06-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ONNI Commerical Mortgage Trust                                            | ONNI Commerical Mortgage Trust, Series 2024-APT, Class A                                                                      | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158000 | PA      | $161015.52     | 0.00%             | 2039-07-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1477000 | PA      | $951399.05     | 0.03%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1173000 | PA      | $1034337.77    | 0.03%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1979000 | PA      | $1752588.35    | 0.05%             | 2065-08-03      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     6336000 | PA      | $5613786.10    | 0.16%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     3174000 | PA      | $2799444.13    | 0.08%             | 2065-09-26      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Orbia Advance Corp. SAB de CV                                             | Orbia Advance Corp. SAB de CV                                                                                                 | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      634000 | PA      | $625124.00     | 0.02%             | 2030-05-13      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO Ltd.                                                     | Orchard Park CLO Ltd., Series 2024-1A, Class A                                                                                | CUSIP: 68563JAA2<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |     3070000 | PA      | $3081245.41    | 0.09%             | 2037-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO Ltd.                                                     | Orchard Park CLO Ltd., Series 2024-1A, Class B1                                                                               | CUSIP: 68563JAC8<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $281013.18     | 0.01%             | 2037-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Orion CLO Ltd.                                                            | Orion CLO Ltd., Series 2023-1A, Class A1R                                                                                     | CUSIP: 68626CAJ3<br>LEI: 2138006D8Y42BDBTP628 | Long             | ABS-CBDO         | CORP              | JE        |     3120000 | PA      | $3124956.74    | 0.09%             | 2038-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO III Ltd.                                                     | Owl Rock CLO III Ltd., Series 2020-3A, Class AR                                                                               | CUSIP: 69120DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250380.25     | 0.01%             | 2036-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO V LLC                                                        | Owl Rock CLO V LLC, Series 2020-5A, Class A1R                                                                                 | CUSIP: 69120JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250034.08     | 0.01%             | 2034-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO VII LLC                                                      | Owl Rock CLO VII LLC, Series 2022-7A, Class AR                                                                                | CUSIP: 69121BAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $249565.58     | 0.01%             | 2038-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                           | PECO Energy Co.                                                                                                               | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      286000 | PA      | $186536.17     | 0.01%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                           | PECO Energy Co.                                                                                                               | CUSIP: 693304BD8<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      363000 | PA      | $308654.79     | 0.01%             | 2052-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                       | PFS Financing Corp.                                                                                                           | CUSIP: 69335PFR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $2011200.00    | 0.06%             | 2028-10-16      | Fixed         | 5.54%                 | No            |                  3 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2021-AFC2, Class A1                                                                                       | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      221906 | PA      | $198806.02     | 0.01%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2022-AFC1, Class A1A                                                                                      | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      218820 | PA      | $218455.49     | 0.01%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2022-AFC2, Class A1                                                                                       | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1535141 | PA      | $1533768.88    | 0.04%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| PGA Trust                                                                 | PGA Trust, Series 2024-RSR2, Class A                                                                                          | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2169000 | PA      | $2169671.31    | 0.06%             | 2039-06-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM3, Class A1                                                                                        | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2309422 | PA      | $2325717.31    | 0.07%             | 2070-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                            | PENN Commercial Mortgage Trust, Series 2025-P11, Class A                                                                      | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      238000 | PA      | $243794.82     | 0.01%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM5, Class A1A                                                                                       | CUSIP: 69383FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900231 | PA      | $902289.38     | 0.03%             | 2070-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM6, Class A1                                                                                        | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000192 | PA      | $999187.20     | 0.03%             | 2070-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                                                | PRET Trust, Series 2025-RPL1, Class A1                                                                                        | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6409180 | PA      | $6279360.31    | 0.18%             | 2069-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                                                | PRM5 Trust, Series 2025-PRM5, Class D                                                                                         | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      383000 | PA      | $383209.65     | 0.01%             | 2033-03-10      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3217000 | PA      | $2716749.13    | 0.08%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      808000 | PA      | $601546.43     | 0.02%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1273000 | PA      | $963600.52     | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1959000 | PA      | $1320955.97    | 0.04%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     4962000 | PA      | $4194041.93    | 0.12%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      662961 | PA      | $577703.70     | 0.02%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1767000 | PA      | $1540644.74    | 0.04%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     5118000 | PA      | $5358318.25    | 0.16%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1319000 | PA      | $1402791.32    | 0.04%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      447000 | PA      | $474309.63     | 0.01%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1039000 | PA      | $1096371.74    | 0.03%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1020000 | PA      | $1099964.11    | 0.03%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1098000 | PA      | $1052329.04    | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2955000 | PA      | $2923301.77    | 0.09%             | 2055-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Co.                                                | Pacific Gas & Electric Co.                                                                                                    | CUSIP: 694308KZ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3872000 | PA      | $3799933.37    | 0.11%             | 2055-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2022-3A, Class A1R                                                                             | CUSIP: 69690AAS6<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501728.70     | 0.01%             | 2037-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2022-3A, Class B1R                                                                             | CUSIP: 69690AAW7<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250742.30     | 0.01%             | 2037-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2022-3A, Class D1R                                                                             | CUSIP: 69690ABC0<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249807.33     | 0.01%             | 2037-07-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2022-3A, Class BR                                                                     | CUSIP: 69690CAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      460000 | PA      | $460262.71     | 0.01%             | 2031-04-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A2                                                                     | CUSIP: 69690EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $290712.01     | 0.01%             | 2032-08-08      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2025-4A, Class A                                                                               | CUSIP: 696916AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330862.95     | 0.01%             | 2038-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2025-3A, Class A1                                                                     | CUSIP: 696918AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1580000 | PA      | $1579712.60    | 0.05%             | 2034-01-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2025-3A, Class C                                                                      | CUSIP: 696918AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250667.25     | 0.01%             | 2034-01-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2024-2A, Class B                                                                               | CUSIP: 69703LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $752198.48     | 0.02%             | 2037-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2024-1A, Class A2                                                                     | CUSIP: 69703NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500407.20     | 0.01%             | 2032-10-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2024-1A, Class B                                                                      | CUSIP: 69703NAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250405.20     | 0.01%             | 2032-10-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                        | Republic of Panama                                                                                                            | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     1275000 | PA      | $1252050.00    | 0.04%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                        | Republic of Panama                                                                                                            | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     1810000 | PA      | $1355690.00    | 0.04%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO V DAC                                                       | Voya Euro CLO V DAC, Series 5A, Class B1                                                                                      | CUSIP: N/A<br>LEI: 549300IGE7MPYA8F0423       | Long             | ABS-CBDO         | CORP              | IE        |      440000 | PA      | $516949.78     | 0.02%             | 2035-04-15      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd.                                                        | Park Blue CLO Ltd., Series 2022-2A, Class BR                                                                                  | CUSIP: 70018CAS5<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250741.60     | 0.01%             | 2037-07-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO 2025-VII Ltd.                                               | Park Blue CLO 2025-VII Ltd., Series 2025-7A, Class A1                                                                         | CUSIP: 70019HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500770.75     | 0.01%             | 2038-04-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd.                                                        | Park Blue CLO Ltd., Series 2024-6A, Class A1                                                                                  | CUSIP: 70019KAA5<br>LEI: 213800RLFYTJFPXOL592 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250970.25     | 0.01%             | 2038-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd.                                                        | Park Blue CLO Ltd., Series 2025-9A, Class A1                                                                                  | CUSIP: 70019UAA3<br>LEI: 213800GMETRF98C4D824 | Long             | ABS-CBDO         | CORP              | KY        |     1210000 | PA      | $1213520.50    | 0.04%             | 2038-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd.                                                        | Park Blue CLO Ltd., Series 2025-9A, Class C                                                                                   | CUSIP: 70019UAG0<br>LEI: 213800GMETRF98C4D824 | Long             | ABS-CBDO         | CORP              | KY        |      620000 | PA      | $622900.55     | 0.02%             | 2038-10-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd.                                                        | Park Blue CLO Ltd., Series 2025-8A, Class A1                                                                                  | CUSIP: 70019WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250497.68     | 0.01%             | 2038-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd.                                                        | Park Blue CLO Ltd., Series 2025-10A, Class A1                                                                                 | CUSIP: 70019YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      900000 | PA      | $900000.00     | 0.03%             | 2039-01-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd.                                                        | Park Blue CLO Ltd., Series 2025-10A, Class D1                                                                                 | CUSIP: 70019YAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00     | 0.01%             | 2039-01-20      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                          | Republic of Peru                                                                                                              | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2839000 | PA      | $1994397.50    | 0.06%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |        8000 | PA      | $7743.20       | 0.00%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |        6807 | PA      | $7297.85       | 0.00%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |       73000 | PA      | $84385.81      | 0.00%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                                   | Pfizer Investment Enterprises Pte. Ltd.                                                                                       | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      832000 | PA      | $840822.18     | 0.02%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                                   | Pfizer Investment Enterprises Pte. Ltd.                                                                                       | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      311000 | PA      | $294478.54     | 0.01%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                               | Republic of Philippines                                                                                                       | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     3147000 | PA      | $3076192.50    | 0.09%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                               | Republic of Philippines                                                                                                       | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     2747000 | PA      | $1970972.50    | 0.06%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                            | Piedmont Natural Gas Co., Inc.                                                                                                | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |      934000 | PA      | $849777.59     | 0.02%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO 15 Ltd.                                                    | Pikes Peak CLO 15 Ltd., Series 2023-15A, Class AR                                                                             | CUSIP: 720922AL7<br>LEI: 213800Z4RS2ZM3411T95 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250380.38     | 0.01%             | 2038-10-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Pinnacle West Capital Corp.                                               | Pinnacle West Capital Corp.                                                                                                   | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     4480000 | PA      | $4616248.04    | 0.13%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  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        |     1186000 | PA      | $1185554.30    | 0.03%             | 2055-12-06      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                   | Port Authority of New York & New Jersey, Series 2014-181                                                                      | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     1035000 | PA      | $964686.76     | 0.03%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Post CLO Ltd.                                                             | Post CLO Ltd., Series 2023-1A, Class A1R                                                                                      | CUSIP: 73743CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      370000 | PA      | $371015.84     | 0.01%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Post CLO Ltd.                                                             | Post CLO Ltd., Series 2023-1A, Class BR                                                                                       | CUSIP: 73743CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $361323.79     | 0.01%             | 2038-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Post CLO Ltd.                                                             | Post CLO Ltd., Series 2023-1A, Class D1R                                                                                      | CUSIP: 73743CAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251704.33     | 0.01%             | 2038-10-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance DAC                                                       | Prodigy Finance DAC, Series 2021-1A, Class A                                                                                  | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |      224711 | PA      | $224152.89     | 0.01%             | 2051-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance DAC                                                       | Prodigy Finance DAC, Series 2021-1A, Class B                                                                                  | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |       43551 | PA      | $43325.58      | 0.00%             | 2051-07-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance DAC                                                       | Prodigy Finance DAC, Series 2021-1A, Class C                                                                                  | CUSIP: 742855AC3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |       38895 | PA      | $38679.16      | 0.00%             | 2051-07-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM1, Class A1                                                                                        | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3808035 | PA      | $3839788.39    | 0.11%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM1, Class M1A                                                                                       | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1878222 | PA      | $1908893.74    | 0.06%             | 2069-11-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                       | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                                                                              | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      309632 | PA      | $311868.70     | 0.01%             | 2044-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                                | ROCK Trust, Series 2024-CNTR, Class A                                                                                         | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166733 | PA      | $171297.80     | 0.00%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| RR 41 Ltd.                                                                | RR 41 Ltd., Series 2025-41A, Class A1A                                                                                        | CUSIP: 749764AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250600.75     | 0.01%             | 2040-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| RR 5 Ltd.                                                                 | RR 5 Ltd., Series 2018-5A, Class A1R                                                                                          | CUSIP: 74979VAM5<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250812.33     | 0.01%             | 2039-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| RR 5 Ltd.                                                                 | RR 5 Ltd., Series 2018-5A, Class A2R                                                                                          | CUSIP: 74979VAV5<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251325.43     | 0.01%             | 2039-07-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| RR 7 Ltd.                                                                 | RR 7 Ltd., Series 2019-7A, Class A2B                                                                                          | CUSIP: 74980EAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250471.35     | 0.01%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| RR 8 Ltd.                                                                 | RR 8 Ltd., Series 2020-8A, Class A1A2                                                                                         | CUSIP: 74980FBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1150000 | PA      | $1152198.80    | 0.03%             | 2039-01-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| RR 32 Ltd.                                                                | RR 32 Ltd., Series 2024-32RA, Class A1R                                                                                       | CUSIP: 74988CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2850000 | PA      | $2860093.85    | 0.08%             | 2039-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| RR 32 Ltd.                                                                | RR 32 Ltd., Series 2024-32RA, Class A2R                                                                                       | CUSIP: 74988CAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250946.05     | 0.01%             | 2039-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| RR 38 Ltd.                                                                | RR 38 Ltd., Series 2025-38A, Class A1A                                                                                        | CUSIP: 74988FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2140000 | PA      | $2137860.00    | 0.06%             | 2040-04-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RR 36 Ltd.                                                                | RR 36 Ltd., Series 2024-36RA, Class A1R                                                                                       | CUSIP: 74989AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250660.68     | 0.01%             | 2040-01-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| RR 28 Ltd.                                                                | RR 28 Ltd., Series 2024-28RA, Class A1R                                                                                       | CUSIP: 74989NAA7<br>LEI: 254900ZSKVCYOXP11C98 | Long             | ABS-CBDO         | CORP              | KY        |     1180000 | PA      | $1184194.90    | 0.03%             | 2037-04-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| RR 29 Ltd.                                                                | RR 29 Ltd., Series 2024-29RA, Class A1R                                                                                       | CUSIP: 74989VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250995.03     | 0.01%             | 2039-07-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Rad CLO 27 Ltd.                                                           | Rad CLO 27 Ltd., Series 2024-27A, Class A1                                                                                    | CUSIP: 749972AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250917.25     | 0.01%             | 2038-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| RR 24 Ltd.                                                                | RR 24 Ltd., Series 2022-24A, Class A1A2                                                                                       | CUSIP: 75000HBA1<br>LEI: 2549005CH9FMTJFP8I04 | Long             | ABS-CBDO         | CORP              | BM        |      500000 | PA      | $501880.50     | 0.01%             | 2037-01-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Rad CLO 21 Ltd.                                                           | Rad CLO 21 Ltd., Series 2023-21A, Class A1R                                                                                   | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      720000 | PA      | $718937.35     | 0.02%             | 2037-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Rad CLO 18 Ltd.                                                           | Rad CLO 18 Ltd., Series 2023-18A, Class A1R                                                                                   | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250679.25     | 0.01%             | 2037-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Rad CLO 14 Ltd.                                                           | Rad CLO 14 Ltd., Series 2021-14A, Class A                                                                                     | CUSIP: 75009RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $730730.44     | 0.02%             | 2035-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Rad CLO 15 Ltd.                                                           | Rad CLO 15 Ltd., Series 2021-15A, Class A1AR                                                                                  | CUSIP: 750103AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1060000 | PA      | $1063918.40    | 0.03%             | 2040-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                                   | Raizen Fuels Finance SA                                                                                                       | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      334000 | PA      | $280727.00     | 0.01%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Regatta 32 Funding Ltd.                                                   | Regatta 32 Funding Ltd., Series 2025-4A, Class A1                                                                             | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      570000 | PA      | $572169.71     | 0.02%             | 2038-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd.                                                | Regatta XVIII Funding Ltd., Series 2021-1A, Class A1R                                                                         | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      345249 | PA      | $345095.81     | 0.01%             | 2038-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd.                                                | Regatta XVIII Funding Ltd., Series 2021-1A, Class BR                                                                          | CUSIP: 75884EAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250648.43     | 0.01%             | 2038-04-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                                   | Regatta VI Funding Ltd., Series 2016-1A, Class A1R3                                                                           | CUSIP: 75887NBL2<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |     1101199 | PA      | $1103917.86    | 0.03%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Regatta XI Funding Ltd.                                                   | Regatta XI Funding Ltd., Series 2018-1A, Class AR                                                                             | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |     1850000 | PA      | $1856023.60    | 0.05%             | 2037-07-17      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Regatta XI Funding Ltd.                                                   | Regatta XI Funding Ltd., Series 2018-1A, Class BR                                                                             | CUSIP: 75887XAQ0<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |     6720000 | PA      | $6745794.72    | 0.20%             | 2037-07-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Regatta XVII Funding Ltd.                                                 | Regatta XVII Funding Ltd., Series 2020-1A, Class AR                                                                           | CUSIP: 75888BAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250955.00     | 0.01%             | 2037-10-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd.                                                  | Regatta XIX Funding Ltd., Series 2022-1A, Class A1R                                                                           | CUSIP: 75888EAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280583.74     | 0.01%             | 2038-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Regatta XII Funding Ltd.                                                  | Regatta XII Funding Ltd., Series 2019-1A, Class ARR                                                                           | CUSIP: 75888HAW1<br>LEI: 2549001ZYXDVCT6R4I31 | Long             | ABS-CBDO         | CORP              | KY        |      920000 | PA      | $923600.24     | 0.03%             | 2037-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                                  | Regatta XVI Funding Ltd., Series 2019-2A, Class BR                                                                            | CUSIP: 75888TAQ8<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $410716.93     | 0.01%             | 2033-01-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                                  | Regatta XVI Funding Ltd., Series 2019-2A, Class CR                                                                            | CUSIP: 75888TAS4<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $290664.56     | 0.01%             | 2033-01-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                                                 | Regatta XXIV Funding Ltd., Series 2021-5A, Class AR                                                                           | CUSIP: 75889HAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250798.80     | 0.01%             | 2038-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Regatta XXVII Funding Ltd.                                                | Regatta XXVII Funding Ltd., Series 2024-1A, Class A1                                                                          | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |      510000 | PA      | $511804.64     | 0.01%             | 2037-04-26      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                                                  | Regatta XXV Funding Ltd., Series 2023-1A, Class A1R                                                                           | CUSIP: 758978AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1290000 | PA      | $1294990.62    | 0.04%             | 2038-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class D                                                                    | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      257000 | PA      | $264723.67     | 0.01%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                                                   | Regatta 30 Funding Ltd., Series 2024-4A, Class A1                                                                             | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1080000 | PA      | $1083422.84    | 0.03%             | 2038-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Regatta 35 Funding Ltd.                                                   | Regatta 35 Funding Ltd., Series 2025-5A, Class A1                                                                             | CUSIP: 75903YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1320000 | PA      | $1323802.79    | 0.04%             | 2038-10-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class A                                                                    | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      741000 | PA      | $746749.94     | 0.02%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class D                                                                    | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      108000 | PA      | $109061.40     | 0.00%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2022-1, Class A                                                                    | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      221761 | PA      | $221454.08     | 0.01%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2022-1, Class B                                                                    | CUSIP: 75907DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      151000 | PA      | $150372.72     | 0.00%             | 2032-03-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2022-1, Class C                                                                    | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99554.95      | 0.00%             | 2032-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2021-2, Class B                                                                    | CUSIP: 75907UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      130000 | PA      | $122466.50     | 0.00%             | 2033-08-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2021-2, Class C                                                                    | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      323000 | PA      | $305164.36     | 0.01%             | 2033-08-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                         | Repsol E&P Capital Markets US LLC                                                                                             | CUSIP: 76026AAA5<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      555000 | PA      | $560165.60     | 0.02%             | 2028-09-16      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                         | Repsol E&P Capital Markets US LLC                                                                                             | CUSIP: 76026AAB3<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      690000 | PA      | $699762.86     | 0.02%             | 2030-09-16      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                         | Repsol E&P Capital Markets US LLC                                                                                             | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |     1405000 | PA      | $1432932.36    | 0.04%             | 2035-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                              | Oriental Republic of Uruguay                                                                                                  | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     2078621 | PA      | $1963257.53    | 0.06%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                              | Oriental Republic of Uruguay                                                                                                  | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     1208871 | PA      | $1216729.00    | 0.04%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2020-2, Class M1                                                                      | CUSIP: 76123MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1680000 | PA      | $1617254.69    | 0.05%             | 2060-05-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                                  | Retained Vantage Data Centers Issuer LLC, Series 2025-1A, Class A2A                                                           | CUSIP: 76134KAM6<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |     1365000 | PA      | $1352418.25    | 0.04%             | 2050-08-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Reynolds American, Inc.                                                   | Reynolds American, Inc.                                                                                                       | CUSIP: 761713BV7<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      202000 | PA      | $239585.33     | 0.01%             | 2040-05-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Reynolds American, Inc.                                                   | Reynolds American, Inc.                                                                                                       | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      345000 | PA      | $360879.88     | 0.01%             | 2041-08-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Riserva CLO Ltd.                                                          | Riserva CLO Ltd., Series 2016-3A, Class AR3                                                                                   | CUSIP: 76761RBG3<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |      670000 | PA      | $670066.33     | 0.02%             | 2034-01-18      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2017-1A, Class AR2                                                                            | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |      917000 | PA      | $917429.25     | 0.03%             | 2034-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2025-3A, Class A1                                                                             | CUSIP: 77340WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $509338.11     | 0.01%             | 2038-03-31      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2025-3A, Class D1                                                                             | CUSIP: 77340WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248737.15     | 0.01%             | 2038-03-31      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2017-3A, Class A                                                                              | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |      346303 | PA      | $346369.61     | 0.01%             | 2030-10-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2019-2A, Class AR2                                                                            | CUSIP: 77341GAS9<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |      155462 | PA      | $155550.96     | 0.00%             | 2032-08-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2021-1A, Class B                                                                              | CUSIP: 77341KAE1<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250075.33     | 0.01%             | 2034-07-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2018-1A, Class A                                                                              | CUSIP: 77342JAA1<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |      404007 | PA      | $404007.60     | 0.01%             | 2031-05-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2018-2A, Class A                                                                              | CUSIP: 77342KAA8<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |       70586 | PA      | $70614.15      | 0.00%             | 2031-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2018-2A, Class D                                                                              | CUSIP: 77342KAG5<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250053.03     | 0.01%             | 2031-10-20      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2019-1A, Class AR2                                                                            | CUSIP: 77342MAY2<br>LEI: 549300GGUAM1ZV2SKK63 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249920.93     | 0.01%             | 2034-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Romark CLO II Ltd.                                                        | Romark CLO II Ltd., Series 2018-2A, Class A1R                                                                                 | CUSIP: 77587EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       71407 | PA      | $71420.46      | 0.00%             | 2031-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd.                                                           | Romark CLO Ltd., Series 2017-1A, Class A1R                                                                                    | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       23083 | PA      | $23093.64      | 0.00%             | 2030-10-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                              | Royal Caribbean Cruises Ltd.                                                                                                  | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      860000 | PA      | $863601.47     | 0.03%             | 2036-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                                             | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class D                                                                      | CUSIP: 78398EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101000 | PA      | $100622.54     | 0.00%             | 2035-03-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class A                                                                                          | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1888000 | PA      | $1891930.82    | 0.06%             | 2041-10-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class D                                                                                          | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      358000 | PA      | $360175.24     | 0.01%             | 2041-10-15      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                                   | SG Commercial Mortgage Securities Trust, Series 2019-PREZ, Class D                                                            | CUSIP: 78430EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $410457.17     | 0.01%             | 2039-09-15      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                             | SG Residential Mortgage Trust, Series 2022-2, Class A1                                                                        | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      369280 | PA      | $369294.14     | 0.01%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| SCG Mortgage Trust                                                        | SCG Mortgage Trust, Series 2024-MSP, Class A                                                                                  | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      571000 | PA      | $570999.94     | 0.02%             | 2041-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                                                | SDAL Trust, Series 2025-DAL, Class A                                                                                          | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      380000 | PA      | $382360.26     | 0.01%             | 2042-04-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                                             | SCG Commercial Mortgage Trust, Series 2025-FLWR, Class A                                                                      | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      346000 | PA      | $346216.15     | 0.01%             | 2042-08-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| SLM Private Education Loan Trust                                          | SLM Private Education Loan Trust, Series 2010-C, Class A5                                                                     | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |     1916107 | PA      | $2014292.62    | 0.06%             | 2041-10-15      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2015-B, Class B                                                                      | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |       88969 | PA      | $88812.03      | 0.00%             | 2040-12-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class C                                                                      | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1506874 | PA      | $1332894.17    | 0.04%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class D1                                                                     | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      360444 | PA      | $327892.22     | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class D2                                                                     | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      247297 | PA      | $225122.22     | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                          | SLG Office Trust, Series 2021-OVA, Class A                                                                                    | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3510000 | PA      | $3137951.23    | 0.09%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2020-PTA, Class A2A                                                                  | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1387351 | PA      | $1315377.02    | 0.04%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2020-PTA, Class B                                                                    | CUSIP: 78449VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1540000 | PA      | $1383896.05    | 0.04%             | 2054-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SURA Asset Management SA                                                  | SURA Asset Management SA                                                                                                      | CUSIP: 78486LAB8<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |      204000 | PA      | $217531.32     | 0.01%             | 2032-05-13      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                                  | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     4286000 | PA      | $4314807.53    | 0.13%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                                  | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     7166000 | PA      | $7195011.12    | 0.21%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                                  | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     2292896 | PA      | $2408746.53    | 0.07%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sagard-Halseypoint CLO 8 Ltd.                                             | Sagard-Halseypoint CLO 8 Ltd., Series 2024-8A, Class A1                                                                       | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $702625.35     | 0.02%             | 2038-01-30      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Sagard-HalseyPoint CLO 10 Ltd.                                            | Sagard-HalseyPoint CLO 10 Ltd., Series 2025-10A, Class A1                                                                     | CUSIP: 78663BAA7<br>LEI: 254900N7LSI0GVY3UO19 | Long             | ABS-CBDO         | CORP              | KY        |     2690000 | PA      | $2698027.77    | 0.08%             | 2038-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| City of San Antonio Electric & Gas Systems                                | City of San Antonio Electric & Gas Systems, Series 2010A                                                                      | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |     1095000 | PA      | $1129190.28    | 0.03%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                                                   | Sandstone Peak III Ltd., Series 2024-1A, Class A1                                                                             | CUSIP: 799928AA4<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250823.83     | 0.01%             | 2037-04-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| St. Paul's CLO XII DAC                                                    | St. Paul's CLO XII DAC, Series 12X, Class B1                                                                                  | CUSIP: N/A<br>LEI: 635400TG25DYCKV8CW74       | Long             | ABS-CBDO         | CORP              | IE        |      310000 | PA      | $363135.78     | 0.01%             | 2033-04-15      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Ares European CLO XII DAC                                                 | Ares European CLO XII DAC, Series 12A, Class B1R                                                                              | CUSIP: N/A<br>LEI: 635400XCOLUI5RNVIZ11       | Long             | ABS-CBDO         | CORP              | IE        |      297000 | PA      | $349761.47     | 0.01%             | 2032-04-20      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BlueMountain Euro CLO DAC                                                 | BlueMountain Euro CLO DAC, Series 2021-2A, Class B1                                                                           | CUSIP: N/A<br>LEI: 635400FUA3XKDDGLJL55       | Long             | ABS-CBDO         | CORP              | IE        |      660000 | PA      | $775659.30     | 0.02%             | 2035-10-15      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak IV Ltd.                                                    | Sandstone Peak IV Ltd., Series 2025-1A, Class A1                                                                              | CUSIP: 80012AAA3<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |      720000 | PA      | $721934.28     | 0.02%             | 2039-01-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak IV Ltd.                                                    | Sandstone Peak IV Ltd., Series 2025-1A, Class C1                                                                              | CUSIP: 80012AAG0<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251164.18     | 0.01%             | 2039-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak IV Ltd.                                                    | Sandstone Peak IV Ltd., Series 2025-1A, Class D1                                                                              | CUSIP: 80012AAJ4<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250113.38     | 0.01%             | 2039-01-20      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                                       | Sandstone Peak Ltd., Series 2021-1A, Class A2R                                                                                | CUSIP: 800130AQ9<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |      480000 | PA      | $481333.44     | 0.01%             | 2034-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                                       | Sandstone Peak Ltd., Series 2021-1A, Class B1R                                                                                | CUSIP: 800130AS5<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250003.95     | 0.01%             | 2034-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                                       | Sandstone Peak Ltd., Series 2021-1A, Class DR                                                                                 | CUSIP: 800130AW6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $281637.61     | 0.01%             | 2034-10-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak II Ltd.                                                    | Sandstone Peak II Ltd., Series 2023-1A, Class A1R                                                                             | CUSIP: 80013TAL7<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |      610000 | PA      | $612417.49     | 0.02%             | 2038-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak II Ltd.                                                    | Sandstone Peak II Ltd., Series 2023-1A, Class BR                                                                              | CUSIP: 80013TAQ6<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250625.73     | 0.01%             | 2038-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                                 | Santander Mortgage Asset Receivable Trust, Series 2025-NQM6, Class A1                                                         | CUSIP: 80265DAA1<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-MBS          | CORP              | US        |      704279 | PA      | $706221.55     | 0.02%             | 2065-11-25      | Variable      | 5.14%                 | 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      | $-282625.70    | -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      | $101027.96     | 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      | $-30834.97     | -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      | $219907.69     | 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      | $43937.09      | 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      | $156260.54     | 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      | $-18013.87     | -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      | $82814.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class A                                                                     | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      650000 | PA      | $650405.80     | 0.02%             | 2034-11-15      | Floating      | 5.29%                 | 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      | $-778.37       | -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      | $162648.10     | 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      | $-53460.87     | -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      | $-101426.10    | -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      | $-354.61       | -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      | $5229.85       | 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      | $-1394.70      | -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      | $71055.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                             | SG Residential Mortgage Trust, Series 2025-1, Class A1                                                                        | CUSIP: 81880NAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      953462 | PA      | $953460.47     | 0.03%             | 2065-12-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                             | SG Residential Mortgage Trust, Series 2025-1, Class ALCF                                                                      | CUSIP: 81880NAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185000 | PA      | $184994.41     | 0.01%             | 2065-12-25      | Fixed         | 5.23%                 | 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      | $-61052.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Signal Peak CLO 11 Ltd.                                                   | Signal Peak CLO 11 Ltd., Series 2024-11A, Class A1                                                                            | CUSIP: 82666XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      630000 | PA      | $632201.22     | 0.02%             | 2037-07-18      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 14 Ltd.                                                   | Signal Peak CLO 14 Ltd., Series 2024-14A, Class A                                                                             | CUSIP: 82667FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2560000 | PA      | $2568419.84    | 0.07%             | 2038-01-22      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 9 Ltd.                                                    | Signal Peak CLO 9 Ltd., Series 2021-9A, Class A1R                                                                             | CUSIP: 82670QAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250836.25     | 0.01%             | 2038-01-21      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 7 Ltd.                                                    | Signal Peak CLO 7 Ltd., Series 2019-1A, Class A1R                                                                             | CUSIP: 82671EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250913.25     | 0.01%             | 2037-10-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 7 Ltd.                                                    | Signal Peak CLO 7 Ltd., Series 2019-1A, Class BR                                                                              | CUSIP: 82671EAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250248.05     | 0.01%             | 2037-10-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 12 Ltd.                                                   | Signal Peak CLO 12 Ltd., Series 2022-12A, Class A1R                                                                           | CUSIP: 82671XAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250858.00     | 0.01%             | 2037-07-18      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 3 Ltd.                                                    | Signal Peak CLO 3 Ltd., Series 2016-3A, Class AR3                                                                             | CUSIP: 82672NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270949.32     | 0.01%             | 2037-01-23      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 8 Ltd.                                                    | Signal Peak CLO 8 Ltd., Series 2020-8A, Class A1R                                                                             | CUSIP: 826937AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      490000 | PA      | $491777.23     | 0.01%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 8 Ltd.                                                   | Silver Point CLO 8 Ltd., Series 2025-8A, Class A1                                                                             | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |      410000 | PA      | $410596.67     | 0.01%             | 2038-04-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 3 Ltd.                                                   | Silver Point CLO 3 Ltd., Series 2023-3A, Class A1R                                                                            | CUSIP: 827925AL2<br>LEI: 5493000HU7LKTSD3BK48 | Long             | ABS-CBDO         | CORP              | JE        |      760000 | PA      | $761757.65     | 0.02%             | 2039-01-18      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 1 Ltd.                                                   | Silver Point CLO 1 Ltd., Series 2022-1A, Class A1R                                                                            | CUSIP: 828085AN0<br>LEI: 549300UJUGKIKZF7CD63 | Long             | ABS-CBDO         | CORP              | JE        |      500000 | PA      | $501802.00     | 0.01%             | 2038-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 7 Ltd.                                                   | Silver Point CLO 7 Ltd., Series 2024-7A, Class A1                                                                             | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250891.25     | 0.01%             | 2038-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 5 Ltd.                                                   | Silver Point CLO 5 Ltd., Series 2024-5A, Class A1                                                                             | CUSIP: 82809BAA4<br>LEI: 254900IB4JHW6SUR0Q75 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250500.25     | 0.01%             | 2037-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 13 Ltd.                                                  | Silver Point CLO 13 Ltd., Series 2025-13A, Class A1                                                                           | CUSIP: 82809RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1100000 | PA      | $1102035.88    | 0.03%             | 2038-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| 610 Funding CLO 2 Ltd.                                                    | 610 Funding CLO 2 Ltd., Series 2016-2RA, Class A1R3                                                                           | CUSIP: 83004LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250198.05     | 0.01%             | 2034-01-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO IX Ltd.                                                  | Sixth Street CLO IX Ltd., Series 2017-9A, Class AR                                                                            | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |     1220000 | PA      | $1224505.46    | 0.04%             | 2037-07-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XIV Ltd.                                                 | Sixth Street CLO XIV Ltd., Series 2019-14A, Class A1R2                                                                        | CUSIP: 83013NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      590000 | PA      | $589658.63     | 0.02%             | 2038-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class A1B                                                                    | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1414954 | PA      | $1427986.10    | 0.04%             | 2056-03-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-C, Class A1B                                                                    | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      675999 | PA      | $674842.95     | 0.02%             | 2052-06-17      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class B                                                                      | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       97639 | PA      | $95350.10      | 0.00%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class C                                                                      | CUSIP: 83208AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       91084 | PA      | $81074.19      | 0.00%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class D                                                                      | CUSIP: 83208AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       33390 | PA      | $30331.75      | 0.00%             | 2053-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                                                      | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2312471 | PA      | $2320915.65    | 0.07%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class B                                                                      | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      338000 | PA      | $341734.83     | 0.01%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                                                  | SoFi Personal Loan Trust, Series 2024-1A, Class A                                                                             | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      596656 | PA      | $592463.15     | 0.02%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Brant Point CLO Ltd.                                                      | Brant Point CLO Ltd., Series 2024-6A, Class D1                                                                                | CUSIP: 83617JAJ8<br>LEI: 254900XHQ73AT2SOPY37 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249757.18     | 0.01%             | 2038-01-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                        | Southern Co. (The)                                                                                                            | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     2980000 | PA      | $2792782.30    | 0.08%             | 2036-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                        | Southern Co. (The)                                                                                                            | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      823000 | PA      | $871049.58     | 0.03%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                       | Expand Energy Corp.                                                                                                           | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     3524000 | PA      | $3524072.45    | 0.10%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                       | Expand Energy Corp.                                                                                                           | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     2701000 | PA      | $2737702.65    | 0.08%             | 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        |      205000 | PA      | $202233.85     | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A3                                                                    | CUSIP: 85213XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162130 | PA      | $156343.21     | 0.00%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Block, Inc.                                                               | Block, Inc.                                                                                                                   | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     4519000 | PA      | $4247476.34    | 0.12%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Store Capital LLC                                                         | Store Capital LLC                                                                                                             | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1165689.29    | 0.03%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Store Capital LLC                                                         | Store Capital LLC                                                                                                             | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     1748000 | PA      | $1591406.71    | 0.05%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Store Capital LLC                                                         | Store Capital LLC                                                                                                             | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     2894000 | PA      | $2947887.50    | 0.09%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                                           | Stream Innovations Issuer Trust, Series 2025-1A, Class A                                                                      | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      673784 | PA      | $680352.29     | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Assistance Loan Trust                   | Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL1, Class A                                             | CUSIP: 86359AME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23597 | PA      | $23521.32      | 0.00%             | 2031-04-25      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Subway Funding LLC                                                        | Subway Funding LLC, Series 2024-1A, Class A2II                                                                                | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1131570 | PA      | $1155370.09    | 0.03%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Summit Issuer LLC                                                         | Summit Issuer LLC, Series 2025-1A, Class A2                                                                                   | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1121000 | PA      | $1123422.59    | 0.03%             | 2055-11-20      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                       | Suzano Austria GmbH, Series DM3N                                                                                              | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     1482000 | PA      | $1322032.92    | 0.04%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd.                                                    | Sycamore Tree CLO Ltd., Series 2021-1A, Class AR                                                                              | CUSIP: 87122VAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250996.68     | 0.01%             | 2038-01-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                       | Synchrony Financial                                                                                                           | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      943000 | PA      | $938506.35     | 0.03%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                       | Synchrony Financial                                                                                                           | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1227000 | PA      | $1243467.10    | 0.04%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                       | Synchrony Financial                                                                                                           | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     3829000 | PA      | $3435226.33    | 0.10%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                       | Synchrony Financial                                                                                                           | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2797000 | PA      | $3004569.03    | 0.09%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                       | Synchrony Financial                                                                                                           | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     4181000 | PA      | $4357338.52    | 0.13%             | 2030-08-02      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                       | Synchrony Financial                                                                                                           | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     4883000 | PA      | $5006541.36    | 0.15%             | 2031-03-06      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                       | Synchrony Financial                                                                                                           | CUSIP: 87165BAX1<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1828000 | PA      | $1851003.11    | 0.05%             | 2029-07-29      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd.                                                     | Symphony CLO XVI Ltd., Series 2015-16A, Class ARR                                                                             | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |       91044 | PA      | $91105.75      | 0.00%             | 2031-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XIX Ltd.                                                     | Symphony CLO XIX Ltd., Series 2018-19A, Class A                                                                               | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       81492 | PA      | $81489.10      | 0.00%             | 2031-04-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXI Ltd.                                                     | Symphony CLO XXI Ltd., Series 2019-21A, Class AR2                                                                             | CUSIP: 87166RGE1<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |      277619 | PA      | $277525.87     | 0.01%             | 2032-07-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXIX Ltd.                                                    | Symphony CLO XXIX Ltd., Series 2021-29A, Class BR                                                                             | CUSIP: 87168GAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      490000 | PA      | $491130.92     | 0.01%             | 2035-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Symphony CLO 38 Ltd.                                                      | Symphony CLO 38 Ltd., Series 2023-38A, Class BR                                                                               | CUSIP: 87169NAZ6<br>LEI: 254900T60KIPND298026 | Long             | ABS-CBDO         | CORP              | BM        |      250000 | PA      | $250763.75     | 0.01%             | 2038-07-24      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Symphony CLO 43 Ltd.                                                      | Symphony CLO 43 Ltd., Series 2024-43A, Class A1                                                                               | CUSIP: 87170BAA4<br>LEI: 254900QCSPTCYRSY3N68 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250863.15     | 0.01%             | 2037-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXVI Ltd.                                                    | Symphony CLO XXVI Ltd., Series 2021-26A, Class AR                                                                             | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      304474 | PA      | $304668.14     | 0.01%             | 2033-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Symphony CLO 40 Ltd.                                                      | Symphony CLO 40 Ltd., Series 2023-40A, Class AR                                                                               | CUSIP: 871989AP4<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |     1000000 | PA      | $1003717.00    | 0.03%             | 2038-01-05      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO Ltd.                                                     | TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2                                                                              | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |      205371 | PA      | $205556.85     | 0.01%             | 2032-10-13      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TCO Commercial Mortgage Trust                                             | TCO Commercial Mortgage Trust, Series 2024-DPM, Class D                                                                       | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203000 | PA      | $203253.51     | 0.01%             | 2039-12-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| TCW CLO Ltd.                                                              | TCW CLO Ltd., Series 2019-2A, Class A1R2                                                                                      | CUSIP: 87242BBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280591.25     | 0.01%             | 2038-01-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| TICP CLO VI Ltd.                                                          | TICP CLO VI Ltd., Series 2016-6A, Class AR2                                                                                   | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |     1060000 | PA      | $1060329.34    | 0.03%             | 2034-01-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| THPT Mortgage Trust                                                       | THPT Mortgage Trust, Series 2023-THL, Class A                                                                                 | CUSIP: 87252LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      297794 | PA      | $301511.81     | 0.01%             | 2034-12-10      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                            | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     4703000 | PA      | $4624812.30    | 0.13%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                            | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      582000 | PA      | $523231.85     | 0.02%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                            | CUSIP: 87264ACS2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      755000 | PA      | $715113.34     | 0.02%             | 2029-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                            | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      884000 | PA      | $912416.62     | 0.03%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                            | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     3180000 | PA      | $3129960.03    | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Symphony CLO 36 Ltd.                                                      | Symphony CLO 36 Ltd., Series 2025-52A, Class A                                                                                | CUSIP: 87272HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |       20756 | PA      | $20757.58      | 0.00%             | 2031-01-16      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| TYSN Mortgage Trust                                                       | TYSN Mortgage Trust, Series 2023-CRNR, Class A                                                                                | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $484244.30     | 0.01%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                                     | Taco Bell Funding LLC, Series 2025-1A, Class A2I                                                                              | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1722000 | PA      | $1712342.51    | 0.05%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP                                               | Targa Resources Partners LP                                                                                                   | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5690000 | PA      | $5724787.07    | 0.17%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                     | Targa Resources Corp.                                                                                                         | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     2015000 | PA      | $1929079.67    | 0.06%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                     | Targa Resources Corp.                                                                                                         | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      660000 | PA      | $705986.97     | 0.02%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                     | Targa Resources Corp.                                                                                                         | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      757000 | PA      | $796904.25     | 0.02%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| State of Texas                                                            | State of Texas, Series 2009A                                                                                                  | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |     1157577 | PA      | $1186260.07    | 0.03%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Thayer Park CLO Ltd.                                                      | Thayer Park CLO Ltd., Series 2017-1A, Class A1RR                                                                              | CUSIP: 883310AW4<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |      540000 | PA      | $539301.89     | 0.02%             | 2034-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Trestles CLO IX Ltd.                                                      | Trestles CLO IX Ltd., Series 2025-9A, Class A1                                                                                | CUSIP: 894932AC6<br>LEI: 254900TP9ZGKPKCMHR24 | Long             | ABS-CBDO         | CORP              | KY        |      830000 | PA      | $831868.08     | 0.02%             | 2039-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Trestles CLO VI Ltd.                                                      | Trestles CLO VI Ltd., Series 2023-6A, Class A1R                                                                               | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | KY        |     1660000 | PA      | $1659297.82    | 0.05%             | 2038-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Trestles CLO Ltd.                                                         | Trestles CLO Ltd., Series 2017-1A, Class A1RR                                                                                 | CUSIP: 89531FAY3<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |     1690000 | PA      | $1695955.56    | 0.05%             | 2037-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO III Ltd.                                                     | TRESTLES CLO III Ltd., Series 2020-3A, Class A1R                                                                              | CUSIP: 89532TAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250932.85     | 0.01%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO V Ltd.                                                       | TRESTLES CLO V Ltd., Series 2021-5A, Class A1R                                                                                | CUSIP: 89532UAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249986.20     | 0.01%             | 2034-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Trestles CLO IV Ltd.                                                      | Trestles CLO IV Ltd., Series 2021-4A, Class AR1                                                                               | CUSIP: 89532WAN9<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |     2070000 | PA      | $2075295.27    | 0.06%             | 2038-10-30      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Trestles CLO VII Ltd.                                                     | Trestles CLO VII Ltd., Series 2024-7A, Class A1                                                                               | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |     1390000 | PA      | $1394920.46    | 0.04%             | 2037-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Trestles CLO VIII Ltd.                                                    | Trestles CLO VIII Ltd., Series 2025-8A, Class A1                                                                              | CUSIP: 89533DAC4<br>LEI: 2549002BMO2L1UMJWE02 | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360394.20     | 0.01%             | 2035-06-11      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd.                                                        | Trimaran CAVU Ltd., Series 2024-1A, Class A                                                                                   | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1020000 | PA      | $1023677.10    | 0.03%             | 2038-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Trimaran Cavu Ltd.                                                        | Trimaran CAVU Ltd., Series 2021-1A, Class AR                                                                                  | CUSIP: 89624NAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      370000 | PA      | $371301.66     | 0.01%             | 2037-07-23      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd.                                                        | Trimaran CAVU Ltd., Series 2023-1A, Class A1R                                                                                 | CUSIP: 89624WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300667.53     | 0.01%             | 2038-03-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XXVIII Ltd.                                                  | Trinitas CLO XXVIII Ltd., Series 2024-28A, Class A1                                                                           | CUSIP: 89640FAA3<br>LEI: 254900DPIAGU6GHOTB83 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501673.25     | 0.01%             | 2037-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XXI Ltd.                                                     | Trinitas CLO XXI Ltd., Series 2022-21A, Class D1R                                                                             | CUSIP: 89640JAY3<br>LEI: 254900S6ZHFKMFCQD992 | Long             | ABS-CBDO         | CORP              | BM        |      430000 | PA      | $429437.90     | 0.01%             | 2038-04-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XVIII Ltd.                                                   | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1R                                                                           | CUSIP: 89640LAL6<br>LEI: 2549005HDP7QU1IK5W96 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250176.38     | 0.01%             | 2035-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO IV Ltd.                                                      | Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2                                                                              | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |      105142 | PA      | $105170.02     | 0.00%             | 2031-10-18      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XIV Ltd.                                                     | Trinitas CLO XIV Ltd., Series 2020-14A, Class BR2                                                                             | CUSIP: 89641QBC3<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $731107.19     | 0.02%             | 2034-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XXXII Ltd.                                                   | Trinitas CLO XXXII Ltd., Series 2025-32A, Class A1                                                                            | CUSIP: 89642NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      370000 | PA      | $371121.54     | 0.01%             | 2038-07-23      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XXIX Ltd.                                                    | Trinitas CLO XXIX Ltd., Series 2024-29A, Class A1                                                                             | CUSIP: 89643BAA9<br>LEI: 2549000HOL90CNMWDO78 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250862.50     | 0.01%             | 2037-07-23      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Trust 2401                                                                | Trust 2401                                                                                                                    | CUSIP: 89834MAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      408000 | PA      | $451023.60     | 0.01%             | 2032-01-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class C                                                                  | CUSIP: 90117PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $93750.00      | 0.00%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class D                                                                  | CUSIP: 90117PAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1131000 | PA      | $1026382.50    | 0.03%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| 245 Park Avenue Trust                                                     | 245 Park Avenue Trust, Series 2017-245P, Class XA                                                                             | CUSIP: 90187LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11000000 | PA      | $23782.00      | 0.00%             | 2037-06-05      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A                                                                     | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      181000 | PA      | $180406.36     | 0.01%             | 2034-09-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class B                                                                     | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204000 | PA      | $202783.83     | 0.01%             | 2034-09-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class D                                                                     | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $633895.04     | 0.02%             | 2034-09-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                      | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3811026 | PA      | $168045.66     | 0.00%             | 2052-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C18, Class XA                                                                      | CUSIP: 90278PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6672124 | PA      | $184987.32     | 0.01%             | 2052-12-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| UPG HI Issuer Trust                                                       | UPG HI Issuer Trust, Series 2025-2, Class A                                                                                   | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      563000 | PA      | $562758.87     | 0.02%             | 2047-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Union Pacific Railroad Co. Pass-Through Trust                             | Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1                                                                  | CUSIP: 907825AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1044914 | PA      | $1042187.69    | 0.03%             | 2026-05-14      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                                   | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      487265 | PA      | $478439.85     | 0.01%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                                       | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     5805000 | PA      | $4391482.50    | 0.13%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                                       | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4749000 | PA      | $4231359.00    | 0.12%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                                       | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     5414000 | PA      | $4683110.00    | 0.14%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                                       | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      666000 | PA      | $639360.00     | 0.02%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                                       | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4064000 | PA      | $4251878.72    | 0.12%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                                       | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4142000 | PA      | $4421585.00    | 0.13%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1343000 | PA      | $1315615.40    | 0.04%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14199600 | PA      | $14224005.56   | 0.41%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1343000 | PA      | $1324900.98    | 0.04%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2064000 | PA      | $2086413.76    | 0.06%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2064000 | PA      | $1911538.12    | 0.06%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2064000 | PA      | $1991437.50    | 0.06%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      906000 | PA      | $816532.50     | 0.02%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3589000 | PA      | $2888163.62    | 0.08%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5167000 | PA      | $4179013.07    | 0.12%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12067000 | PA      | $10416272.05   | 0.30%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12067000 | PA      | $10575122.88   | 0.31%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6613800 | PA      | $5234719.39    | 0.15%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    29908000 | PA      | $21180938.91   | 0.62%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8476200 | PA      | $6365096.44    | 0.19%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    27458000 | PA      | $19560607.20   | 0.57%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    26415100 | PA      | $19656548.89   | 0.57%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17236500 | PA      | $12697106.05   | 0.37%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13698000 | PA      | $8590679.33    | 0.25%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10408000 | PA      | $6536711.93    | 0.19%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10408000 | PA      | $6603794.71    | 0.19%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3316700 | PA      | $1741267.50    | 0.05%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10408000 | PA      | $6755442.50    | 0.20%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4760000 | PA      | $2660021.85    | 0.08%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1640000 | PA      | $1145693.75    | 0.03%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4132000 | PA      | $2603967.02    | 0.08%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4760000 | PA      | $2726773.43    | 0.08%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8625000 | PA      | $4767334.03    | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4882000 | PA      | $2962000.94    | 0.09%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19151900 | PA      | $13716800.30   | 0.40%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9268500 | PA      | $7503864.54    | 0.22%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1739000 | PA      | $1564420.71    | 0.05%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11294500 | PA      | $9136632.80    | 0.27%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19426700 | PA      | $19070796.83   | 0.56%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4196000 | PA      | $4196491.73    | 0.12%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      325700 | PA      | $298918.81     | 0.01%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    21449500 | PA      | $21032240.30   | 0.61%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12253000 | PA      | $12091101.85   | 0.35%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8212000 | PA      | $8088178.48    | 0.24%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10431000 | PA      | $9581036.43    | 0.28%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12639000 | PA      | $12123072.10   | 0.35%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17088700 | PA      | $16271646.53   | 0.47%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8216000 | PA      | $7787548.42    | 0.23%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4138800 | PA      | $3939135.22    | 0.11%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12231000 | PA      | $11596516.88   | 0.34%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9720000 | PA      | $9608133.10    | 0.28%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3519000 | PA      | $3305798.08    | 0.10%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7462800 | PA      | $7189941.38    | 0.21%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8279000 | PA      | $8095956.44    | 0.24%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      930600 | PA      | $877454.01     | 0.03%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15923200 | PA      | $15741576.00   | 0.46%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    37111200 | PA      | $34593147.19   | 1.01%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17727600 | PA      | $17428446.75   | 0.51%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    32058800 | PA      | $31874712.28   | 0.93%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12223000 | PA      | $12350482.10   | 0.36%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20209000 | PA      | $20246866.41   | 0.59%             | 2026-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16378000 | PA      | $16418305.28   | 0.48%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12145400 | PA      | $12402066.43   | 0.36%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    18853500 | PA      | $19805012.58   | 0.58%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10123300 | PA      | $10202708.99   | 0.30%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20086000 | PA      | $20199768.31   | 0.59%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12051800 | PA      | $12109593.32   | 0.35%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12090000 | PA      | $12052218.75   | 0.35%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5519000 | PA      | $5541402.61    | 0.16%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15747300 | PA      | $16104074.77   | 0.47%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14788000 | PA      | $14640120.00   | 0.43%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17932000 | PA      | $18241607.10   | 0.53%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14307900 | PA      | $14806440.89   | 0.43%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                                                                          | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    38784426 | PA      | $38974568.89   | 1.13%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                                | UNIV Trust, Series 2025-APTS, Class A                                                                                         | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1738000 | PA      | $1740143.65    | 0.05%             | 2042-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                                | UNIV Trust, Series 2025-APTS, Class B                                                                                         | CUSIP: 91336XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      191000 | PA      | $191237.72     | 0.01%             | 2042-11-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| University of California                                                  | University of California, Series 2012AD                                                                                       | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      425000 | PA      | $352685.36     | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Upland CLO Ltd.                                                           | Upland CLO Ltd., Series 2016-1A, Class A2R                                                                                    | CUSIP: 915328AW8<br>LEI: 54930052JF7HYEE5CO91 | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $360186.98     | 0.01%             | 2031-04-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| UPX HIL Issuer Trust                                                      | UPX HIL Issuer Trust, Series 2025-1, Class A                                                                                  | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1689239 | PA      | $1702286.10    | 0.05%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| UWM Mortgage Trust                                                        | UWM Mortgage Trust, Series 2021-1, Class A4                                                                                   | CUSIP: 91824NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3585667 | PA      | $3238627.13    | 0.09%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VNDO Trust                                                                | VNDO Trust, Series 2016-350P, Class D                                                                                         | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      710000 | PA      | $699362.99     | 0.02%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                        | Vale Overseas Ltd.                                                                                                            | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     1311000 | PA      | $1337875.50    | 0.04%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Valley Stream Park CLO Ltd.                                               | Valley Stream Park CLO Ltd., Series 2022-1A, Class ARR                                                                        | CUSIP: 92013AAT6<br>LEI: 213800DEME82SWN32S20 | Long             | ABS-CBDO         | CORP              | JE        |     2020000 | PA      | $2020888.40    | 0.06%             | 2037-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-TI, Class A                                                                                          | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      148000 | PA      | $150002.37     | 0.00%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| VEGAS                                                                     | VEGAS, Series 2024-GCS, Class C                                                                                               | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1440000 | PA      | $1449129.02    | 0.04%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-GCS, Class D                                                                                         | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3250000 | PA      | $3216700.50    | 0.09%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Venture 32 CLO Ltd.                                                       | Venture 32 CLO Ltd., Series 2018-32A, Class A2A                                                                               | CUSIP: 92325QAC1<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |       60723 | PA      | $60765.03      | 0.00%             | 2031-07-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd.                                                 | Verdelite Static CLO Ltd., Series 2024-1A, Class B                                                                            | CUSIP: 92338VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250127.75     | 0.01%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |        6000 | PA      | $5788.93       | 0.00%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1907000 | PA      | $1826228.63    | 0.05%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1811000 | PA      | $1830394.20    | 0.05%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     2809000 | PA      | $2775295.79    | 0.08%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VHK3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     2469000 | PA      | $2436783.99    | 0.07%             | 2065-11-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92344GAX4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      415000 | PA      | $441684.35     | 0.01%             | 2035-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-12, Class A1LC                                                                        | CUSIP: 92490FAE0<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |     1130483 | PA      | $1133183.00    | 0.03%             | 2070-12-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2021-8, Class A1                                                                           | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      737570 | PA      | $684171.51     | 0.02%             | 2066-11-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2021-6, Class M1                                                                           | CUSIP: 92538MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165000 | PA      | $127212.38     | 0.00%             | 2066-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-2, Class M1                                                                           | CUSIP: 92540VAF2<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $4040963.60    | 0.12%             | 2070-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-5, Class A1                                                                           | CUSIP: 92540XAA9<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |     1632022 | PA      | $1645066.66    | 0.05%             | 2070-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-6, Class A1                                                                           | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3818406 | PA      | $3850470.04    | 0.11%             | 2070-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                              | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       90000 | PA      | $62600.17      | 0.00%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                              | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      610000 | PA      | $599760.95     | 0.02%             | 2026-10-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4906000 | PA      | $4905175.06    | 0.14%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1749000 | PA      | $1745586.67    | 0.05%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      855000 | PA      | $849345.07     | 0.02%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5132000 | PA      | $4976425.37    | 0.14%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      878000 | PA      | $879763.33     | 0.03%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      238000 | PA      | $233373.73     | 0.01%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     1037000 | PA      | $1049447.29    | 0.03%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     4761000 | PA      | $4793938.03    | 0.14%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                       | Expand Energy Corp.                                                                                                           | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     2954000 | PA      | $2971300.22    | 0.09%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                                 | Viper Energy Partners LLC                                                                                                     | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     2998000 | PA      | $3032387.06    | 0.09%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                                 | Viper Energy Partners LLC                                                                                                     | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     2537000 | PA      | $2589084.61    | 0.08%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                                               | Visio Trust, Series 2020-1, Class M1                                                                                          | CUSIP: 92837KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1957558.60    | 0.06%             | 2055-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                          | Vista Point Securitization Trust, Series 2020-2, Class A3                                                                     | CUSIP: 92838TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      213122 | PA      | $207240.72     | 0.01%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                                     | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     3009000 | PA      | $3166470.00    | 0.09%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                                     | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    12748000 | PA      | $12838944.23   | 0.37%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                                     | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     4797000 | PA      | $4951281.11    | 0.14%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2015-3A, Class A3R4                                                                                     | CUSIP: 92913UBN5<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250060.88     | 0.01%             | 2031-10-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2016-1A, Class A1R                                                                                      | CUSIP: 92915CAQ7<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |       40168 | PA      | $40169.06      | 0.00%             | 2031-01-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2013-2A, Class A1R                                                                                      | CUSIP: 92916WAA7<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |       62808 | PA      | $62807.82      | 0.00%             | 2031-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2018-1A, Class A1                                                                                       | CUSIP: 92917AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      133643 | PA      | $133636.30     | 0.00%             | 2031-04-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2021-2A, Class A1R                                                                                      | CUSIP: 92919AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249924.33     | 0.01%             | 2038-04-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2024-7A, Class A1                                                                                       | CUSIP: 92920XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250752.38     | 0.01%             | 2038-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2025-4A, Class A1                                                                                       | CUSIP: 92946DAA3<br>LEI: 254900U7M8PTC5C6HY46 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250731.13     | 0.01%             | 2038-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                                      | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      913000 | PA      | $938186.93     | 0.03%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO 5 Ltd.                                                | Warwick Capital CLO 5 Ltd., Series 2024-5A, Class A1                                                                          | CUSIP: 93656FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250847.50     | 0.01%             | 2038-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO 7 Ltd.                                                | Warwick Capital CLO 7 Ltd., Series 2025-7A, Class A1                                                                          | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250689.15     | 0.01%             | 2038-10-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO 4 Ltd.                                          | Wellington Management CLO 4 Ltd., Series 2025-4A, Class A                                                                     | CUSIP: 94957LAA7<br>LEI: 213800VJVBC3KZIDZU56 | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $349572.72     | 0.01%             | 2038-04-18      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO 5 Ltd.                                          | Wellington Management CLO 5 Ltd., Series 2025-5A, Class A                                                                     | CUSIP: 94957NAA3<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250636.98     | 0.01%             | 2038-10-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-1745, Class A                                                              | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $103298.01     | 0.00%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class A3FL                                                            | CUSIP: 95000DAG6<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |      258876 | PA      | $258635.32     | 0.01%             | 2049-06-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XD                                                             | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     1180000 | PA      | $6551.74       | 0.00%             | 2049-08-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1320000 | PA      | $1232004.62    | 0.04%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |        1000 | PA      | $1015.55       | 0.00%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1709000 | PA      | $1778098.53    | 0.05%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1913000 | PA      | $2005614.83    | 0.06%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2284000 | PA      | $2352177.15    | 0.07%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      178000 | PA      | $185719.89     | 0.01%             | 2035-01-23      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     3286000 | PA      | $3354015.70    | 0.10%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1738000 | PA      | $1799733.64    | 0.05%             | 2031-01-24      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      792000 | PA      | $830104.52     | 0.02%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      136000 | PA      | $140379.63     | 0.00%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class B                                                               | CUSIP: 95001QAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      429000 | PA      | $414538.80     | 0.01%             | 2051-08-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2019-C49, Class D                                                               | CUSIP: 95001WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103000 | PA      | $85159.35      | 0.00%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2019-C49, Class B                                                               | CUSIP: 95001WBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1688000 | PA      | $1650819.10    | 0.05%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class B                                                               | CUSIP: 95001XBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2639000 | PA      | $2489306.95    | 0.07%             | 2052-05-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class XA                                                              | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11226861 | PA      | $389321.70     | 0.01%             | 2052-05-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2021-FCMT, Class D                                                              | CUSIP: 95003EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1890000 | PA      | $1886756.00    | 0.05%             | 2031-05-15      | Floating      | 7.37%                 | 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        |      577000 | PA      | $581994.92     | 0.02%             | 2035-07-15      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class X                                                              | CUSIP: 95004AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13882000 | PA      | $116072.95     | 0.00%             | 2043-07-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class B                                                              | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1759000 | PA      | $1813490.21    | 0.05%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class C                                                              | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1120000 | PA      | $1131003.74    | 0.03%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class D                                                              | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      480000 | PA      | $483780.34     | 0.01%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| WEST Trust                                                                | WEST Trust, Series 2025-ROSE, Class A                                                                                         | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      438000 | PA      | $444779.54     | 0.01%             | 2035-04-10      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    72520000 | PA      | $-181553.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    72520000 | PA      | $186146.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  4975229232 | PA      | $-1918.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 12175309902 | PA      | $-26979.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 11279342192 | PA      | $-19270.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    55653000 | PA      | $116674.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    55653000 | PA      | $-83380.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Whitebox CLO II Ltd.                                                      | Whitebox CLO II Ltd., Series 2020-2A, Class A1R2                                                                              | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |     1595296 | PA      | $1600938.56    | 0.05%             | 2037-10-24      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO II Ltd.                                                      | Whitebox CLO II Ltd., Series 2020-2A, Class BR2                                                                               | CUSIP: 96466CBA5<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280420.62     | 0.01%             | 2037-10-24      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd.                                                       | Whitebox CLO I Ltd., Series 2019-1A, Class A1R3                                                                               | CUSIP: 96467FBJ8<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      780000 | PA      | $779669.36     | 0.02%             | 2037-01-24      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd.                                                     | Whitebox CLO III Ltd., Series 2021-3A, Class A1R                                                                              | CUSIP: 96467HAL0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      450000 | PA      | $449988.75     | 0.01%             | 2035-10-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd.                                                     | Whitebox CLO III Ltd., Series 2021-3A, Class DR                                                                               | CUSIP: 96467HAU0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251243.23     | 0.01%             | 2035-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  4703130566 | PA      | $108506.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  4758113208 | PA      | $109175.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  3755737358 | PA      | $89805.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |     5518250 | PA      | $-9112.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    11202048 | PA      | $-17965.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wildwood Park CLO Ltd.                                                    | Wildwood Park CLO Ltd., Series 2024-1A, Class A                                                                               | CUSIP: 968209AA4<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |      940000 | PA      | $943499.62     | 0.03%             | 2037-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    20828000 | PA      | $-205863.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  2568445000 | PA      | $-39636.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   540746000 | PA      | $-102569.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   269787000 | PA      | $-12002.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     2347400 | PA      | $-2538.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    72772000 | PA      | $29847.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   270578000 | PA      | $-1549.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   532139000 | PA      | $-1970.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   308313000 | PA      | $8641.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ballyrock CLO 32 Ltd.                                                     | Ballyrock CLO 32 Ltd.                                                                                                         | CUSIP: N/A<br>LEI: 254900RL3S1UBVHQYH63       | Long             | ABS-O            | CORP              | KY        |      760000 | PA      | $758953.99     | 0.02%             | 2039-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                            | Lehman Brothers Holdings, Inc., Capital Trust VII                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | JP        |     1630000 | PA      | $0.16          | 0.00%             | 2049-11-29      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| AP Grange Holdings LLC                                                    | AP Grange Holdings LLC                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |     2507000 | PA      | $2679481.60    | 0.08%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| Argentine Peso                                                            | Argentine Peso                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AR        |        4922 | OU      | $3.21          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Australian Dollar                                                         | Australian Dollar                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AU        |      125686 | OU      | $83876.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DP World Ltd.                                                             | DP World Ltd.                                                                                                                 | CUSIP: N/A<br>LEI: 549300M3U2DNF4QVSS04       | Long             | DBT              | CORP              | AE        |     1160000 | PA      | $1311890.40    | 0.04%             | 2037-07-02      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A                                                                 | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      483668 | PA      | $424169.89     | 0.01%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                              | KazMunayGas National Co. JSC                                                                                                  | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |      356000 | PA      | $358481.32     | 0.01%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |     1581000 | PA      | $1920791.30    | 0.06%             | 2033-09-22      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Origin Energy Finance Ltd.                                                | Origin Energy Finance Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 5493002W5C9Z753C7Q57       | Long             | DBT              | CORP              | AU        |     1449000 | PA      | $1565666.24    | 0.05%             | 2029-09-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                              | UBS Group AG                                                                                                                  | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     1896000 | PA      | $1818102.27    | 0.05%             | 2033-02-24      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                          | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 42530200000 | PA      | $7163197.93    | 0.21%             | 2036-07-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IMCD NV                                                                   | IMCD NV                                                                                                                       | CUSIP: N/A<br>LEI: 724500NSJPNFJPDAUP02       | Long             | DBT              | CORP              | NL        |     1395000 | PA      | $1707448.65    | 0.05%             | 2028-09-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ORLEN SA                                                                  | ORLEN SA                                                                                                                      | CUSIP: N/A<br>LEI: 259400VVMM70CQREJT74       | Long             | DBT              | CORP              | PL        |     1251000 | PA      | $1316677.50    | 0.04%             | 2035-01-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eurogrid GmbH                                                             | Eurogrid GmbH                                                                                                                 | CUSIP: N/A<br>LEI: 967600Q53854Z2NBCC81       | Long             | DBT              | CORP              | DE        |     1400000 | PA      | $1678391.22    | 0.05%             | 2029-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                    | TotalEnergies Capital International SA                                                                                        | CUSIP: N/A<br>LEI: 549300U37G2I8G4RUG09       | Long             | DBT              | CORP              | FR        |      200000 | PA      | $215371.25     | 0.01%             | 2045-03-03      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |     2384000 | PA      | $2756281.48    | 0.08%             | 2036-11-07      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UK Logistics DAC                                                          | UK Logistics DAC, Series 2024-1X, Class A                                                                                     | CUSIP: N/A<br>LEI: 635400H22JMICKOJRJ36       | Long             | ABS-MBS          | CORP              | IE        |      147974 | PA      | $199510.09     | 0.01%             | 2034-05-17      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Jersey Borrower Spv Ltd.                             | Vantage Data Centers Jersey Borrower Spv Ltd., Series 2024-1X                                                                 | CUSIP: N/A<br>LEI: 213800S5S638C9IBQ379       | Long             | ABS-O            | CORP              | JE        |      458000 | PA      | $631520.28     | 0.02%             | 2039-05-28      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| EP Infrastructure A/S                                                     | EP Infrastructure A/S                                                                                                         | CUSIP: N/A<br>LEI: 315700I4J1M1NKGWWY89       | Long             | DBT              | CORP              | CZ        |     2695000 | PA      | $3125579.13    | 0.09%             | 2033-02-27      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Japan                                                                     | Japan Government Bond                                                                                                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   833350000 | PA      | $4369607.74    | 0.13%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                     | NextEra Energy Capital Holdings, Inc.                                                                                         | CUSIP: 65339KDU1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3513612.96    | 0.10%             | 2056-05-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                                    | CUSIP: N/A<br>LEI: TINT358G1SSHR3L3PW36       | Long             | DBT              | CORP              | GB        |     1374000 | PA      | $1649764.33    | 0.05%             | 2029-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BMS Ireland Capital Funding DAC                                           | BMS Ireland Capital Funding DAC                                                                                               | CUSIP: 05594KAD8<br>LEI: 9845002AC2D55DFID596 | Long             | DBT              | CORP              | IE        |      959000 | PA      | $1104279.63    | 0.03%             | 2045-11-10      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| MVM Energetika Zrt.                                                       | MVM Energetika Zrt.                                                                                                           | CUSIP: N/A<br>LEI: 529900ELI5AQ9F74PF85       | Long             | DBT              | NUSS              | HU        |     1244000 | PA      | $1312420.00    | 0.04%             | 2031-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                             | CUSIP: 26441CCD5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     1105000 | PA      | $1315880.46    | 0.04%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Volkswagen Leasing GmbH                                                   | Volkswagen Leasing GmbH                                                                                                       | CUSIP: N/A<br>LEI: 5299004GLEUX88BSNB74       | Long             | DBT              | CORP              | DE        |     1078000 | PA      | $1301438.31    | 0.04%             | 2031-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PCL Funding IX plc                                                        | PCL Funding IX plc, Series 2024-1, Class B                                                                                    | CUSIP: N/A<br>LEI: 213800OC928ETRJNHM43       | Long             | ABS-O            | CORP              | GB        |      135000 | PA      | $182424.54     | 0.01%             | 2029-07-16      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Kaspi.KZ JSC                                                              | Kaspi.KZ JSC                                                                                                                  | CUSIP: N/A<br>LEI: 2549003YU6FARG8OAZ13       | Long             | DBT              | CORP              | KZ        |     1283000 | PA      | $1307877.37    | 0.04%             | 2030-03-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                          | Republic of Peru                                                                                                              | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     8874000 | PA      | $2843668.03    | 0.08%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Greensaif Pipelines Bidco SARL                                            | Greensaif Pipelines Bidco SARL                                                                                                | CUSIP: N/A<br>LEI: 549300YWDGUXPB8GRP47       | Long             | DBT              | CORP              | LU        |     1268000 | PA      | $1323703.24    | 0.04%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FTA Consumo Santander                                                     | FTA Consumo Santander, Series 7, Class B                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | ES        |      142751 | PA      | $168255.35     | 0.00%             | 2038-07-20      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| FTA Consumo Santander                                                     | FTA Consumo Santander, Series 7, Class C                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | ES        |      142751 | PA      | $168128.70     | 0.00%             | 2038-07-20      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                             | UniCredit SpA                                                                                                                 | CUSIP: N/A<br>LEI: 549300TRUWO2CD2G5692       | Long             | DBT              | CORP              | IT        |     2249000 | PA      | $2636062.04    | 0.08%             | 2035-06-10      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: N/A<br>LEI: 5493006ORUSIL88JOE18       | Long             | DBT              | CORP              | US        |     1027000 | PA      | $1284222.66    | 0.04%             | 2031-05-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Booking Holdings, Inc.                                                    | Booking Holdings, Inc.                                                                                                        | CUSIP: 09857LBE7<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |      710000 | PA      | $823636.67     | 0.02%             | 2032-11-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Banco de Sabadell SA                                                      | Banco de Sabadell SA                                                                                                          | CUSIP: N/A<br>LEI: SI5RG2M0WQQLZCXKRM20       | Long             | DBT              | CORP              | ES        |     1600000 | PA      | $1937697.05    | 0.06%             | 2030-01-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer plc                                          | Newday Funding Master Issuer plc, Series 2024-2X, Class C                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | GB        |      156000 | PA      | $211155.80     | 0.01%             | 2032-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                                             | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |      760000 | PA      | $895938.10     | 0.03%             | 2035-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |     1798000 | PA      | $2147573.77    | 0.06%             | 2036-04-29      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: N/A<br>LEI: PBLD0EJDB5FWOLXP3B76       | Long             | DBT              | CORP              | US        |      800000 | PA      | $962512.64     | 0.03%             | 2032-07-22      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                        | Credit Agricole SA                                                                                                            | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |     1200000 | PA      | $1438812.85    | 0.04%             | 2031-01-23      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| WPP Finance 2013                                                          | WPP Finance 2013                                                                                                              | CUSIP: N/A<br>LEI: 549300L84EKSLWWPGI24       | Long             | DBT              | CORP              | GB        |     1100000 | PA      | $1276153.79    | 0.04%             | 2031-06-09      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Japan                                                                     | Japan Government Bond                                                                                                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1500800000 | PA      | $7693516.24    | 0.22%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 3          | GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 3, Series 3, Class C                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | PT        |      100000 | PA      | $117564.66     | 0.00%             | 2035-10-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Household Capital RMBS                                                    | Household Capital RMBS, Series 2025-1, Class A                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | AU        |      680263 | PA      | $453215.40     | 0.01%             | 2087-07-21      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1912279.93    | 0.06%             | 2036-05-22      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Brenntag Finance BV                                                       | Brenntag Finance BV                                                                                                           | CUSIP: N/A<br>LEI: 724500LOJA6NM43PH951       | Long             | DBT              | CORP              | NL        |      800000 | PA      | $928333.06     | 0.03%             | 2031-10-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                               | CUSIP: N/A<br>LEI: 549300SP2X2BS1KERD24       | Long             | DBT              | CORP              | US        |      833000 | PA      | $971392.29     | 0.03%             | 2034-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| E.ON International Finance BV                                             | E.ON International Finance BV                                                                                                 | CUSIP: N/A<br>LEI: 549300TG53AWJ719M814       | Long             | DBT              | CORP              | NL        |      800000 | PA      | $925286.67     | 0.03%             | 2035-09-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Taurus UK DAC                                                             | Taurus UK DAC, Series 2025-UK4, Class B                                                                                       | CUSIP: N/A<br>LEI: 635400ARN6VSOEBJXY74       | Long             | ABS-MBS          | CORP              | IE        |      100000 | PA      | $134641.47     | 0.00%             | 2035-08-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Taurus UK DAC                                                             | Taurus UK DAC, Series 2025-UK4, Class C                                                                                       | CUSIP: N/A<br>LEI: 635400ARN6VSOEBJXY74       | Long             | ABS-MBS          | CORP              | IE        |      155000 | PA      | $208913.03     | 0.01%             | 2035-08-18      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                            | Alphabet, Inc.                                                                                                                | CUSIP: 02079KBG1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      910000 | PA      | $1018606.17    | 0.03%             | 2064-11-06      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Japan                                                                     | Japan Government Bond                                                                                                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   153000000 | PA      | $947341.93     | 0.03%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| SC Germany SA Compartment Consumer                                        | SC Germany SA Compartment Consumer, Series 2025-2, Class D                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117542.80     | 0.00%             | 2038-12-15      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Air Liquide Finance SA                                                    | Air Liquide Finance SA                                                                                                        | CUSIP: N/A<br>LEI: 549300YGXL5Z3R14K812       | Long             | DBT              | CORP              | FR        |     1100000 | PA      | $1261992.15    | 0.04%             | 2037-11-05      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Andiron Financing LLC                                                     | Andiron Financing LLC                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      170000 | PA      | $170000.00     | 0.00%             | 2030-01-21      | Floating      | 7.33%                 | No            |                  3 | On Loan: No      |
| Duke Energy Kentucky, Inc.                                                | Duke Energy Kentucky, Inc.                                                                                                    | CUSIP: N/A<br>LEI: 8DFCA0P2BKMHOESX4E68       | Long             | DBT              | CORP              | US        |     1895000 | PA      | $1942375.00    | 0.06%             | 2035-09-15      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| Canadian Dollar                                                           | Canadian Dollar                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CA        |     1544757 | OU      | $1125464.89    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Swiss Franc                                                               | Swiss Franc                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CH        |       54824 | OU      | $69214.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Yuan Renminbi                                                             | Yuan Renminbi                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CN        |       77766 | OU      | $11148.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Colombian Peso                                                            | Colombian Peso                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CO        |  1490038231 | OU      | $394438.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Czech Koruna                                                              | Czech Koruna                                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CZ        |     9832280 | OU      | $478285.37     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | Euro-Schatz                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -78 | NC      | $-2399.34      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EURO                                                                      | EURO                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |      252990 | OU      | $297313.55     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        2436 | NC      | $-352688.11    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Pound Sterling                                                            | Pound Sterling                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | GB        |       29099 | OU      | $39223.63      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Forint                                                                    | Forint                                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | HU        |    40397654 | OU      | $123529.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Rupiah                                                                    | Rupiah                                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | ID        |  2152401892 | OU      | $129079.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | Japan 10 Year Bond                                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |           4 | NC      | $-29538.81     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Yen                                                                       | Yen                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | JP        |    37462302 | OU      | $239161.79     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Raizen Fuels Finance SA                                                   | Raizen Fuels Finance SA                                                                                                       | CUSIP: N/A<br>LEI: 52990010NH26VC32Q522       | Long             | DBT              | CORP              | LU        |      383000 | PA      | $315496.25     | 0.01%             | 2034-03-05      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Mexican Peso                                                              | Mexican Peso                                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | MX        |     4615418 | OU      | $256305.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Minejesa Capital BV                                                       | Minejesa Capital BV                                                                                                           | CUSIP: N/A<br>LEI: 549300KS7ERCP10BKC35       | Long             | DBT              | CORP              | NL        |     1340000 | PA      | $1328275.00    | 0.04%             | 2037-08-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                 | Prosus NV                                                                                                                     | CUSIP: N/A<br>LEI: 635400Z5LQ5F9OLVT688       | Long             | DBT              | CORP              | NL        |     1377000 | PA      | $1319771.88    | 0.04%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Norwegian Krone                                                           | Norwegian Krone                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NO        |     8729902 | OU      | $866061.72     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| New Zealand Dollar                                                        | New Zealand Dollar                                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NZ        |       61195 | OU      | $35233.27      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Together Asset-Backed Securitisation plc                                  | Together Asset-Backed Securitisation plc, Series 2025-CRE1, Class C                                                           | CUSIP: N/A<br>LEI: 635400IHLPBPFA2IVG30       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $136686.17     | 0.00%             | 2057-01-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Together Asset-Backed Securitisation plc                                  | Together Asset-Backed Securitisation plc, Series 2025-CRE1, Class B                                                           | CUSIP: N/A<br>LEI: 635400IHLPBPFA2IVG30       | Long             | ABS-MBS          | CORP              | GB        |      158000 | PA      | $212909.65     | 0.01%             | 2057-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Taurus UK DAC                                                             | Taurus UK DAC, Series 2025-UK2X, Class C                                                                                      | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |      403353 | PA      | $543682.52     | 0.02%             | 2035-02-18      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Taurus UK DAC                                                             | Taurus UK DAC, Series 2025-UK2X, Class B                                                                                      | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |      325999 | PA      | $439420.19     | 0.01%             | 2035-02-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Taurus UK DAC                                                             | Taurus UK DAC, Series 2025-UK2X, Class D                                                                                      | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |      883782 | PA      | $1191247.21    | 0.03%             | 2035-02-18      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| UK Logistics DAC                                                          | UK Logistics DAC, Series 2025-1X, Class D                                                                                     | CUSIP: N/A<br>LEI: 635400LLQ82YFJBFFU27       | Long             | ABS-MBS          | CORP              | IE        |      860735 | PA      | $1161107.15    | 0.03%             | 2035-05-17      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| SC Germany SA Compartment Consumer                                        | SC Germany SA Compartment Consumer, Series 2025-1, Class D                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117886.31     | 0.00%             | 2038-12-14      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Small Business Origination Loan Trust DAC                                 | Small Business Origination Loan Trust DAC, Series 2025-1, Class B                                                             | CUSIP: N/A<br>LEI: 635400ZO4NUYBCC9ZI87       | Long             | ABS-CBDO         | CORP              | IE        |       76808 | PA      | $103433.82     | 0.00%             | 2036-12-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Asimi Funding plc                                                         | Asimi Funding plc, Series 2025-1, Class C                                                                                     | CUSIP: N/A<br>LEI: 6354002PZBGQEXUI2V51       | Long             | ABS-O            | CORP              | GB        |      115030 | PA      | $155267.14     | 0.00%             | 2032-05-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Asimi Funding plc                                                         | Asimi Funding plc, Series 2025-1, Class D                                                                                     | CUSIP: N/A<br>LEI: 6354002PZBGQEXUI2V51       | Long             | ABS-O            | CORP              | GB        |       71894 | PA      | $97097.99      | 0.00%             | 2032-05-16      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Castell plc                                                               | Castell plc, Series 2025-1, Class C                                                                                           | CUSIP: N/A<br>LEI: 2138002O8DSFIQGKRU14       | Long             | ABS-MBS          | CORP              | GB        |       99999 | PA      | $135527.06     | 0.00%             | 2062-01-27      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Castell plc                                                               | Castell plc, Series 2025-1, Class D                                                                                           | CUSIP: N/A<br>LEI: 2138002O8DSFIQGKRU14       | Long             | ABS-MBS          | CORP              | GB        |       99999 | PA      | $136708.25     | 0.00%             | 2062-01-27      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Sage AR Funding                                                           | Sage AR Funding, Series 2025-1X, Class D                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | GB        |      274807 | PA      | $370819.70     | 0.01%             | 2037-05-17      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Sage AR Funding                                                           | Sage AR Funding, Series 2025-1X, Class C                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | GB        |      318504 | PA      | $428924.01     | 0.01%             | 2037-05-17      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Santander Consumo 8 Fondo de Titulizacion                                 | Santander Consumo 8 Fondo de Titulizacion, Series 8, Class C                                                                  | CUSIP: N/A<br>LEI: 529900MNYVA8N0FZJK96       | Long             | ABS-O            | CORP              | ES        |      100000 | PA      | $117910.99     | 0.00%             | 2040-01-21      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Pierpont BTL plc                                                          | Pierpont BTL plc, Series 2025-1, Class D                                                                                      | CUSIP: N/A<br>LEI: 635400SRTLDO3B8L9Y97       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $136115.86     | 0.00%             | 2062-03-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Auto ABS Italian Stella Loans SRL                                         | Auto ABS Italian Stella Loans SRL, Series 2025-1, Class C                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | IT        |      137000 | PA      | $161194.80     | 0.00%             | 2040-12-28      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| TAGUS - Sociedade de Titularizacao de Creditos SA                         | TAGUS - Sociedade de Titularizacao de Creditos SA, Series 6, Class C                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | PT        |      100000 | PA      | $117623.42     | 0.00%             | 2039-12-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Bletchley Park Funding plc                                                | Bletchley Park Funding plc, Series 2025-1, Class D                                                                            | CUSIP: N/A<br>LEI: 635400OJVL3HJJTKNB05       | Long             | ABS-MBS          | CORP              | GB        |      176000 | PA      | $238190.29     | 0.01%             | 2070-01-27      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation SRL                                             | Golden Bar Securitisation SRL, Series 2025-1, Class D                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | IT        |      100000 | PA      | $118297.16     | 0.00%             | 2044-12-20      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| AutoNoria Spain FT                                                        | AutoNoria Spain FT, Series 2025-SP, Class D                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | ES        |      100000 | PA      | $117454.66     | 0.00%             | 2043-04-30      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer plc                                          | Newday Funding Master Issuer plc, Series 2025-2X, Class C                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | GB        |      192000 | PA      | $258255.14     | 0.01%             | 2033-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Exmoor Funding plc                                                        | Exmoor Funding plc, Series 2025-1, Class D                                                                                    | CUSIP: N/A<br>LEI: 635400YFBIYXOQAEON61       | Long             | ABS-MBS          | CORP              | GB        |      103998 | PA      | $140204.35     | 0.00%             | 2095-03-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Lagarino European Loan Conduit No. 40 DAC                                 | Lagarino European Loan Conduit No. 40 DAC, Series 40X, Class B                                                                | CUSIP: N/A<br>LEI: 984500F6BB6D4DUA7796       | Long             | ABS-MBS          | CORP              | IE        |      644466 | PA      | $757333.01     | 0.02%             | 2037-06-22      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Lagarino European Loan Conduit No. 40 DAC                                 | Lagarino European Loan Conduit No. 40 DAC, Series 40X, Class C                                                                | CUSIP: N/A<br>LEI: 984500F6BB6D4DUA7796       | Long             | ABS-MBS          | CORP              | IE        |      409457 | PA      | $481171.51     | 0.01%             | 2037-06-22      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Lagarino European Loan Conduit No. 40 DAC                                 | Lagarino European Loan Conduit No. 40 DAC, Series 40X, Class D                                                                | CUSIP: N/A<br>LEI: 984500F6BB6D4DUA7796       | Long             | ABS-MBS          | CORP              | IE        |     1162388 | PA      | $1365995.22    | 0.04%             | 2037-06-22      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Bobl                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -158 | NC      | $17249.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AES Andes SA                                                              | AES Andes SA                                                                                                                  | CUSIP: N/A<br>LEI: 549300IF4IFG0FS0RM26       | Long             | DBT              | CORP              | CL        |      904000 | PA      | $932638.72     | 0.03%             | 2029-03-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Arcos Dorados BV                                                          | Arcos Dorados BV                                                                                                              | CUSIP: N/A<br>LEI: 549300T91OYP6I7P8G39       | Long             | DBT              | CORP              | NL        |      911000 | PA      | $963992.87     | 0.03%             | 2032-01-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Cheshire plc                                                              | Cheshire plc, Series 2025-1, Class C                                                                                          | CUSIP: N/A<br>LEI: 635400KAD9IOWKUKQR96       | Long             | ABS-MBS          | CORP              | GB        |      180000 | PA      | $242521.82     | 0.01%             | 2048-06-28      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS DAC                                             | Fortuna Consumer Loan ABS DAC, Series 2025-2, Class D                                                                         | CUSIP: N/A<br>LEI: 635400FJ7YX914D6HX74       | Long             | ABS-O            | CORP              | IE        |      100000 | PA      | $116943.56     | 0.00%             | 2035-10-18      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Sunrise SPV 97 SRL                                                        | Sunrise SPV 97 SRL, Series 2025-2, Class D                                                                                    | CUSIP: N/A<br>LEI: 815600D891F71DDF9E74       | Long             | ABS-O            | CORP              | IT        |      100000 | PA      | $117233.96     | 0.00%             | 2050-10-27      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                         | Corp. Nacional del Cobre de Chile                                                                                             | CUSIP: N/A<br>LEI: 549300UVMBCBCIPSUI70       | Long             | DBT              | NUSS              | CL        |     1224000 | PA      | $1323480.60    | 0.04%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Brenntag Finance BV                                                       | Brenntag Finance BV                                                                                                           | CUSIP: N/A<br>LEI: 724500LOJA6NM43PH951       | Long             | DBT              | CORP              | NL        |      900000 | PA      | $1044374.69    | 0.03%             | 2031-10-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Heineken NV                                                               | Heineken NV                                                                                                                   | CUSIP: N/A<br>LEI: 724500K5PTPSST86UQ23       | Long             | DBT              | CORP              | NL        |     1844000 | PA      | $2154569.15    | 0.06%             | 2034-05-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                          | Republic of Peru                                                                                                              | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     7143000 | PA      | $2315933.55    | 0.07%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| SURA Asset Management SA                                                  | SURA Asset Management SA                                                                                                      | CUSIP: N/A<br>LEI: 549300013ETMS1C0EA22       | Long             | DBT              | CORP              | CO        |      372000 | PA      | $396674.76     | 0.01%             | 2032-05-13      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Trust Fibra Uno                                                           | Trust Fibra Uno                                                                                                               | CUSIP: N/A<br>LEI: 54930011BLQ0JPRBAL73       | Long             | DBT              | CORP              | MX        |      814000 | PA      | $895131.38     | 0.03%             | 2032-01-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Zloty                                                                     | Zloty                                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | PL        |         572 | OU      | $159.19        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Cassia SRL                                                                | Cassia SRL, Series 2022-1A, Class A                                                                                           | CUSIP: N/A<br>LEI: 815600A9D6ADF4638276       | Long             | ABS-MBS          | CORP              | IT        |     1394006 | PA      | $1642193.52    | 0.05%             | 2034-05-22      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Bund                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          75 | NC      | $8684.18       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Swedish Krona                                                             | Swedish Krona                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | SE        |     1309734 | OU      | $142261.91     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | 3-mo. SOFR                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        1433 | NC      | $133234.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Dollar                                                          | Singapore Dollar                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | SG        |         155 | OU      | $120.78        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Baht                                                                      | Baht                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | TH        |     1436495 | OU      | $45595.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New Turkish Lira                                                          | New Turkish Lira                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | TR        |          52 | OU      | $1.21          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        1466 | NC      | $72191.03      | 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        |         -49 | NC      | $10816.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | Euro-Buxl                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -16 | NC      | $16362.36      | 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        |         124 | NC      | $26896.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -336 | NC      | $-17968.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Jupiter Mortgage No. 1 plc                                                | Jupiter Mortgage No. 1 plc, Series 1X, Class DR                                                                               | CUSIP: N/A<br>LEI: 6354009QIELPOGEAFS09       | Long             | ABS-MBS          | CORP              | GB        |      349000 | PA      | $474037.14     | 0.01%             | 2055-07-20      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          32 | NC      | $-57960.17     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Miltonia Mortgage Finance SRL                                             | Miltonia Mortgage Finance SRL, Series 1, Class B                                                                              | CUSIP: N/A<br>LEI: 815600BC278905BA4594       | Long             | ABS-MBS          | CORP              | IT        |      351000 | PA      | $413230.26     | 0.01%             | 2062-04-28      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Mila BV                                                                   | Mila BV, Series 2024-1, Class C                                                                                               | CUSIP: N/A<br>LEI: 7245000GAIRCK7Y7VJ68       | Long             | ABS-O            | CORP              | NL        |       81141 | PA      | $95714.62      | 0.00%             | 2041-09-16      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Atlas Funding plc                                                         | Atlas Funding plc, Series 2024-1, Class D                                                                                     | CUSIP: N/A<br>LEI: 635400BMBKLDPBSN2U43       | Long             | ABS-MBS          | CORP              | GB        |       99899 | PA      | $137404.94     | 0.00%             | 2061-09-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Atlas Funding plc                                                         | Atlas Funding plc, Series 2024-1, Class C                                                                                     | CUSIP: N/A<br>LEI: 635400BMBKLDPBSN2U43       | Long             | ABS-MBS          | CORP              | GB        |      102896 | PA      | $139892.11     | 0.00%             | 2061-09-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Exmoor Funding plc                                                        | Exmoor Funding plc, Series 2024-1, Class C                                                                                    | CUSIP: N/A<br>LEI: 635400TJWGCUUIZAGH30       | Long             | ABS-MBS          | CORP              | GB        |      110000 | PA      | $149443.64     | 0.00%             | 2094-03-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Exmoor Funding plc                                                        | Exmoor Funding plc, Series 2024-1, Class D                                                                                    | CUSIP: N/A<br>LEI: 635400TJWGCUUIZAGH30       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $136526.17     | 0.00%             | 2094-03-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding plc                                             | Stratton Mortgage Funding plc, Series 2024-3, Class C                                                                         | CUSIP: N/A<br>LEI: 635400HN3D5CAXKQB937       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134852.96     | 0.00%             | 2049-06-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Auto ABS Italian Stella Loans SRL                                         | Auto ABS Italian Stella Loans SRL, Series 2024-1, Class D                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | IT        |       71481 | PA      | $85026.15      | 0.00%             | 2036-12-29      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Auto ABS Italian Stella Loans SRL                                         | Auto ABS Italian Stella Loans SRL, Series 2024-1, Class C                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | IT        |       71481 | PA      | $84580.10      | 0.00%             | 2036-12-29      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Quarzo SRL                                                                | Quarzo SRL, Series 2024-1, Class C                                                                                            | CUSIP: N/A<br>LEI: 815600702F68B2ED0B22       | Long             | ABS-O            | CORP              | IT        |       66327 | PA      | $78880.38      | 0.00%             | 2041-06-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer plc                                          | Newday Funding Master Issuer plc, Series 2024-2X, Class D                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | GB        |      337000 | PA      | $457371.28     | 0.01%             | 2032-07-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Brignole Co.                                                              | Brignole Co., Series 2024, Class C                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | IT        |       53074 | PA      | $62804.00      | 0.00%             | 2042-02-24      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer plc                                          | Newday Funding Master Issuer plc, Series 2024-2X, Class B                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | GB        |      134000 | PA      | $181069.46     | 0.01%             | 2032-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Pony SA                                                                   | Pony SA, Series 2024-1, Class C                                                                                               | CUSIP: N/A<br>LEI: 2221001FWHVHKUW4NQ77       | Long             | ABS-O            | CORP              | LU        |       89613 | PA      | $105450.40     | 0.00%             | 2033-01-14      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Pony SA                                                                   | Pony SA, Series 2024-1, Class D                                                                                               | CUSIP: N/A<br>LEI: 2221001FWHVHKUW4NQ77       | Long             | ABS-O            | CORP              | LU        |       89613 | PA      | $105769.61     | 0.00%             | 2033-01-14      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Edenbrook Mortgage Funding plc                                            | Edenbrook Mortgage Funding plc, Series 2024-1, Class C                                                                        | CUSIP: N/A<br>LEI: 635400URO7UOS6PWLH17       | Long             | ABS-MBS          | CORP              | GB        |      330440 | PA      | $451049.20     | 0.01%             | 2057-03-22      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Edenbrook Mortgage Funding plc                                            | Edenbrook Mortgage Funding plc, Series 2024-1, Class D                                                                        | CUSIP: N/A<br>LEI: 635400URO7UOS6PWLH17       | Long             | ABS-MBS          | CORP              | GB        |      190524 | PA      | $262101.22     | 0.01%             | 2057-03-22      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Auto1 Car Funding SARL                                                    | Auto1 Car Funding SARL, Series 2024-1, Class C                                                                                | CUSIP: N/A<br>LEI: 984500380CAE46K6F380       | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $118001.36     | 0.00%             | 2033-12-15      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Asimi Funding plc                                                         | Asimi Funding plc, Series 2024-1, Class C                                                                                     | CUSIP: N/A<br>LEI: 635400ED9TX8KJO28Q39       | Long             | ABS-O            | CORP              | GB        |      114000 | PA      | $153961.65     | 0.00%             | 2031-09-16      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Asimi Funding plc                                                         | Asimi Funding plc, Series 2024-1, Class B                                                                                     | CUSIP: N/A<br>LEI: 635400ED9TX8KJO28Q39       | Long             | ABS-O            | CORP              | GB        |       34742 | PA      | $46841.44      | 0.00%             | 2031-09-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Noria DE                                                                  | Noria DE, Series 2024-DE1, Class D                                                                                            | CUSIP: N/A<br>LEI: 9695003DRUTU793B4N34       | Long             | ABS-O            | CORP              | FR        |       80503 | PA      | $94686.63      | 0.00%             | 2043-02-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Cardiff Auto Receivables Securitisation plc                               | Cardiff Auto Receivables Securitisation plc, Series 2024-1, Class C                                                           | CUSIP: N/A<br>LEI: 6354006GQBBANLIO8R45       | Long             | ABS-O            | CORP              | GB        |      357000 | PA      | $483290.27     | 0.01%             | 2031-08-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Cardiff Auto Receivables Securitisation plc                               | Cardiff Auto Receivables Securitisation plc, Series 2024-1, Class D                                                           | CUSIP: N/A<br>LEI: 6354006GQBBANLIO8R45       | Long             | ABS-O            | CORP              | GB        |      271000 | PA      | $367775.53     | 0.01%             | 2031-08-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Tower Bridge Funding plc                                                  | Tower Bridge Funding plc, Series 2024-3X, Class C                                                                             | CUSIP: N/A<br>LEI: 635400XMA28GDAPK1E69       | Long             | ABS-MBS          | CORP              | GB        |       99974 | PA      | $134709.16     | 0.00%             | 2066-12-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Tower Bridge Funding plc                                                  | Tower Bridge Funding plc, Series 2024-3X, Class D                                                                             | CUSIP: N/A<br>LEI: 635400XMA28GDAPK1E69       | Long             | ABS-MBS          | CORP              | GB        |       99974 | PA      | $134996.46     | 0.00%             | 2066-12-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Red & Black Auto Italy SRL                                                | Red & Black Auto Italy SRL, Series 3, Class C                                                                                 | CUSIP: N/A<br>LEI: 8156003B1C9DCDE30892       | Long             | ABS-O            | CORP              | IT        |       92485 | PA      | $109086.13     | 0.00%             | 2036-07-28      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS DAC                                             | Fortuna Consumer Loan ABS DAC, Series 2024-2, Class C                                                                         | CUSIP: N/A<br>LEI: 635400WJJIABFKEPEL72       | Long             | ABS-O            | CORP              | IE        |      176836 | PA      | $208617.92     | 0.01%             | 2034-10-18      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation SRL                                             | Golden Bar Securitisation SRL, Series 2024-1, Class B                                                                         | CUSIP: N/A<br>LEI: 549300GESLGUWWGJRM09       | Long             | ABS-O            | CORP              | IT        |      236354 | PA      | $279116.72     | 0.01%             | 2043-09-22      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Hill FL BV                                                                | Hill FL BV, Series 2024-2FL, Class D                                                                                          | CUSIP: N/A<br>LEI: 724500H2AN902EY7W191       | Long             | ABS-O            | CORP              | NL        |       90043 | PA      | $104591.14     | 0.00%             | 2032-10-18      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| TAGUS-Sociedade de Titularizacao de Creditos SA                           | TAGUS - Sociedade de Titularizacao de Creditos SA, Series 2, Class B                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | PT        |       77102 | PA      | $91220.50      | 0.00%             | 2042-10-27      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-PURE, Class A                                                                       | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      257077 | PA      | $187758.14     | 0.01%             | 2041-11-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Thunder Logistics DAC                                                     | Thunder Logistics DAC, Series 2024-1X, Class B                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |       93052 | PA      | $109250.96     | 0.00%             | 2036-11-17      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| SC Germany SA Compartment Consumer                                        | SC Germany SA Compartment Consumer, Series 2024-2, Class C                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |      200000 | PA      | $235567.66     | 0.01%             | 2038-05-14      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| SC Germany SA Compartment Consumer                                        | SC Germany SA Compartment Consumer, Series 2024-2, Class D                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117661.85     | 0.00%             | 2038-05-14      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Dowson plc                                                                | Dowson plc, Series 2024-1, Class D                                                                                            | CUSIP: N/A<br>LEI: 635400IRBWDPWKGK1C24       | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $133841.86     | 0.00%             | 2031-08-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securitisation Transaction Twenty-Three SARL        | Asset-Backed European Securitisation Transaction Twenty-Three SARL, Series 23, Class D                                        | CUSIP: N/A<br>LEI: 213800WQKYRCMTF4FR47       | Long             | ABS-O            | CORP              | LU        |       86431 | PA      | $102314.79     | 0.00%             | 2034-03-21      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securitisation Transaction Twenty-Three SARL        | Asset-Backed European Securitisation Transaction Twenty-Three SARL, Series 23, Class C                                        | CUSIP: N/A<br>LEI: 213800WQKYRCMTF4FR47       | Long             | ABS-O            | CORP              | LU        |       86431 | PA      | $102175.94     | 0.00%             | 2034-03-21      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Pierpont BTL plc                                                          | Pierpont BTL plc, Series 2024-1, Class D                                                                                      | CUSIP: N/A<br>LEI: 6354004XBFL8EVVJME24       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134566.52     | 0.00%             | 2061-09-21      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securitisation Transaction Twenty-Three SARL        | Asset-Backed European Securitisation Transaction Twenty-Three SARL, Series 23, Class E                                        | CUSIP: N/A<br>LEI: 213800WQKYRCMTF4FR47       | Long             | ABS-O            | CORP              | LU        |       86431 | PA      | $102568.01     | 0.00%             | 2034-03-21      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Winchester 1 plc                                                          | Winchester 1 plc, Series 1, Class D                                                                                           | CUSIP: N/A<br>LEI: 213800AWJGG72JJNBW66       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135992.25     | 0.00%             | 2056-10-21      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Winchester 1 plc                                                          | Winchester 1 plc, Series 1, Class C                                                                                           | CUSIP: N/A<br>LEI: 213800AWJGG72JJNBW66       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135390.79     | 0.00%             | 2056-10-21      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Golden Ray SA-Compartment 1                                               | Golden Ray SA-Compartment 1, Series 1, Class C                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $116860.48     | 0.00%             | 2057-12-27      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Mortimer 2024-Mix plc                                                     | Mortimer 2024-Mix plc, Series 2024-MIX, Class C                                                                               | CUSIP: N/A<br>LEI: 213800F12CZ391USLI51       | Long             | ABS-MBS          | CORP              | GB        |      110000 | PA      | $148773.89     | 0.00%             | 2067-09-22      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Mortimer 2024-Mix plc                                                     | Mortimer 2024-Mix plc, Series 2024-MIX, Class D                                                                               | CUSIP: N/A<br>LEI: 213800F12CZ391USLI51       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134172.52     | 0.00%             | 2067-09-22      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Citadel plc                                                               | Citadel plc, Series 2024-1, Class B                                                                                           | CUSIP: N/A<br>LEI: 213800XKX6NBEB5W9Z43       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135823.35     | 0.00%             | 2060-04-28      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citadel plc                                                               | Citadel plc, Series 2024-1, Class D                                                                                           | CUSIP: N/A<br>LEI: 213800XKX6NBEB5W9Z43       | Long             | ABS-MBS          | CORP              | GB        |      109000 | PA      | $149147.63     | 0.00%             | 2060-04-28      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Citadel plc                                                               | Citadel plc, Series 2024-1, Class C                                                                                           | CUSIP: N/A<br>LEI: 213800XKX6NBEB5W9Z43       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135748.67     | 0.00%             | 2060-04-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| UK Logistics DAC                                                          | UK Logistics DAC, Series 2024-2X, Class D                                                                                     | CUSIP: N/A<br>LEI: 635400FRZQXRDV2SLM12       | Long             | ABS-MBS          | CORP              | GB        |      228765 | PA      | $305788.33     | 0.01%             | 2035-02-17      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| UK Logistics DAC                                                          | UK Logistics DAC, Series 2024-2X, Class C                                                                                     | CUSIP: N/A<br>LEI: 635400FRZQXRDV2SLM12       | Long             | ABS-MBS          | CORP              | GB        |       99500 | PA      | $132977.40     | 0.00%             | 2035-02-17      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securitisation Transaction Twenty-Five SRL          | Asset-Backed European Securitisation Transaction Twenty-Five SRL, Series 25, Class D                                          | CUSIP: N/A<br>LEI: 8156006F7517955B5E95       | Long             | ABS-O            | CORP              | IT        |       87068 | PA      | $103100.93     | 0.00%             | 2039-11-15      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Avoca CLO XVIII DAC                                                       | Avoca CLO XVIII DAC, Series 18A, Class CR                                                                                     | CUSIP: N/A<br>LEI: 549300K6K5XESJRIKM24       | Long             | ABS-CBDO         | CORP              | IE        |      250000 | PA      | $293451.55     | 0.01%             | 2038-01-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Together Asset-Backed Securitisation plc                                  | Together Asset-Backed Securitisation plc, Series 2025-2ND1X, Class D                                                          | CUSIP: N/A<br>LEI: 635400YLGUIWG9EKBV27       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $135028.87     | 0.00%             | 2056-09-12      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Last Mile Securities PE DAC                                               | Last Mile Securities PE DAC, Series 2021-1X, Class D                                                                          | CUSIP: N/A<br>LEI: 635400UJZKP57EXKMQ33       | Long             | ABS-MBS          | CORP              | IE        |      872820 | PA      | $1025792.80    | 0.03%             | 2031-08-17      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Australia 10 Year Bonds                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         217 | NC      | $-20093.04     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Glencore Capital Finance DAC                                              | Glencore Capital Finance DAC                                                                                                  | CUSIP: N/A<br>LEI: 213800HCUCI1HC7X6Q34       | Long             | DBT              | CORP              | IE        |      590000 | PA      | $688904.79     | 0.02%             | 2032-10-06      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation Srl                                             | Golden Bar Securitisation Srl, Series 2025-2, Class D                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | IT        |      100000 | PA      | $117763.74     | 0.00%             | 2044-12-22      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| London Cards No3 plc                                                      | London Cards No3 plc, Series 3X, Class C                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | GB        |      272000 | PA      | $366748.00     | 0.01%             | 2035-12-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| UK Logistics DAC                                                          | UK Logistics DAC, Series 2025-2X, Class B                                                                                     | CUSIP: N/A<br>LEI: 635400CRV6HKMHJF8S64       | Long             | ABS-MBS          | CORP              | IE        |      335000 | PA      | $451735.30     | 0.01%             | 2035-08-17      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| UK Logistics DAC                                                          | UK Logistics DAC, Series 2025-2X, Class C                                                                                     | CUSIP: N/A<br>LEI: 635400CRV6HKMHJF8S64       | Long             | ABS-MBS          | CORP              | IE        |      139000 | PA      | $187434.94     | 0.01%             | 2035-08-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Mortimer plc                                                              | Mortimer plc, Series 2025-1, Class D                                                                                          | CUSIP: N/A<br>LEI: 213800PI5SCJ8WPLJX58       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134955.95     | 0.00%             | 2070-09-22      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Meridian Funding plc                                                      | Meridian Funding plc, Series 2025-1, Class D                                                                                  | CUSIP: N/A<br>LEI: 6354007VNVP2YBYBAX64       | Long             | ABS-MBS          | CORP              | GB        |      159000 | PA      | $214370.34     | 0.01%             | 2068-02-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SC Austria SARL                                                           | SC Austria Sarl, Series 2025-1, Class D                                                                                       | CUSIP: N/A<br>LEI: 81560007AFE688B7A894       | Long             | ABS-O            | CORP              | LU        |      195000 | PA      | $229941.78     | 0.01%             | 2041-07-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Polaris plc                                                               | Polaris plc, Series 2025-3X, Class D                                                                                          | CUSIP: N/A<br>LEI: 2138004HHDTEKA2ZLF42       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134836.52     | 0.00%             | 2069-10-27      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Polaris plc                                                               | Polaris plc, Series 2025-3X, Class C                                                                                          | CUSIP: N/A<br>LEI: 2138004HHDTEKA2ZLF42       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134836.65     | 0.00%             | 2069-10-27      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securitisation Transaction Twenty-Four Srl          | Asset-Backed European Securitisation Transaction Twenty-Four Srl, Series 2024-R, Class D                                      | CUSIP: N/A<br>LEI: 8156003524A4F7B21C64       | Long             | ABS-O            | CORP              | IT        |      100000 | PA      | $117815.92     | 0.00%             | 2040-08-16      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securitisation Transaction Twenty-Four Srl          | Asset-Backed European Securitisation Transaction Twenty-Four Srl, Series 2024-R, Class C                                      | CUSIP: N/A<br>LEI: 8156003524A4F7B21C64       | Long             | ABS-O            | CORP              | IT        |      100000 | PA      | $117883.84     | 0.00%             | 2040-08-16      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      460000 | PA      | $531832.83     | 0.02%             | 2036-11-07      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Braccan Mortgage Funding plc                                              | Braccan Mortgage Funding plc, Series 2025-2X, Class D                                                                         | CUSIP: N/A<br>LEI: 213800WUDDAGMT94UJ09       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134761.71     | 0.00%             | 2068-01-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Asimi Funding plc                                                         | Asimi Funding plc, Series 2025-2, Class D                                                                                     | CUSIP: N/A<br>LEI: 213800AXPL92U14G2M23       | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $134777.07     | 0.00%             | 2032-12-16      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Asimi Funding plc                                                         | Asimi Funding plc, Series 2025-2, Class C                                                                                     | CUSIP: N/A<br>LEI: 213800AXPL92U14G2M23       | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $134777.21     | 0.00%             | 2032-12-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| East One plc                                                              | East One plc, Series 2025-1, Class B                                                                                          | CUSIP: N/A<br>LEI: 213800NEAFVXSQQHPC92       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134912.41     | 0.00%             | 2058-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| East One plc                                                              | East One plc, Series 2025-1, Class C                                                                                          | CUSIP: N/A<br>LEI: 213800NEAFVXSQQHPC92       | Long             | ABS-MBS          | CORP              | GB        |      139000 | PA      | $187526.94     | 0.01%             | 2058-02-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Braccan Mortgage Funding plc                                              | Braccan Mortgage Funding plc, Series 2025-2X, Class C                                                                         | CUSIP: N/A<br>LEI: 213800WUDDAGMT94UJ09       | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $134763.59     | 0.00%             | 2068-01-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| RTE Reseau de Transport d'Electricite SADIR                               | RTE Reseau de Transport d'Electricite SADIR                                                                                   | CUSIP: N/A<br>LEI: 969500JRJW0K2ET1UP76       | Long             | DBT              | CORP              | FR        |      200000 | PA      | $233707.32     | 0.01%             | 2037-11-24      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Jersey Borrower Spv Ltd.                             | Vantage Data Centers Jersey Borrower Spv Ltd., Series 2024-1X, Class B                                                        | CUSIP: N/A<br>LEI: 213800S5S638C9IBQ379       | Long             | ABS-O            | CORP              | JE        |      308000 | PA      | $415104.67     | 0.01%             | 2039-05-28      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Youni Italy SRL                                                           | Youni Italy Srl, Series 2025-2, Class C                                                                                       | CUSIP: N/A<br>LEI: 8156001A7AEEA1E59607       | Long             | ABS-O            | CORP              | IT        |      100000 | PA      | $117534.45     | 0.00%             | 2036-01-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Fairbridge BV                                                             | Fairbridge BV, Series 2025-1, Class C                                                                                         | CUSIP: N/A<br>LEI: 724500T08SS1ZWOYTR56       | Long             | ABS-MBS          | CORP              | NL        |      100000 | PA      | $117746.46     | 0.00%             | 2062-02-24      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| SV Vanir Logistics Finance Sarl                                           | SV Vanir Logistics Finance Sarl, Series 1X, Class C                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | LU        |      160000 | PA      | $188034.82     | 0.01%             | 2037-07-23      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| WPP Finance 2013                                                          | WPP Finance 2013                                                                                                              | CUSIP: N/A<br>LEI: 549300L84EKSLWWPGI24       | Long             | DBT              | CORP              | GB        |     1880000 | PA      | $2181062.85    | 0.06%             | 2031-06-09      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Golden Ray SA Compartment 2                                               | Golden Ray SA Compartment 2, Series 2, Class C                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117534.81     | 0.00%             | 2058-12-27      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Panorama Auto Trust                                                       | Panorama Auto Trust, Series 2025-4, Class C                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | AU        |      500000 | PA      | $334129.08     | 0.01%             | 2034-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| DBMS DAC                                                                  | DBMS DAC, Series 2025-1X, Class C                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |      100000 | PA      | $134791.35     | 0.00%             | 2036-02-18      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Australia 3 Year Bond                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         525 | NC      | $-25232.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Rand                                                                      | Rand                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | ZA        |     4239742 | OU      | $256023.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-31

**Name of Applicant:** BlackRock Funds V

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer