# EDGAR Filing Document

**Accession Number:** 0001676326
**File Stem:** 0002071691-26-005070
**Filing Date:** 2026-2
**Character Count:** 296197
**Document Hash:** 730434e5953ba7f9138ff9f68e7f1bc7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-005070.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0002071691-26-005070

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20260930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23820
- **FILM NUMBER:** 26692938

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

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

## Series and Classes Contracts Data

### Eaton Vance Total Return Bond ETF (Series ID: S000083413)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000247024 | Eaton Vance Total Return Bond ETF | EVTR            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 1585 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

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

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

- **a. Name of Series:** Eaton Vance Total Return Bond ETF

- **b. EDGAR series identifier (if any):** S000083413

- **c. LEI of Series:** 254900IQ3M4DXR8SC125

**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:** $5047946067.64

**Total Liabilities:** $869280319.92

**Net Assets:** $4178665747.72

**Cash Not Reported:** $673243.10

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2218.32830600 | **1-Year:** 100607.82558700 | **5-Year:** 580067.27033000 | **10-Year:** 366178.79998500 | **30-Year:** 107365.88307900

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

- **3-Month:** 1724.13404400 | **1-Year:** 27954.33918000 | **5-Year:** 66417.15635600 | **10-Year:** 3702.71058800 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000247024 | 0.56%                | 0.73%                | -0.05%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1534005.40              | $-946417.68                                |
| Month 2  | $1821260.92              | $9863396.35                                |
| Month 3  | $1622082.62              | $-15374027.10                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Index

- **Index Identifier:** BBG_US_Agg

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AASET Ltd.                                                    | AASET Ltd., Series 2025-2A, Class B                                                       | CUSIP: 00039NAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4070148 | PA      | $4065702.54   | 0.10%             | 2050-02-16      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| AASET MT-1 Ltd.                                               | AASET MT-1 Ltd., Series 2025-3A, Class A                                                  | CUSIP: 00039NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4003949 | PA      | $4018109.16   | 0.10%             | 2050-02-16      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS Trust                                                | ACHV ABS Trust, Series 2024-3AL, Class B                                                  | CUSIP: 00092KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1056430 | PA      | $1068178.72   | 0.03%             | 2031-12-26      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS Trust                                                | ACHV ABS Trust, Series 2024-3AL, Class C                                                  | CUSIP: 00092KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436128 | PA      | $441759.03    | 0.01%             | 2031-12-26      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS Trust                                                | ACHV ABS Trust, Series 2024-3AL, Class D                                                  | CUSIP: 00092KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275083 | PA      | $1293333.45   | 0.03%             | 2031-12-26      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                 | AIB Group plc                                                                             | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  13955000 | PA      | $14410144.28  | 0.34%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: —       |
| ACM Auto Trust                                                | ACM Auto Trust, Series 2025-1A, Class A                                                   | CUSIP: 00161EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1790944 | PA      | $1790414.37   | 0.04%             | 2029-06-20      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                                | ACM Auto Trust, Series 2025-2A, Class A                                                   | CUSIP: 00161TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1173657 | PA      | $1174007.20   | 0.03%             | 2028-06-20      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| ALTDE Trust                                                   | ALTDE Trust, Series 2025-1A, Class A                                                      | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5273131 | PA      | $5399968.89   | 0.13%             | 2050-08-15      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| A/S Mileage Plan IP Ltd.                                      | A/S Mileage Plan IP Ltd.                                                                  | CUSIP: 00218QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |  12489000 | PA      | $12597109.90  | 0.30%             | 2029-10-20      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: —       |
| A/S Mileage Plan IP Ltd.                                      | A/S Mileage Plan IP Ltd.                                                                  | CUSIP: 00218QAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1154000 | PA      | $1164814.98   | 0.03%             | 2031-10-20      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: —       |
| American Airlines, Inc.                                       | American Airlines, Inc.                                                                   | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    806167 | PA      | $807731.65    | 0.02%             | 2026-04-20      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| AASET                                                         | AASET, Series 2025-1A, Class A                                                            | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8424480 | PA      | $8603399.46   | 0.21%             | 2050-02-16      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Abry Liquid Credit CLO Ltd.                                   | Abry Liquid Credit CLO Ltd., Series 2025-1A, Class D                                      | CUSIP: 00383LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3011394.00   | 0.07%             | 2038-10-20      | Floating      | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Acacia LLC                                                    | Acacia LLC, Series 2025-1, Class A                                                        | CUSIP: 00401PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8830537 | PA      | $8842468.85   | 0.21%             | 2037-11-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                                | Aircastle Ltd.                                                                            | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4330000 | PA      | $4515145.26   | 0.11%             | 2031-10-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust, Series 2020-B, Class A1                                         | CUSIP: 00969YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    853128 | PA      | $816658.10    | 0.02%             | 2059-05-25      | Variable      | 1.70%                 | Yes           |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                   | Allied Universal Holdco LLC                                                               | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |   7840000 | PA      | $8267074.12   | 0.20%             | 2031-02-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: —       |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                              | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24080000 | PA      | $22844019.35  | 0.55%             | 2056-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                              | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6657175 | PA      | $6499327.39   | 0.16%             | 2056-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                              | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 504222000 | PA      | $503040229.69 | 12.04%            | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                              | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 104979908 | PA      | $106460287.42 | 2.55%             | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                              | CUSIP: 01F060626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -90000000 | PA      | $-92358985.50 | -2.21%            | 2056-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                            | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class B                                | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    962731 | PA      | $972106.05    | 0.02%             | 2032-09-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                            | Ally Bank Auto Credit-Linked Notes, Series 2025-B, Class C                                | CUSIP: 02007G6Q1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8335698 | PA      | $8390048.44   | 0.20%             | 2033-09-15      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Alpha Generation LLC                                          | Alpha Generation LLC                                                                      | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |   7978000 | PA      | $8263091.28   | 0.20%             | 2032-10-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                             | American Electric Power Co., Inc., Series C                                               | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |  11026000 | PA      | $10951083.18  | 0.26%             | 2056-03-15      | Variable      | 5.80%                 | No            |                  2 | On Loan: —       |
| American National Group, Inc.                                 | American National Group, Inc.                                                             | CUSIP: 025676AQ0<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |   7063000 | PA      | $7166934.52   | 0.17%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| American National Group, Inc.                                 | American National Group, Inc.                                                             | CUSIP: 025676AR8<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |   6663000 | PA      | $6699353.33   | 0.16%             | 2055-12-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: —       |
| American International Group, Inc.                            | American International Group, Inc.                                                        | CUSIP: 026874DX2<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   5518000 | PA      | $5750232.26   | 0.14%             | 2035-05-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| American National Group, Inc.                                 | American National Group, Inc.                                                             | CUSIP: 02772AAA7<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |   3108000 | PA      | $3242956.79   | 0.08%             | 2032-06-13      | Fixed         | 6.14%                 | Yes           |                  2 | On Loan: —       |
| Apollo Global Management, Inc.                                | Apollo Global Management, Inc.                                                            | CUSIP: 03769MAE6<br>LEI: 254900LMFT1CY9IYB476 | Long             | DBT              | CORP              | US        |   8529000 | PA      | $8548819.09   | 0.20%             | 2035-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Apollo Debt Solutions BDC                                     | Apollo Debt Solutions BDC                                                                 | CUSIP: 03770DAK9<br>LEI: 549300UMUGX092P8DW87 | Long             | DBT              | CORP              | US        |   4459000 | PA      | $4517695.29   | 0.11%             | 2030-08-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Aptiv Swiss Holdings Ltd.                                     | Aptiv Swiss Holdings Ltd.                                                                 | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |  17567000 | PA      | $11295881.75  | 0.27%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                            | Aqua Finance Trust, Series 2019-A, Class B                                                | CUSIP: 038370AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366113 | PA      | $358822.28    | 0.01%             | 2040-07-16      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Arches Buyer, Inc.                                            | Arches Buyer, Inc.                                                                        | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |   7348000 | PA      | $7217226.76   | 0.17%             | 2028-06-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: —       |
| Artera Services LLC                                           | Artera Services LLC                                                                       | CUSIP: 04302XAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |   4903900 | PA      | $4075587.20   | 0.10%             | 2031-02-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Athene Holding Ltd.                                           | Athene Holding Ltd.                                                                       | CUSIP: 04686JAL5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |  11427000 | PA      | $11647056.94  | 0.28%             | 2055-05-19      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| Azorra Finance Ltd.                                           | Azorra Finance Ltd.                                                                       | CUSIP: 05480AAA3<br>LEI: 254900MC1HXDAVUUP395 | Long             | DBT              | CORP              | KY        |   4008000 | PA      | $4247614.27   | 0.10%             | 2030-04-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: —       |
| BAMLL Commercial Mortgage Securities Trust                    | BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class BNM                    | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3440000 | PA      | $3243316.28   | 0.08%             | 2032-11-05      | Fixed         | 3.46%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Trust                                                   | BAMLL Trust, Series 2024-BHP, Class A                                                     | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4264888.18   | 0.10%             | 2039-08-15      | Floating      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| BAHA Trust                                                    | BAHA Trust, Series 2024-MAR, Class C                                                      | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12428000 | PA      | $13046792.61  | 0.31%             | 2041-12-10      | Variable      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                          | BBCMS Mortgage Trust, Series 2022-C18, Class XA                                           | CUSIP: 054975AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17885000 | PA      | $590963.33    | 0.01%             | 2055-12-15      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero | BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero                             | CUSIP: 05533UAF5<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   3531000 | PA      | $3473356.43   | 0.08%             | 2033-01-18      | Variable      | 5.12%                 | Yes           |                  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        |   9715000 | PA      | $9770859.31   | 0.23%             | 2041-07-15      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| BFLD Trust                                                    | BFLD Trust, Series 2025-FPM, Class B                                                      | CUSIP: 05556HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8008000 | PA      | $8130973.25   | 0.19%             | 2040-10-10      | Variable      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                | BFLD Commercial Mortgage Trust, Series 2025-660F, Class B                                 | CUSIP: 05556QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6135000 | PA      | $6165363.96   | 0.15%             | 2042-11-15      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                | BFLD Commercial Mortgage Trust, Series 2025-660F, Class C                                 | CUSIP: 05556QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3190000 | PA      | $3212682.18   | 0.08%             | 2042-11-15      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                | BNP Paribas SA                                                                            | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   6719000 | PA      | $7124216.17   | 0.17%             | 2029-08-16      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                                     | BPR Trust, Series 2022-SSP, Class A                                                       | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2320000 | PA      | $2325102.38   | 0.06%             | 2039-05-15      | Floating      | 6.75%                 | Yes           |                  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        |   5855000 | PA      | $5879347.43   | 0.14%             | 2027-06-15      | Floating      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                  | BX Commercial Mortgage Trust, Series 2022-CSMO, Class C                                   | CUSIP: 05610MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6265000 | PA      | $6301744.23   | 0.15%             | 2027-06-15      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                  | BX Commercial Mortgage Trust, Series 2022-CSMO, Class D                                   | CUSIP: 05610MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3287296 | PA      | $3313512.19   | 0.08%             | 2027-06-15      | Floating      | 8.09%                 | Yes           |                  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        |   7932000 | PA      | $7955540.59   | 0.19%             | 2042-12-15      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO 15 Ltd.                                         | Ballyrock CLO 15 Ltd., Series 2021-1A, Class D1R                                          | CUSIP: 05875TAS6<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003828.00   | 0.02%             | 2038-01-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO 16 Ltd.                                         | Ballyrock CLO 16 Ltd., Series 2021-16A, Class C1R                                         | CUSIP: 05876KAS4<br>LEI: 2549003CI27B7ZDOMR46 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1484232.00   | 0.04%             | 2038-04-20      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                        | Banc of America Alternative Loan Trust, Series 2006-7, Class A6                           | CUSIP: 059469AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366330 | PA      | $101157.66    | 0.00%             | 2036-10-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                            | Banco Santander SA                                                                        | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      6000 | PA      | $6003.35      | 0.00%             | 2028-03-24      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                            | Banco Santander SA                                                                        | CUSIP: 05964HBB0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   7425000 | PA      | $7686374.55   | 0.18%             | 2030-03-14      | Variable      | 5.54%                 | No            |                  2 | On Loan: —       |
| Bank of America Corp.                                         | Bank of America Corp.                                                                     | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14351000 | PA      | $13377286.66  | 0.32%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: —       |
| Bank of America Corp.                                         | Bank of America Corp.                                                                     | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4503000 | PA      | $4649648.80   | 0.11%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: —       |
| Bank of Nova Scotia (The)                                     | Bank of Nova Scotia (The)                                                                 | CUSIP: 0641598V1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  10851000 | PA      | $11664727.34  | 0.28%             | 2084-01-27      | Variable      | 8.00%                 | No            |                  2 | On Loan: —       |
| BANK                                                          | BANK, Series 2019-BN21, Class XA                                                          | CUSIP: 06540BBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13583106 | PA      | $334295.18    | 0.01%             | 2052-10-17      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| BANK                                                          | BANK, Series 2020-BN30, Class MCDF                                                        | CUSIP: 06541UBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $2412678.24   | 0.06%             | 2053-12-15      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                  | Barclays plc                                                                              | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   7355000 | PA      | $7877984.63   | 0.19%             | 2029-03-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                              | Barings CLO Ltd., Series 2019-4A, Class D2R                                               | CUSIP: 06761VAY3<br>LEI: 549300QO1I8V07FLPQ13 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006405.00   | 0.02%             | 2037-07-15      | Floating      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Battalion CLO XXIX Ltd.                                       | Battalion CLO XXIX Ltd., Series 2025-29A, Class D1                                        | CUSIP: 07135TAJ8<br>LEI: 254900BHK74DPDADPT35 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1510266.00   | 0.04%             | 2038-03-31      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero | BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero                             | CUSIP: 072912AA6<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   5072000 | PA      | $5338280.00   | 0.13%             | 2035-02-11      | Variable      | 7.62%                 | Yes           |                  2 | On Loan: —       |
| BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero | BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero                             | CUSIP: 07336UAA1<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   1047000 | PA      | $1158654.88   | 0.03%             | 2038-06-29      | Variable      | 8.45%                 | Yes           |                  2 | On Loan: —       |
| BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero | BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero                             | CUSIP: 07336UAB9<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   3601000 | PA      | $3898039.29   | 0.09%             | 2039-01-08      | Variable      | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Beach Acquisition Bidco LLC                                   | Beach Acquisition Bidco LLC                                                               | CUSIP: 07337JAC1<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |   5945000 | PA      | $6567043.19   | 0.16%             | 2033-07-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: —       |
| Bear Stearns ARM Trust                                        | Bear Stearns ARM Trust, Series 2003-9, Class 3A3                                          | CUSIP: 07384MC75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292979 | PA      | $278822.18    | 0.01%             | 2034-02-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Bell Canada                                                   | Bell Canada                                                                               | CUSIP: 0778FPAP4<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |   7080000 | PA      | $7334016.24   | 0.18%             | 2055-09-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Belrose Funding Trust II                                      | Belrose Funding Trust II                                                                  | CUSIP: 08079KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11678000 | PA      | $12171913.30  | 0.29%             | 2055-05-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: —       |
| Benchmark Mortgage Trust                                      | Benchmark Mortgage Trust, Series 2020-IG2, Class XA                                       | CUSIP: 08162NAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25152299 | PA      | $364097.14    | 0.01%             | 2048-09-15      | Variable      | 0.83%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO 41 Ltd.                           | Benefit Street Partners CLO 41 Ltd., Series 2025-41A, Class D1                            | CUSIP: 08186GAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502589.00   | 0.04%             | 2038-07-25      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class B                                 | CUSIP: 08861RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3009348.00   | 0.07%             | 2041-11-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Birch Grove CLO 14 Ltd.                                       | Birch Grove CLO 14 Ltd., Series 2025-14A, Class D1                                        | CUSIP: 09090RAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3012714.00   | 0.07%             | 2037-07-22      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| Blue Owl Credit Income Corp.                                  | Blue Owl Credit Income Corp.                                                              | CUSIP: 09581CAB7<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   1986000 | PA      | $2045580.52   | 0.05%             | 2029-09-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                              | Boeing Co. (The)                                                                          | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   7600000 | PA      | $7486618.03   | 0.18%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Boeing Co. (The)                                              | Boeing Co. (The)                                                                          | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3296000 | PA      | $3236254.03   | 0.08%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BCMSC Trust                                                   | BCMSC Trust, Series 1998-C, Class M1                                                      | CUSIP: 09774XAP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    528246 | PA      | $527832.77    | 0.01%             | 2029-01-15      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| Cloud Capital Holdco LP                                       | Cloud Capital Holdco LP, Series 2024-1A, Class A2                                         | CUSIP: 102104AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10097014 | PA      | $10179222.88  | 0.24%             | 2049-11-22      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Cloud Capital Holdco LP                                       | Cloud Capital Holdco LP, Series 2024-2A, Class A2                                         | CUSIP: 102104AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4224000 | PA      | $4278759.94   | 0.10%             | 2049-11-22      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                               | BRAVO Residential Funding Trust, Series 2020-RPL2, Class A1                               | CUSIP: 10569BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    964880 | PA      | $914480.10    | 0.02%             | 2059-05-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                           | Brean Asset-Backed Securities Trust, Series 2021-RM1, Class A                             | CUSIP: 10638CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1868887 | PA      | $1780744.27   | 0.04%             | 2063-10-25      | Variable      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                                  | Bridge Trust, Series 2025-SFR1, Class C                                                   | CUSIP: 10807GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3583171 | PA      | $3399232.75   | 0.08%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Asset Management Ltd.                              | Brookfield Asset Management Ltd.                                                          | CUSIP: 112586AB8<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |   8381000 | PA      | $8576927.75   | 0.21%             | 2055-09-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                      | Brookfield Finance, Inc.                                                                  | CUSIP: 11271LAN2<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   8227000 | PA      | $8180834.19   | 0.20%             | 2055-01-15      | Variable      | 6.30%                 | No            |                  2 | On Loan: —       |
| Brookfield Asset Management Ltd.                              | Brookfield Asset Management Ltd.                                                          | CUSIP: 113004AA3<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |   6935000 | PA      | $7271139.31   | 0.17%             | 2035-04-24      | Fixed         | 5.79%                 | No            |                  2 | On Loan: —       |
| Brookfield Asset Management Ltd.                              | Brookfield Asset Management Ltd.                                                          | CUSIP: 113004AC9<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |   2707000 | PA      | $2705961.35   | 0.06%             | 2036-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd.                                      | Bryant Park Funding Ltd., Series 2023-21A, Class D1R                                      | CUSIP: 117650AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999582.00   | 0.05%             | 2038-10-18      | Floating      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd.                                      | Bryant Park Funding Ltd., Series 2023-19A, Class D1R                                      | CUSIP: 11765AAY5<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3004524.00   | 0.07%             | 2038-04-15      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Bryant Park Funding Ltd.                                      | Bryant Park Funding Ltd., Series 2023-20A, Class DR                                       | CUSIP: 117919AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3013044.00   | 0.07%             | 2038-04-15      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust, Series 2025-GW, Class D                                                         | CUSIP: 12433GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6658000 | PA      | $6703966.83   | 0.16%             | 2042-07-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust, Series 2025-GW, Class E                                                         | CUSIP: 12433GAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3975000 | PA      | $4010271.77   | 0.10%             | 2042-07-15      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                      | CFMT LLC, Series 2022-HB9, Class M3                                                       | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1840000 | PA      | $1761588.77   | 0.04%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CI Financial Corp.                                            | CI Financial Corp.                                                                        | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |  19953000 | PA      | $21234071.59  | 0.51%             | 2029-05-30      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: —       |
| CIFC Funding Ltd.                                             | CIFC Funding Ltd., Series 2022-3A, Class D                                                | CUSIP: 12571KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3006990.00   | 0.07%             | 2035-04-21      | Floating      | 7.62%                 | Yes           |                  2 | On Loan: No      |
| COLT Trust                                                    | COLT Trust, Series 2021-RPL1, Class A1                                                    | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927910 | PA      | $861531.44    | 0.02%             | 2061-09-25      | Variable      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| CTR Partnership LP                                            | CTR Partnership LP                                                                        | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9584000 | PA      | $9446044.07   | 0.23%             | 2028-06-30      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: —       |
| CSMC Trust                                                    | CSMC Trust, Series 2021-BPNY, Class A                                                     | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15598642 | PA      | $15145003.39  | 0.36%             | 2026-08-15      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                  | CaixaBank SA                                                                              | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  11532000 | PA      | $12870593.16  | 0.31%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Calderys Financing LLC                                        | Calderys Financing LLC                                                                    | CUSIP: 128786AA8<br>LEI: 254900ZIKDM74XNEFV84 | Long             | DBT              | CORP              | US        |   3848000 | PA      | $4090797.26   | 0.10%             | 2028-06-01      | Fixed         | 11.25%                | Yes           |                  2 | On Loan: No      |
| California Buyer Ltd.                                         | California Buyer Ltd.                                                                     | CUSIP: 13005HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   8231000 | PA      | $8262393.03   | 0.20%             | 2032-02-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                            | Canadian Imperial Bank of Commerce                                                        | CUSIP: 13607P7Y4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   8529000 | PA      | $8913504.38   | 0.21%             | 2085-10-28      | Variable      | 7.00%                 | No            |                  2 | On Loan: —       |
| Castlelake Aircraft Structured Trust                          | Castlelake Aircraft Structured Trust, Series 2025-2A, Class A                             | CUSIP: 14855XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2049361 | PA      | $2076666.15   | 0.05%             | 2050-08-15      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                          | Castlelake Aircraft Structured Trust, Series 2025-2A, Class B                             | CUSIP: 14855XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6383755 | PA      | $6452214.17   | 0.15%             | 2050-08-15      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                          | Castlelake Aircraft Structured Trust, Series 2025-1A, Class A                             | CUSIP: 14856VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9248254 | PA      | $9409210.98   | 0.23%             | 2050-02-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                          | Castlelake Aircraft Structured Trust, Series 2025-1A, Class C                             | CUSIP: 14856VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2894723 | PA      | $2918157.37   | 0.07%             | 2050-02-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                      | Celanese US Holdings LLC                                                                  | CUSIP: 15089QAK0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1717000 | PA      | $1690901.60   | 0.04%             | 2026-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: —       |
| Celanese US Holdings LLC                                      | Celanese US Holdings LLC                                                                  | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   6186000 | PA      | $6540402.56   | 0.16%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: —       |
| Centene Corp.                                                 | Centene Corp.                                                                             | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |  14896000 | PA      | $13731272.82  | 0.33%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Centene Corp.                                                 | Centene Corp.                                                                             | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   9012000 | PA      | $7787595.25   | 0.19%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cerdia Finanz GmbH                                            | Cerdia Finanz GmbH                                                                        | CUSIP: 15679GAC6<br>LEI: 391200KURNDJSX9GX570 | Long             | DBT              | CORP              | DE        |   6913000 | PA      | $7180878.75   | 0.17%             | 2031-10-03      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                          | Charter Communications Operating LLC                                                      | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12199000 | PA      | $9172759.67   | 0.22%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                          | Charter Communications Operating LLC                                                      | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    249000 | PA      | $160931.71    | 0.00%             | 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        |   3610000 | PA      | $2363556.20   | 0.06%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                          | Charter Communications Operating LLC                                                      | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    586000 | PA      | $616546.89    | 0.01%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: —       |
| Chase Home Lending Mortgage Trust                             | Chase Home Lending Mortgage Trust, Series 2025-11, Class A2                               | CUSIP: 16162QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7231444 | PA      | $7297826.52   | 0.17%             | 2056-02-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| ChaseFlex Trust                                               | ChaseFlex Trust, Series 2007-1, Class 2A8                                                 | CUSIP: 16165VAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580358 | PA      | $181038.35    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citadel LP                                                    | Citadel LP                                                                                | CUSIP: 17288XAC8<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |   9500000 | PA      | $10088123.91  | 0.24%             | 2032-01-23      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: —       |
| Citadel Securities Global Holdings LLC                        | Citadel Securities Global Holdings LLC                                                    | CUSIP: 17289RAB2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |   7020000 | PA      | $7396217.74   | 0.18%             | 2035-06-18      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                           | Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class XA                           | CUSIP: 17324KAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547299 | PA      | $238.35       | 0.00%             | 2048-11-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                             | Clarios Global LP                                                                         | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   4978000 | PA      | $5209775.68   | 0.12%             | 2030-02-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                          | Clear Channel Outdoor Holdings, Inc.                                                      | CUSIP: 18453HAF3<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |   6984000 | PA      | $7384867.63   | 0.18%             | 2030-04-01      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Cologix Data Centers US Issuer LLC                            | Cologix Data Centers US Issuer LLC, Series 2021-1A, Class A2                              | CUSIP: 19521UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16935000 | PA      | $16650620.71  | 0.40%             | 2051-12-26      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Compass Minerals International, Inc.                          | Compass Minerals International, Inc.                                                      | CUSIP: 20451NAG6<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |    229000 | PA      | $229940.66    | 0.01%             | 2027-12-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| ContiMortgage Home Equity Loan Trust                          | ContiMortgage Home Equity Loan Trust, Series 1995-2, Class A5                             | CUSIP: 21075WBF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16786 | PA      | $17283.24     | 0.00%             | 2030-12-31      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| Reworld Holding Corp.                                         | Reworld Holding Corp.                                                                     | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |   8507000 | PA      | $8184581.30   | 0.20%             | 2029-12-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: —       |
| DB Master Finance LLC                                         | DB Master Finance LLC, Series 2017-1A, Class A2II                                         | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   3204765 | PA      | $3186576.36   | 0.08%             | 2047-11-20      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                                         | DB Master Finance LLC, Series 2021-1A, Class A2I                                          | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   2223360 | PA      | $2181873.21   | 0.05%             | 2051-11-20      | Fixed         | 2.04%                 | Yes           |                  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        |   3550000 | PA      | $3557815.68   | 0.09%             | 2042-11-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| DBC Mortgage Trust                                            | DBC Mortgage Trust, Series 2025-DBC, Class B                                              | CUSIP: 23306HAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5285000 | PA      | $5300710.19   | 0.13%             | 2042-11-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| DataBank Issuer II LLC                                        | DataBank Issuer II LLC, Series 2025-1A, Class A2                                          | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9870000 | PA      | $9741223.15   | 0.23%             | 2055-09-27      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                  | Dell Equipment Finance Trust, Series 2023-3, Class A3                                     | CUSIP: 24702EAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294946 | PA      | $296546.60    | 0.01%             | 2029-04-23      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                         | Dominion Energy, Inc.                                                                     | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   2904000 | PA      | $2919201.86   | 0.07%             | 2056-02-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: —       |
| Driven Brands Funding LLC                                     | Driven Brands Funding LLC, Series 2019-2A, Class A2                                       | CUSIP: 26208LAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5681271 | PA      | $5646428.03   | 0.14%             | 2049-10-20      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Driven Brands Funding LLC                                     | Driven Brands Funding LLC, Series 2020-1A, Class A2                                       | CUSIP: 26209XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3618999 | PA      | $3566658.61   | 0.09%             | 2050-07-20      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Driven Brands Funding LLC                                     | Driven Brands Funding LLC, Series 2020-2A, Class A2                                       | CUSIP: 26209XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11248846 | PA      | $10912434.52  | 0.26%             | 2051-01-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Driven Brands Funding LLC                                     | Driven Brands Funding LLC, Series 2021-1A, Class A2                                       | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9027812 | PA      | $8541199.28   | 0.20%             | 2051-10-20      | Fixed         | 2.79%                 | Yes           |                  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        |   3499000 | PA      | $3622589.58   | 0.09%             | 2042-08-10      | Variable      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| EPR Properties                                                | EPR Properties                                                                            | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |   1641000 | PA      | $1654434.26   | 0.04%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                | EPR Properties                                                                            | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |   4305000 | PA      | $3997098.31   | 0.10%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                | EPR Properties                                                                            | CUSIP: 26884UAH2<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |   4246000 | PA      | $4214496.85   | 0.10%             | 2030-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Edgewell Personal Care Co.                                    | Edgewell Personal Care Co.                                                                | CUSIP: 28035QAB8<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |   5327000 | PA      | $5097342.38   | 0.12%             | 2029-04-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: —       |
| Eldridge CLO Ltd.                                             | Eldridge CLO Ltd., Series 2025-2A, Class D1                                               | CUSIP: 28473AAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3502758.00   | 0.08%             | 2039-01-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ELFI Graduate Loan Program LLC                                | ELFI Graduate Loan Program LLC, Series 2022-A, Class A                                    | CUSIP: 28628CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1063706 | PA      | $1052272.98   | 0.03%             | 2047-08-26      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 32 Ltd.                                           | Elmwood CLO 32 Ltd., Series 2024-8A, Class D1                                             | CUSIP: 29003TAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005846.00   | 0.02%             | 2037-10-18      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| Enact Holdings, Inc.                                          | Enact Holdings, Inc.                                                                      | CUSIP: 29249EAA7<br>LEI: 9845003CA5664B741N19 | Long             | DBT              | CORP              | US        |  10122000 | PA      | $10608254.81  | 0.25%             | 2029-05-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Essent Group Ltd.                                             | Essent Group Ltd.                                                                         | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |   1968000 | PA      | $2055490.88   | 0.05%             | 2029-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FMC Issuer Trust-FMSR                                         | FMC Issuer Trust-FMSR, Series 2024-FT1, Class A                                           | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2810000 | PA      | $2834064.28   | 0.07%             | 2029-09-25      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                                   | Extended Stay America Trust, Series 2025-ESH, Class D                                     | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16320000 | PA      | $16462995.84  | 0.39%             | 2042-10-15      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                          | FREMF Mortgage Trust, Series 2016-KF21, Class B                                           | CUSIP: 30289XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44850 | PA      | $2533.92      | 0.00%             | 2026-07-25      | Floating      | 9.37%                 | Yes           |                  2 | On Loan: No      |
| FS Commercial Mortgage Trust                                  | FS Commercial Mortgage Trust, Series 2023-4SZN, Class A                                   | CUSIP: 30334RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775000 | PA      | $1807766.50   | 0.04%             | 2039-11-10      | Fixed         | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Falcon Aerospace Ltd.                                         | Falcon Aerospace Ltd., Series 2019-1, Class A                                             | CUSIP: 30610GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1427422 | PA      | $1420602.50   | 0.03%             | 2039-09-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31286DBX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8405 | PA      | $8680.18      | 0.00%             | 2037-01-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31286DBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7756 | PA      | $8060.04      | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31286DF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15433 | PA      | $16049.65     | 0.00%             | 2037-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31286DFX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13055 | PA      | $13572.74     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31286DKJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7668 | PA      | $7926.87      | 0.00%             | 2037-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31286DND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1091 | PA      | $1096.98      | 0.00%             | 2037-08-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31286DNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21258 | PA      | $22120.66     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31286DPP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8296 | PA      | $8580.60      | 0.00%             | 2037-08-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, 30 Year                                                                  | CUSIP: 3128KVBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       707 | PA      | $744.23       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, 30 Year                                                                  | CUSIP: 3128M6PC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1426 | PA      | $1502.93      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, 30 Year                                                                  | CUSIP: 31293UBZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        67 | PA      | $67.40        | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12357484 | PA      | $12558841.43  | 0.30%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18236068 | PA      | $18533212.77  | 0.44%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13056656 | PA      | $13047223.36  | 0.31%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29959812 | PA      | $30410538.05  | 0.73%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22595742 | PA      | $22928618.87  | 0.55%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  52072143 | PA      | $52855534.62  | 1.26%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17849174 | PA      | $18112125.81  | 0.43%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8734869 | PA      | $8863549.37   | 0.21%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31335Y5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5746 | PA      | $5935.31      | 0.00%             | 2038-02-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Gold Pool, Other                                                                    | CUSIP: 31335Y6E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15414 | PA      | $15949.79     | 0.00%             | 2038-01-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 1997-57, Class PV                                                     | CUSIP: 31359QJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4219 | PA      | $143.19       | 0.00%             | 2027-09-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Strips, Series 305, Class 5                                                         | CUSIP: 31364JK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3421 | PA      | $222.69       | 0.00%             | 2029-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Strips, Series 305, Class 6                                                         | CUSIP: 31364JL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4644 | PA      | $297.84       | 0.00%             | 2029-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Strips, Series 305, Class 7                                                         | CUSIP: 31364JL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3513 | PA      | $238.97       | 0.00%             | 2029-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Strips, Series 305, Class 8                                                         | CUSIP: 31364JL43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5319 | PA      | $345.10       | 0.00%             | 2029-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Strips, Series 305, Class 9                                                         | CUSIP: 31364JL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5523 | PA      | $383.33       | 0.00%             | 2029-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Strips, Series 305, Class 10                                                        | CUSIP: 31364JL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7481 | PA      | $461.16       | 0.00%             | 2029-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Strips, Series 305, Class 11                                                        | CUSIP: 31364JL76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8949 | PA      | $598.31       | 0.00%             | 2029-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2024-63, Class FH                                                     | CUSIP: 3136BSQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8302107 | PA      | $8343835.48   | 0.20%             | 2054-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2024-79, Class FA                                                     | CUSIP: 3136BTLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6647809 | PA      | $6652944.71   | 0.16%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2024-84, Class JF                                                     | CUSIP: 3136BTUE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5493709 | PA      | $5536255.65   | 0.13%             | 2054-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2025-18, Class WF                                                     | CUSIP: 3136BVMZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11054445 | PA      | $11107187.86  | 0.27%             | 2054-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2025-31, Class FB                                                     | CUSIP: 3136BVYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8349263 | PA      | $8377803.16   | 0.20%             | 2054-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2025-63, Class FA                                                     | CUSIP: 3136BWXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16332755 | PA      | $16394128.58  | 0.39%             | 2055-08-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2025-75, Class FA                                                     | CUSIP: 3136BXHG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9024410 | PA      | $9043609.59   | 0.22%             | 2055-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2025-109, Class FC                                                    | CUSIP: 3136BYEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14088489 | PA      | $14095536.77  | 0.34%             | 2054-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371GRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1345 | PA      | $1397.36      | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371GTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1873 | PA      | $1946.59      | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371GZ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       523 | PA      | $543.14       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371HHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       847 | PA      | $879.94       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371HLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1554 | PA      | $1615.04      | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371HNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       313 | PA      | $325.44       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2685 | PA      | $2790.60      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371HVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2986 | PA      | $3103.26      | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371J7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $45.60        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2528 | PA      | $2634.98      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31371KP70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2185 | PA      | $2286.35      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31374SY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $64.57        | 0.00%             | 2028-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31374T2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1487 | PA      | $1545.56      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31374TG78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3068 | PA      | $3187.84      | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31374TJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       891 | PA      | $926.35       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31374TNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       759 | PA      | $788.32       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31374TTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       925 | PA      | $960.95       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31374TV48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       456 | PA      | $473.45       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2524 | PA      | $2622.63      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31378YKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       123 | PA      | $127.41       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31379FP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       790 | PA      | $821.46       | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31379JSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1846 | PA      | $1918.70      | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31379SBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $554.65       | 0.00%             | 2028-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31379UGY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       921 | PA      | $956.99       | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 4265, Class ST                                                       | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275724 | PA      | $21808.04     | 0.00%             | 2043-11-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, Multifamily Structured Pass-Through Certificates, Series K122, Class X3            | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4091469 | PA      | $430579.00    | 0.01%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, Multifamily Structured Pass-Through Certificates, Series K125, Class X3            | CUSIP: 3137F9ZB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9522157 | PA      | $1060539.25   | 0.03%             | 2049-02-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, Multifamily Structured Pass-Through Certificates, Series K114, Class X3            | CUSIP: 3137FVNK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5484002 | PA      | $553153.15    | 0.01%             | 2048-08-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, Multifamily Structured Pass-Through Certificates, Series K126, Class X3            | CUSIP: 3137FXYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17200000 | PA      | $1956285.83   | 0.05%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, Multifamily Structured Pass-Through Certificates, Series K1522, Class X3           | CUSIP: 3137H4RJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $1009896.58   | 0.02%             | 2036-11-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, Multifamily Structured Pass-Through Certificates, Series K144, Class X3            | CUSIP: 3137H7MC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11220034 | PA      | $1861027.77   | 0.04%             | 2032-05-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5400, Class FB                                                       | CUSIP: 3137HC3J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9817368 | PA      | $9861976.32   | 0.24%             | 2054-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5397, Class AF                                                       | CUSIP: 3137HCEA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9126855 | PA      | $9159485.10   | 0.22%             | 2054-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5397, Class FE                                                       | CUSIP: 3137HCFS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9850320 | PA      | $9935657.66   | 0.24%             | 2054-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5443, Class FA                                                       | CUSIP: 3137HDXH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5712772 | PA      | $5749323.20   | 0.14%             | 2054-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5438, Class FE                                                       | CUSIP: 3137HFDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4345054 | PA      | $4370626.13   | 0.10%             | 2054-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5460, Class FA                                                       | CUSIP: 3137HFS63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17648296 | PA      | $17713135.42  | 0.42%             | 2054-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5461, Class FA                                                       | CUSIP: 3137HFW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15224667 | PA      | $15257627.79  | 0.37%             | 2054-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5483, Class FB                                                       | CUSIP: 3137HHNE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3697752 | PA      | $3721673.43   | 0.09%             | 2054-12-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5499, Class FN                                                       | CUSIP: 3137HJX36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3878998 | PA      | $3870423.07   | 0.09%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5499, Class FQ                                                       | CUSIP: 3137HJX44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12897421 | PA      | $12963760.98  | 0.31%             | 2055-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5527, Class FA                                                       | CUSIP: 3137HKWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7102860 | PA      | $7088981.92   | 0.17%             | 2055-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 5556, Class FA                                                       | CUSIP: 3137HMBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4042118 | PA      | $4054445.66   | 0.10%             | 2055-07-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31380BA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       213 | PA      | $221.75       | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31380HVX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       393 | PA      | $408.11       | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31380MFU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       948 | PA      | $985.55       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31380PJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       261 | PA      | $270.79       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31381FW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.06         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382GAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       160 | PA      | $166.26       | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382M2C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3157 | PA      | $3280.87      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382QXY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       895 | PA      | $929.79       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382SYR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       217 | PA      | $225.46       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382UMR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181 | PA      | $188.39       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382W5R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       381 | PA      | $396.00       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382WUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       224 | PA      | $233.16       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382X5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       468 | PA      | $486.11       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31382YSQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3858 | PA      | $4009.35      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31383CT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       675 | PA      | $701.11       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31383EAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1080 | PA      | $1135.83      | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31383H2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1035 | PA      | $1075.95      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31383H6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2570 | PA      | $2670.59      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31383HYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4363 | PA      | $4588.26      | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384ACL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31 | PA      | $31.77        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384V2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       122 | PA      | $127.11       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384V2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       951 | PA      | $988.11       | 0.00%             | 2030-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384V3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       193 | PA      | $200.36       | 0.00%             | 2030-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384V4M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4238 | PA      | $4404.58      | 0.00%             | 2030-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384VTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       165 | PA      | $171.95       | 0.00%             | 2030-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384VUZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       865 | PA      | $898.72       | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384VX56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181 | PA      | $187.59       | 0.00%             | 2030-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384VZB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       727 | PA      | $756.03       | 0.00%             | 2030-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31384WM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       713 | PA      | $741.07       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31385H7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       733 | PA      | $764.88       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31385HNZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1924 | PA      | $2023.25      | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31385HQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1000 | PA      | $1039.09      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31385HQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       687 | PA      | $713.58       | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31385JQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65 | PA      | $67.26        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31385WX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       559 | PA      | $585.11       | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31385XJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1812 | PA      | $1891.80      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31386GHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3779 | PA      | $3927.01      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31386TFG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       252 | PA      | $262.40       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387BZ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       713 | PA      | $740.49       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387CSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       440 | PA      | $457.14       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387EV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       628 | PA      | $652.44       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387FJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1425 | PA      | $1487.37      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387GW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1845 | PA      | $1926.88      | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387H3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3298 | PA      | $3432.54      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387KDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11914 | PA      | $12414.35     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387QU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1199 | PA      | $1260.56      | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31387VU80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1993 | PA      | $2071.48      | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31388CY38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1124 | PA      | $1171.13      | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31388FFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       187 | PA      | $195.29       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31388J3B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4220 | PA      | $4401.74      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31388PL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108 | PA      | $111.97       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31389CQY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1231 | PA      | $1278.78      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31389FF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       252 | PA      | $261.96       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31389GSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1170 | PA      | $1238.57      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31389HXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3460 | PA      | $3596.21      | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31389L6F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       458 | PA      | $485.56       | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31389S6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1713 | PA      | $1780.60      | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31389TWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       835 | PA      | $873.74       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390ABQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1188 | PA      | $1243.59      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390C5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1719 | PA      | $1808.29      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390CR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       760 | PA      | $794.60       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390PT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3102 | PA      | $3258.24      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390Q6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5708 | PA      | $5985.54      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390QGN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       512 | PA      | $532.72       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390TJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1381 | PA      | $1439.08      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390TK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2258 | PA      | $2372.19      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390TW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       552 | PA      | $585.97       | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390UQD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       936 | PA      | $984.83       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31390UYK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $130.55       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391ASF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4488 | PA      | $4723.76      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391B6M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1341 | PA      | $1401.85      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391BWM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6812 | PA      | $7164.58      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391CQK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       138 | PA      | $144.75       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391DLL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       364 | PA      | $366.20       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391G3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7861 | PA      | $8279.52      | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391K2E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        93 | PA      | $97.92        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391PJC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       580 | PA      | $607.62       | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391PK21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10136 | PA      | $10657.43     | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31391YW37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2132 | PA      | $2224.51      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2003-71, Class TA                                                     | CUSIP: 31393EJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49333 | PA      | $51835.59     | 0.00%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31400C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4507 | PA      | $4750.38      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31400WPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6387 | PA      | $6738.11      | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31400Y4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9346 | PA      | $9864.66      | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31402C4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       272 | PA      | $284.09       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31402CQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       601 | PA      | $624.48       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31402CY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       465 | PA      | $485.57       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31402KY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4366 | PA      | $4591.11      | 0.00%             | 2033-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31403HAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2033 | PA      | $2112.88      | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31403MRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       851 | PA      | $888.94       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31403RFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9834 | PA      | $10444.47     | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 3140QUMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2776750 | PA      | $2821995.78   | 0.07%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 3140QUZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3769993 | PA      | $3829066.44   | 0.09%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 3140QVDM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4117697 | PA      | $4182218.71   | 0.10%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10054736 | PA      | $10206002.90  | 0.24%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 3140Y7DY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12591902 | PA      | $12812818.79  | 0.31%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, 30 Year                                                                             | CUSIP: 31411NJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14644 | PA      | $15209.86     | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17227675 | PA      | $17215228.76  | 0.41%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12404996 | PA      | $12396033.88  | 0.30%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60825029 | PA      | $61740102.11  | 1.48%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39635267 | PA      | $40219168.21  | 0.96%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22272880 | PA      | $22601000.51  | 0.54%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2865621 | PA      | $2907837.40   | 0.07%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15849012 | PA      | $16082496.79  | 0.38%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41291351 | PA      | $42398440.35  | 1.01%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                             | CUSIP: 31418FQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43038144 | PA      | $44202155.33  | 1.06%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS Pool, 30 Year                                                                        | CUSIP: 3142J6BT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26379112 | PA      | $26767724.86  | 0.64%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ferrellgas LP                                                 | Ferrellgas LP                                                                             | CUSIP: 315289AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5076000 | PA      | $4881734.07   | 0.12%             | 2029-04-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                                   | FIGRE Trust, Series 2025-HE5, Class A                                                     | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2538469 | PA      | $2549570.54   | 0.06%             | 2055-08-25      | Variable      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                                   | FIGRE Trust, Series 2025-FL1, Class A1                                                    | CUSIP: 31684QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10265952 | PA      | $10346573.56  | 0.25%             | 2055-07-25      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                                   | FIGRE Trust, Series 2025-FL2, Class A1                                                    | CUSIP: 31684TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5579138 | PA      | $5595323.08   | 0.13%             | 2055-11-25      | Variable      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                   | First Quantum Minerals Ltd.                                                               | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |   7117000 | PA      | $7609475.05   | 0.18%             | 2033-03-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: —       |
| FirstKey Homes Trust                                          | FirstKey Homes Trust, Series 2021-SFR2, Class G                                           | CUSIP: 33767TAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $976970.80    | 0.02%             | 2038-09-17      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                          | FirstKey Homes Trust, Series 2021-SFR3, Class G                                           | CUSIP: 33768JAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $971397.10    | 0.02%             | 2038-12-17      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| FOCUS Brands Funding LLC                                      | FOCUS Brands Funding LLC, Series 2017-1A, Class A2II                                      | CUSIP: 34417MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9356790 | PA      | $9343023.35   | 0.22%             | 2047-04-30      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Focus Financial Partners LLC                                  | Focus Financial Partners LLC                                                              | CUSIP: 34417VAA5<br>LEI: 5493007L0E0VKRC2CP39 | Long             | DBT              | CORP              | US        |   5792000 | PA      | $5958222.35   | 0.14%             | 2031-09-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: —       |
| Fontainebleau Miami Beach Mortgage Trust                      | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class F                       | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4945000 | PA      | $4989104.46   | 0.12%             | 2039-12-15      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Co.                                                | Ford Motor Co.                                                                            | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   4494000 | PA      | $3961882.81   | 0.09%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                     | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   9447000 | PA      | $10143226.05  | 0.24%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: —       |
| Ford Motor Credit Co. LLC                                     | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    250839 | PA      | $252925.48    | 0.01%             | 2029-09-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FortiFi                                                       | FortiFi, Series 2023-1A, Class A                                                          | CUSIP: 34964YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2320522 | PA      | $2319427.74   | 0.06%             | 2059-09-20      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Fortrea Holdings, Inc.                                        | Fortrea Holdings, Inc.                                                                    | CUSIP: 34965KAA5<br>LEI: 5493000FIVFABOVCDU97 | Long             | DBT              | CORP              | US        |   1151000 | PA      | $1177882.76   | 0.03%             | 2030-07-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Fortitude Group Holdings LLC                                  | Fortitude Group Holdings LLC                                                              | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |   3346000 | PA      | $3487686.07   | 0.08%             | 2030-04-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: —       |
| Foundry JV Holdco LLC                                         | Foundry JV Holdco LLC                                                                     | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   9416000 | PA      | $9854739.27   | 0.24%             | 2036-01-25      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                     | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-2, Class M                         | CUSIP: 35563P4H9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    714633 | PA      | $692799.44    | 0.02%             | 2060-11-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                     | FHLMC Seasoned Credit Risk Transfer Trust, Series 2016-1, Class MT                        | CUSIP: 35563PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    799211 | PA      | $704026.04    | 0.02%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                     | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class HT                        | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    570210 | PA      | $496155.71    | 0.01%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                     | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class HT                        | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    784660 | PA      | $681297.75    | 0.02%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                     | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M                         | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938064 | PA      | $922319.51    | 0.02%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                     | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M                         | CUSIP: 35563PPH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2655240 | PA      | $2564489.02   | 0.06%             | 2059-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC STACR Trust, Series 2021-HQA3, Class B2                                             | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   2940000 | PA      | $3034501.60   | 0.07%             | 2041-09-25      | Floating      | 10.12%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B2                                       | CUSIP: 35564KNE5<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   8365000 | PA      | $8810525.76   | 0.21%             | 2041-11-25      | Floating      | 11.67%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class B2                                       | CUSIP: 35564KSQ3<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   4695000 | PA      | $5040800.84   | 0.12%             | 2042-02-25      | Floating      | 12.37%                | Yes           |                  2 | On Loan: No      |
| GCI Funding I LLC                                             | GCI Funding I LLC, Series 2020-1, Class A                                                 | CUSIP: 36166VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    467640 | PA      | $449041.75    | 0.01%             | 2045-10-18      | Fixed         | 2.82%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Other                                                                            | CUSIP: 36179USL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83785 | PA      | $81650.98     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Other                                                                            | CUSIP: 36179UVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38620 | PA      | $37636.17     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                           | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13089 | PA      | $13080.87     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                           | CUSIP: 3617JKEK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21961 | PA      | $21731.19     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                           | CUSIP: 3617JUST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128795 | PA      | $122308.04    | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                          | Ally Financial, Inc.                                                                      | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   3217000 | PA      | $3656122.11   | 0.09%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                           | CUSIP: 36194TQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87659 | PA      | $81125.98     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                           | CUSIP: 3620ARRB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202548 | PA      | $192980.89    | 0.00%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA I, 30 Year                                                                           | CUSIP: 3622A2VP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115992 | PA      | $123000.29    | 0.00%             | 2040-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GWT                                                           | GWT, Series 2024-WLF2, Class A                                                            | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6338000 | PA      | $6363420.45   | 0.15%             | 2041-05-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Trust, Series 2015-GC34, Class XA                                  | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    395792 | PA      | $3.96         | 0.00%             | 2048-10-10      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Trust, Series 2014-GC24, Class XA                                  | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292954 | PA      | $2.93         | 0.00%             | 2047-09-10      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GSJP Trust                                                    | GSJP Trust, Series 2025-BEDS, Class A                                                     | CUSIP: 362946AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4789000 | PA      | $4798299.28   | 0.11%             | 2042-12-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Galaxy 31 CLO Ltd.                                            | Galaxy 31 CLO Ltd., Series 2023-31A, Class DR                                             | CUSIP: 36320HAS8<br>LEI: 549300XTB6S9P2VMDV60 | Long             | ABS-CBDO         | CORP              | KY        |   2350000 | PA      | $2353760.00   | 0.06%             | 2038-07-15      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Gilead Aviation LLC                                           | Gilead Aviation LLC, Series 2025-1A, Class A                                              | CUSIP: 37556TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4544068 | PA      | $4621444.53   | 0.11%             | 2050-03-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Global Atlantic Fin Co.                                       | Global Atlantic Fin Co.                                                                   | CUSIP: 37959GAF4<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |   9552000 | PA      | $9766891.15   | 0.23%             | 2054-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Global Atlantic Fin Co.                                       | Global Atlantic Fin Co.                                                                   | CUSIP: 37959GAG2<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |   2013000 | PA      | $2089616.79   | 0.05%             | 2054-10-15      | Variable      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Global Medical Response, Inc.                                 | Global Medical Response, Inc.                                                             | CUSIP: 37960BAD7<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |   7519000 | PA      | $7830127.50   | 0.19%             | 2032-10-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Goddard Funding LLC                                           | Goddard Funding LLC, Series 2024-1A, Class A2                                             | CUSIP: 380241AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1493910 | PA      | $1532333.66   | 0.04%             | 2054-10-30      | Fixed         | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Golub Capital Partners ABS Funding Ltd.                       | Golub Capital Partners ABS Funding Ltd., Series 2020-1A, Class A2                         | CUSIP: 38177UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    996992 | PA      | $994752.03    | 0.02%             | 2029-01-22      | Fixed         | 3.21%                 | Yes           |                  2 | On Loan: No      |
| Golub Capital Partners ABS Funding Ltd.                       | Golub Capital Partners ABS Funding Ltd., Series 2021-1A, Class A2                         | CUSIP: 38178HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    524234 | PA      | $522163.25    | 0.01%             | 2029-04-20      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                               | Goodgreen Trust, Series 2020-1A, Class C                                                  | CUSIP: 38217TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275221 | PA      | $992324.05    | 0.02%             | 2055-04-15      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                               | Goodgreen Trust, Series 2021-1A, Class C                                                  | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1808335 | PA      | $1322239.72   | 0.03%             | 2056-10-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2011-19, Class IM                                                            | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54875 | PA      | $10642.57     | 0.00%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2023-116, Class DF                                                           | CUSIP: 38384EDX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8674257 | PA      | $8714863.56   | 0.21%             | 2053-08-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2024-30, Class LF                                                            | CUSIP: 38384JNF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5158207 | PA      | $5170876.13   | 0.12%             | 2054-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2024-131, Class FE                                                           | CUSIP: 38384U7A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6791368 | PA      | $6793362.63   | 0.16%             | 2054-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2024-146, Class FE                                                           | CUSIP: 38384W3E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4484663 | PA      | $4502528.25   | 0.11%             | 2064-09-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2024-197, Class GF                                                           | CUSIP: 38385BAP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4745308 | PA      | $4761606.89   | 0.11%             | 2054-12-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2025-170, Class KF                                                           | CUSIP: 38385HN37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15298825 | PA      | $15372633.27  | 0.37%             | 2055-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2025-188, Class FH                                                           | CUSIP: 38385JRV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8323757 | PA      | $8331154.58   | 0.20%             | 2054-08-20      | Floating      | 4.92%                 | 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        |   1370000 | PA      | $1373622.28   | 0.03%             | 2039-03-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                                              | Great Wolf Trust, Series 2024-WOLF, Class D                                               | CUSIP: 39152MAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3222011.84   | 0.08%             | 2039-03-15      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust                                | HLTN Commercial Mortgage Trust, Series 2024-DPLO, Class A                                 | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3164100 | PA      | $3173929.59   | 0.08%             | 2041-06-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust                                | HLTN Commercial Mortgage Trust, Series 2024-DPLO, Class C                                 | CUSIP: 40424UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232394 | PA      | $233618.90    | 0.01%             | 2041-06-15      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| HA Sustainable Infrastructure Capital, Inc.                   | HA Sustainable Infrastructure Capital, Inc.                                               | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |  18075000 | PA      | $18420926.76  | 0.44%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| HA Sustainable Infrastructure Capital, Inc.                   | HA Sustainable Infrastructure Capital, Inc.                                               | CUSIP: 41068XAG5<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |   7283000 | PA      | $7629525.14   | 0.18%             | 2056-06-01      | Variable      | 8.00%                 | No            |                  2 | On Loan: —       |
| Harvest US CLO Ltd.                                           | Harvest US CLO Ltd., Series 2024-2A, Class D1                                             | CUSIP: 41756YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1505622.00   | 0.04%             | 2037-10-15      | Floating      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| HAT Holdings I LLC                                            | HAT Holdings I LLC                                                                        | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2742000 | PA      | $2541993.86   | 0.06%             | 2030-09-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Hawaii Hotel Trust                                            | Hawaii Hotel Trust, Series 2025-MAUI, Class A                                             | CUSIP: 419909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3045000 | PA      | $3051737.98   | 0.07%             | 2042-03-15      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak OP LLC                                             | Healthpeak OP LLC                                                                         | CUSIP: 42250GAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |   4770000 | PA      | $4745810.90   | 0.11%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Horizon Aircraft Finance IV Ltd.                              | Horizon Aircraft Finance IV Ltd., Series 2024-1, Class A                                  | CUSIP: 43990EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4293750 | PA      | $4346067.63   | 0.10%             | 2049-09-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                   | Hudson Yards Mortgage Trust, Series 2025-SPRL, Class D                                    | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1925000 | PA      | $2004834.56   | 0.05%             | 2040-01-13      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| HYT Commercial Mortgage Trust                                 | HYT Commercial Mortgage Trust, Series 2024-RGCY, Class A                                  | CUSIP: 449173AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10790000 | PA      | $10826294.32  | 0.26%             | 2041-09-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| HYT Commercial Mortgage Trust                                 | HYT Commercial Mortgage Trust, Series 2024-RGCY, Class B                                  | CUSIP: 449173AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289000 | PA      | $290082.74    | 0.01%             | 2041-09-15      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Intact Financial Corp.                                        | Intact Financial Corp.                                                                    | CUSIP: 45823TAL0<br>LEI: 5493009LXGE7Y4U9OY43 | Long             | DBT              | CORP              | CA        |   4019000 | PA      | $4159268.81   | 0.10%             | 2032-09-22      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                           | Intesa Sanpaolo SpA                                                                       | CUSIP: 46115HBS5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   2225000 | PA      | $1899301.94   | 0.05%             | 2042-06-01      | Variable      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                           | Intesa Sanpaolo SpA                                                                       | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |  17727000 | PA      | $20940852.45  | 0.50%             | 2033-11-21      | Variable      | 8.25%                 | Yes           |                  2 | On Loan: —       |
| INTOWN Mortgage Trust                                         | INTOWN Mortgage Trust, Series 2025-STAY, Class C                                          | CUSIP: 46117WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3061000 | PA      | $3071029.06   | 0.07%             | 2042-03-15      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                         | INTOWN Mortgage Trust, Series 2025-STAY, Class D                                          | CUSIP: 46117WAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5357000 | PA      | $5383676.79   | 0.13%             | 2042-03-15      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                                | Chase Auto Credit Linked Notes, Series 2025-1, Class B                                    | CUSIP: 46591HCS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2930323 | PA      | $2954125.00   | 0.07%             | 2033-02-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                    | J.P. Morgan Mortgage Trust, Series 2007-A4, Class 2A3                                     | CUSIP: 46631JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40589 | PA      | $31946.26     | 0.00%             | 2037-06-25      | Variable      | 4.83%                 | 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        |   4347074 | PA      | $11262.40     | 0.00%             | 2046-04-15      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust        | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class XA         | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3303409 | PA      | $8808.54      | 0.00%             | 2049-12-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                          | JPMorgan Chase & Co.                                                                      | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9669000 | PA      | $10090030.32  | 0.24%             | 2030-04-22      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                          | JPMorgan Chase & Co.                                                                      | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6601000 | PA      | $6824020.53   | 0.16%             | 2031-01-24      | Variable      | 5.14%                 | No            |                  2 | On Loan: —       |
| JOL Air Ltd.                                                  | JOL Air Ltd., Series 2019-1, Class B                                                      | CUSIP: 46651NAB0<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |    136876 | PA      | $136355.62    | 0.00%             | 2044-04-15      | Fixed         | 4.95%                 | Yes           |                  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        |   7500000 | PA      | $7520910.00   | 0.18%             | 2039-06-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                                  | JW Commercial Mortgage Trust, Series 2024-MRCO, Class B                                   | CUSIP: 46657XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $888217.51    | 0.02%             | 2039-06-15      | Floating      | 5.69%                 | Yes           |                  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        |   4608000 | PA      | $4630221.62   | 0.11%             | 2039-06-15      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                               | Jefferies Financial Group, Inc.                                                           | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |  13168000 | PA      | $13903703.93  | 0.33%             | 2034-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: —       |
| Jersey Mike's Funding LLC                                     | Jersey Mike's Funding LLC, Series 2019-1A, Class A2                                       | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1888365 | PA      | $1889515.39   | 0.05%             | 2050-02-15      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Jersey Mike's Funding                                         | Jersey Mike's Funding, Series 2021-1A, Class A2I                                          | CUSIP: 476681AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12755750 | PA      | $12579366.04  | 0.30%             | 2052-02-15      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 48 Ltd.                                               | KKR CLO 48 Ltd., Series 48A, Class D1R                                                    | CUSIP: 48256EAW9<br>LEI: 549300GM4MA615ZG7468 | Long             | ABS-CBDO         | CORP              | JE        |   3000000 | PA      | $3011004.00   | 0.07%             | 2038-10-20      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                          | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                                          | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3290000 | PA      | $3306641.48   | 0.08%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                            | LPL Holdings, Inc.                                                                        | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   5900000 | PA      | $5804373.33   | 0.14%             | 2029-03-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                            | LPL Holdings, Inc.                                                                        | CUSIP: 50212YAF1<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   5149000 | PA      | $5016358.93   | 0.12%             | 2031-05-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: —       |
| LPL Holdings, Inc.                                            | LPL Holdings, Inc.                                                                        | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   3967000 | PA      | $4085771.15   | 0.10%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| LYB International Finance III LLC                             | LYB International Finance III LLC                                                         | CUSIP: 50249AAQ6<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |   4868000 | PA      | $4888782.56   | 0.12%             | 2031-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Las Vegas Sands Corp.                                         | Las Vegas Sands Corp.                                                                     | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |  14242000 | PA      | $14944878.45  | 0.36%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                 | Lendbuzz Securitization Trust, Series 2025-2A, Class B                                    | CUSIP: 52611JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2940000 | PA      | $2959980.83   | 0.07%             | 2030-11-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                 | Lendbuzz Securitization Trust, Series 2025-2A, Class C                                    | CUSIP: 52611JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4545000 | PA      | $4426419.13   | 0.11%             | 2031-04-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                                    | Liberty Mutual Group, Inc.                                                                | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   9200000 | PA      | $9073517.66   | 0.22%             | 2051-12-15      | Variable      | 4.12%                 | Yes           |                  2 | On Loan: No      |
| LifePoint Health, Inc.                                        | LifePoint Health, Inc.                                                                    | CUSIP: 53219LAV1<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |   5548000 | PA      | $5980427.76   | 0.14%             | 2030-08-15      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| loanDepot GMSR Trust                                          | loanDepot GMSR Trust, Series 2025-GT1, Class A                                            | CUSIP: 53946TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6401000 | PA      | $6416596.68   | 0.15%             | 2030-05-16      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                       | Loanpal Solar Loan Ltd., Series 2021-1GS, Class A                                         | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    788302 | PA      | $666875.88    | 0.02%             | 2048-01-20      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| loanDepot GMSR Trust                                          | loanDepot GMSR Trust, Series 2025-FT1, Class A                                            | CUSIP: 53949HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7740000 | PA      | $7755286.73   | 0.19%             | 2030-12-19      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| Lunar Aircraft Ltd.                                           | Lunar Aircraft Ltd., Series 2020-1A, Class A                                              | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217966 | PA      | $214528.49    | 0.01%             | 2045-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| MF1X                                                          | MF1X, Series 2021-W10, Class E                                                            | CUSIP: 55284DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4350000 | PA      | $4356004.74   | 0.10%             | 2034-12-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| MF1X                                                          | MF1X, Series 2021-W10, Class F                                                            | CUSIP: 55284DAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1500000 | PA      | $1501387.20   | 0.04%             | 2034-12-15      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| MMP Capital LLC                                               | MMP Capital LLC, Series 2025-A, Class B                                                   | CUSIP: 55317QAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3105000 | PA      | $3173793.45   | 0.08%             | 2031-12-15      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| MACH 1 Cayman Ltd.                                            | MACH 1 Cayman Ltd., Series 2019-1, Class A                                                | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    188099 | PA      | $186534.40    | 0.00%             | 2039-10-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding LV Ltd.                                  | Madison Park Funding LV Ltd., Series 2022-55A, Class D1R                                  | CUSIP: 55819FAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1508568.00   | 0.04%             | 2037-07-18      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXII Ltd.                                           | Magnetite XXII Ltd., Series 2019-22A, Class DRR                                           | CUSIP: 55954HBC5<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502994.00   | 0.04%             | 2036-07-15      | Floating      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXII Ltd.                                           | Magnetite XXII Ltd., Series 2019-22A, Class DJ                                            | CUSIP: 55954HBE1<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500944.50    | 0.01%             | 2036-07-15      | Floating      | 8.05%                 | Yes           |                  2 | On Loan: No      |
| Marex Group plc                                               | Marex Group plc                                                                           | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |   8281000 | PA      | $8591834.13   | 0.21%             | 2029-11-04      | Fixed         | 6.40%                 | No            |                  2 | On Loan: —       |
| Marlette Funding Trust                                        | Marlette Funding Trust, Series 2025-1A, Class C                                           | CUSIP: 570920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3504000 | PA      | $3533852.33   | 0.08%             | 2035-07-16      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Marsh & McLennan Cos., Inc.                                   | Marsh & McLennan Cos., Inc.                                                               | CUSIP: 571748CC4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   2015000 | PA      | $2041973.60   | 0.05%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Masterbrand, Inc.                                             | Masterbrand, Inc.                                                                         | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |   7442000 | PA      | $7719065.66   | 0.18%             | 2032-07-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: —       |
| McGraw-Hill Education, Inc.                                   | McGraw-Hill Education, Inc.                                                               | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |   6257000 | PA      | $6293434.51   | 0.15%             | 2028-08-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| McGraw-Hill Education, Inc.                                   | McGraw-Hill Education, Inc.                                                               | CUSIP: 58064LAA2<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |    389000 | PA      | $410714.76    | 0.01%             | 2031-09-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: —       |
| MidOcean Credit CLO XV Ltd.                                   | MidOcean Credit CLO XV Ltd., Series 2024-15A, Class D                                     | CUSIP: 59801FAJ2<br>LEI: 254900R5AXF91DYP1Y16 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2005940.00   | 0.05%             | 2037-07-21      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                      | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        | 145941273 | NS      | $145941273.10 | 3.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Vance Ultra-Short Income ETF                            | Eaton Vance Ultra-Short Income ETF                                                        | CUSIP: 61774R700<br>LEI: 254900V7QBF5XYWO0K24 | Long             |  | RF                | US        |     27000 | NS      | $1373760.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Vance High Yield ETF                                    | Eaton Vance High Yield ETF                                                                | CUSIP: 61774R809<br>LEI: 25490092F7UI2XO21N32 | Long             |  | RF                | US        |      9300 | NS      | $492930.69    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Eaton Vance Short Duration Income ETF                         | Eaton Vance Short Duration Income ETF                                                     | CUSIP: 61774R825<br>LEI: 254900H1WCGW58VEGZ62 | Long             |  | RF                | US        |    235000 | NS      | $12089269.50  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Vance Floating-Rate ETF                                 | Eaton Vance Floating-Rate ETF                                                             | CUSIP: 61774R833<br>LEI: 254900BDISIY9SGE8S56 | Long             |  | RF                | US        |    569577 | NS      | $28178341.17  | 0.67%             |  |  |  | No            |                  1 | On Loan: —       |
| Mosaic Solar Loan Trust                                       | Mosaic Solar Loan Trust, Series 2019-2A, Class B                                          | CUSIP: 61945LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4266044 | PA      | $3830551.90   | 0.09%             | 2040-09-20      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                       | Mosaic Solar Loan Trust, Series 2020-1A, Class A                                          | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351571 | PA      | $311930.79    | 0.01%             | 2046-04-20      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| NMI Holdings, Inc.                                            | NMI Holdings, Inc.                                                                        | CUSIP: 629209AC1<br>LEI: 529900KNNGFXJX1C3Z08 | Long             | DBT              | CORP              | US        |   3840000 | PA      | $3981043.20   | 0.10%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| BF Mortgage Trust                                             | BF Mortgage Trust, Series 2019-NYT, Class A                                               | CUSIP: 62954PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4222000 | PA      | $4203214.21   | 0.10%             | 2035-12-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BF Mortgage Trust                                             | BF Mortgage Trust, Series 2019-NYT, Class C                                               | CUSIP: 62954PAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2409482.75   | 0.06%             | 2035-12-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| NYCT Trust                                                    | NYCT Trust, Series 2024-3ELV, Class A                                                     | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5919078 | PA      | $5945536.28   | 0.14%             | 2029-08-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                                           | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                                            | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2159412 | PA      | $2199805.27   | 0.05%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                  | Natixis Commercial Mortgage Securities Trust, Series 2018-ALXA, Class E                   | CUSIP: 63874GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $695410.16    | 0.02%             | 2043-01-15      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Navigator Aviation Ltd.                                       | Navigator Aviation Ltd., Series 2024-1, Class A                                           | CUSIP: 63943DAA7<br>LEI: 984500UF8C3O89B30652 | Long             | ABS-O            | CORP              | KY        |   1856571 | PA      | $1867734.66   | 0.04%             | 2049-08-15      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Navigator Aviation Ltd.                                       | Navigator Aviation Ltd., Series 2025-1, Class A                                           | CUSIP: 63943GAA0<br>LEI: 984500AWDV89795F0342 | Long             | ABS-O            | CORP              | KY        |   4554051 | PA      | $4519197.63   | 0.11%             | 2050-10-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Neighborly Issuer LLC                                         | Neighborly Issuer LLC, Series 2021-1A, Class A2                                           | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4722475 | PA      | $4537701.55   | 0.11%             | 2051-04-30      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Neighborly Issuer                                             | Neighborly Issuer, Series 2023-1A, Class A2                                               | CUSIP: 64016NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10887138 | PA      | $11045763.09  | 0.26%             | 2053-01-30      | Fixed         | 7.31%                 | Yes           |                  2 | On Loan: No      |
| NESCO Holdings II, Inc.                                       | NESCO Holdings II, Inc.                                                                   | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |   7975000 | PA      | $7862207.18   | 0.19%             | 2029-04-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: —       |
| New Flyer Holdings, Inc.                                      | New Flyer Holdings, Inc.                                                                  | CUSIP: 64438WAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7208000 | PA      | $7783861.54   | 0.19%             | 2030-07-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| New Mountain CLO 7 Ltd.                                       | New Mountain CLO 7 Ltd., Series CLO-7A, Class D2                                          | CUSIP: 64754YAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2006594.00   | 0.05%             | 2038-03-31      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| New Mountain CLO 3 Ltd.                                       | New Mountain CLO 3 Ltd., Series CLO-3A, Class D1R                                         | CUSIP: 647550AY8<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3013338.00   | 0.07%             | 2038-10-20      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                                     | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                                      | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5937298 | PA      | $6062678.51   | 0.15%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                              | Newtek Small Business Loan Trust, Series 2023-1, Class A                                  | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    611468 | PA      | $617580.03    | 0.01%             | 2050-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| NJ                                                            | NJ, Series 2025-WBRK, Class C                                                             | CUSIP: 65486BAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3110000 | PA      | $3151522.23   | 0.08%             | 2035-03-05      | Variable      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| NJ                                                            | NJ, Series 2025-WBRK, Class D                                                             | CUSIP: 65486BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3403333.36   | 0.08%             | 2035-03-05      | Variable      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Nuveen LLC                                                    | Nuveen LLC                                                                                | CUSIP: 67080LAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3681000 | PA      | $3873004.13   | 0.09%             | 2034-04-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| ORL Trust                                                     | ORL Trust, Series 2024-GLKS, Class A                                                      | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3847000 | PA      | $3857910.09   | 0.09%             | 2039-12-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| ORL Trust                                                     | ORL Trust, Series 2024-GLKS, Class B                                                      | CUSIP: 67120DAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6260000 | PA      | $6283667.18   | 0.15%             | 2039-12-15      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| ORL Trust                                                     | ORL Trust, Series 2024-GLKS, Class D                                                      | CUSIP: 67120DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1367000 | PA      | $1374370.59   | 0.03%             | 2039-12-15      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                 | NYC Commercial Mortgage Trust, Series 2025-3BP, Class D                                   | CUSIP: 67120UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6795000 | PA      | $6791311.67   | 0.16%             | 2042-02-15      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                 | NYC Commercial Mortgage Trust, Series 2025-3BP, Class E                                   | CUSIP: 67120UAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5655000 | PA      | $5680965.50   | 0.14%             | 2042-02-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                              | Oaktree CLO Ltd., Series 2019-4A, Class D2RR                                              | CUSIP: 67402CBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004349.00   | 0.02%             | 2037-07-20      | Floating      | 8.58%                 | Yes           |                  2 | On Loan: No      |
| Oaktree Strategic Credit Fund                                 | Oaktree Strategic Credit Fund                                                             | CUSIP: 67403AAF6<br>LEI: 2549006RRE0JC7G43241 | Long             | DBT              | CORP              | US        |   9787000 | PA      | $9854705.10   | 0.24%             | 2030-07-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                  | Olympic Tower Mortgage Trust, Series 2017-OT, Class A                                     | CUSIP: 68162MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2795917.26   | 0.07%             | 2039-05-10      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                              | OneMain Financial Issuance Trust, Series 2019-2A, Class C                                 | CUSIP: 68269BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3305000 | PA      | $3213450.84   | 0.08%             | 2036-10-14      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                        | Oportun Issuance Trust, Series 2021-B, Class B                                            | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1256452 | PA      | $1235421.25   | 0.03%             | 2031-05-08      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Trust                                         | Oportun Funding Trust, Series 2024-3, Class B                                             | CUSIP: 68377NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $1022168.21   | 0.02%             | 2029-08-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                        | Oportun Issuance Trust, Series 2025-A, Class B                                            | CUSIP: 68377TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1515000 | PA      | $1514813.20   | 0.04%             | 2033-02-08      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                        | Oportun Issuance Trust, Series 2025-A, Class C                                            | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6476000 | PA      | $6465392.96   | 0.15%             | 2033-02-08      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                        | Oportun Issuance Trust, Series 2021-C, Class A                                            | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700597 | PA      | $689198.25    | 0.02%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                        | Oportun Issuance Trust, Series 2025-C, Class B                                            | CUSIP: 68378RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5235000 | PA      | $5245717.09   | 0.13%             | 2033-07-08      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                        | Oportun Issuance Trust, Series 2025-C, Class C                                            | CUSIP: 68378RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4775000 | PA      | $4777792.42   | 0.11%             | 2033-07-08      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                  | Oracle Corp.                                                                              | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  12139000 | PA      | $7569870.32   | 0.18%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                  | Oracle Corp.                                                                              | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4806000 | PA      | $3165217.13   | 0.08%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                  | Oracle Corp.                                                                              | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4507000 | PA      | $3978146.28   | 0.10%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Orion CLO Ltd.                                                | Orion CLO Ltd., Series 2023-1A, Class D1R                                                 | CUSIP: 68626CAS3<br>LEI: 2138006D8Y42BDBTP628 | Long             | ABS-CBDO         | CORP              | JE        |   3500000 | PA      | $3509625.00   | 0.08%             | 2038-10-25      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Oscar US Funding XVI LLC                                      | Oscar US Funding XVI LLC, Series 2024-1A, Class A2                                        | CUSIP: 68784GAB9<br>LEI: 3538004TGTV49T7RNL88 | Long             | ABS-O            | CORP              | JP        |    103303 | PA      | $103457.74    | 0.00%             | 2027-02-10      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Blue Owl Credit Income Corp.                                  | Blue Owl Credit Income Corp.                                                              | CUSIP: 69120VAZ4<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   1194000 | PA      | $1231272.51   | 0.03%             | 2031-03-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                      | PNC Financial Services Group, Inc. (The)                                                  | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1601000 | PA      | $1812696.28   | 0.04%             | 2034-10-20      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                      | PNC Financial Services Group, Inc. (The)                                                  | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   4573000 | PA      | $4770719.87   | 0.11%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                       | PNMAC GMSR Issuer Trust, Series 2025-GT1, Class A                                         | CUSIP: 69354WAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4985000 | PA      | $5007382.15   | 0.12%             | 2030-08-26      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                           | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-43571.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                | PENN Commercial Mortgage Trust, Series 2025-P11, Class B                                  | CUSIP: 69382VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2926000 | PA      | $3018825.59   | 0.07%             | 2042-08-10      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                                    | PRM5 Trust, Series 2025-PRM5, Class D                                                     | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1151842.65   | 0.03%             | 2033-03-10      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                           | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $80938.42     | 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      | $58.54        | 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      | $-108824.85   | -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      | $159945.88    | 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      | $79299.63     | 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      | $-498837.65   | -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      | $9229.31      | 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      | $-135332.29   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Panther Escrow Issuer LLC                                     | Panther Escrow Issuer LLC                                                                 | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8373000 | PA      | $8681779.66   | 0.21%             | 2031-06-01      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: —       |
| N/A                                                           | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-47305.18    | -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      | $-7237.16     | -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      | $-29.87       | -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      | $-80670.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petrobras Global Finance BV                                   | Petrobras Global Finance BV                                                               | CUSIP: 71647NBK4<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |   1911000 | PA      | $1971626.48   | 0.05%             | 2033-07-03      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PetSmart LLC                                                  | PetSmart LLC                                                                              | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7317000 | PA      | $7455213.74   | 0.18%             | 2032-09-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: —       |
| Planet Fitness Master Issuer LLC                              | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2                                | CUSIP: 72703PAC7<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    244400 | PA      | $234471.10    | 0.01%             | 2049-12-05      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                              | Planet Fitness Master Issuer LLC, Series 2024-1A, Class A2I                               | CUSIP: 72703PAF0<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   7240350 | PA      | $7364898.50   | 0.18%             | 2054-06-05      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| PRMI Securitization Trust                                     | PRMI Securitization Trust, Series 2025-CMG1, Class A1                                     | CUSIP: 74291CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14270000 | PA      | $14251125.07  | 0.34%             | 2055-12-25      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                              | Provident Funding Mortgage Trust, Series 2025-3, Class A3                                 | CUSIP: 74388PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4278439 | PA      | $4340692.61   | 0.10%             | 2055-08-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Qorvo, Inc.                                                   | Qorvo, Inc.                                                                               | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |   4349000 | PA      | $4037759.47   | 0.10%             | 2031-04-01      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                           | Rocket Mortgage LLC                                                                       | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1834000 | PA      | $1772768.79   | 0.04%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: —       |
| Rocket Mortgage LLC                                           | Rocket Mortgage LLC                                                                       | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8463000 | PA      | $8042725.73   | 0.19%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                                    | RCKT Trust, Series 2025-1A, Class C                                                       | CUSIP: 74939RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2585000 | PA      | $2598285.61   | 0.06%             | 2034-07-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                                 | Radian Mortgage Capital Trust, Series 2025-J3, Class A16                                  | CUSIP: 75024RAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2699946 | PA      | $2737261.63   | 0.07%             | 2055-12-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                       | Raizen Fuels Finance SA                                                                   | CUSIP: 75102XAB2<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |   2193000 | PA      | $1790061.56   | 0.04%             | 2034-03-05      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                       | Raizen Fuels Finance SA                                                                   | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |   4309000 | PA      | $3299899.98   | 0.08%             | 2035-01-17      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Raymond James Financial, Inc.                                 | Raymond James Financial, Inc.                                                             | CUSIP: 754730AJ8<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |   8431000 | PA      | $8386009.06   | 0.20%             | 2035-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Raymond James Financial, Inc.                                 | Raymond James Financial, Inc.                                                             | CUSIP: 754730AK5<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |   7486000 | PA      | $7333024.71   | 0.18%             | 2055-09-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| ReadyCap Lending Small Business Loan Trust                    | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                        | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49192 | PA      | $49159.19     | 0.00%             | 2044-12-27      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust                      | Research-Driven Pagaya Motor Asset Trust, Series 2025-1A, Class B                         | CUSIP: 76089YAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4311255.68   | 0.10%             | 2033-06-27      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Trust                            | Research-Driven Pagaya Motor Trust, Series 2025-6A, Class A3                              | CUSIP: 76100JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7850000 | PA      | $7866598.04   | 0.19%             | 2034-08-25      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                      | Retained Vantage Data Centers Issuer LLC, Series 2023-1A, Class A2A                       | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |    213000 | PA      | $212552.61    | 0.01%             | 2048-09-15      | Fixed         | 5.00%                 | Yes           |                  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        |  11370000 | PA      | $11284213.35  | 0.27%             | 2050-08-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                             | Rocket Cos., Inc.                                                                         | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5303000 | PA      | $5535637.31   | 0.13%             | 2033-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: —       |
| Royal Bank of Canada                                          | Royal Bank of Canada                                                                      | CUSIP: 78017DAH1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   4676000 | PA      | $4783699.88   | 0.11%             | 2031-05-02      | Variable      | 4.97%                 | No            |                  2 | On Loan: —       |
| Royal Bank of Canada                                          | Royal Bank of Canada                                                                      | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   2801000 | PA      | $2838244.42   | 0.07%             | 2031-08-06      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                          | Royal Bank of Canada                                                                      | CUSIP: 78017DAQ1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   8823000 | PA      | $8784098.16   | 0.21%             | 2031-11-03      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                  | Royal Caribbean Cruises Ltd.                                                              | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   9513000 | PA      | $9556439.97   | 0.23%             | 2036-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Royalty Pharma plc                                            | Royalty Pharma plc                                                                        | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   3661000 | PA      | $3682574.60   | 0.09%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| SG Commercial Mortgage Securities Trust                       | SG Commercial Mortgage Securities Trust, Series 2020-COVE, Class E                        | CUSIP: 78397FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1759812.30   | 0.04%             | 2037-03-15      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| SHR Trust                                                     | SHR Trust, Series 2024-LXRY, Class A                                                      | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3475000 | PA      | $3487841.52   | 0.08%             | 2041-10-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                              | SLG Office Trust, Series 2021-OVA, Class X                                                | CUSIP: 78449RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34800000 | PA      | $395181.84    | 0.01%             | 2041-07-15      | Variable      | 0.26%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                    | STAR Trust, Series 2021-SFR2, Class F                                                     | CUSIP: 78474LAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1551776 | PA      | $1554421.29   | 0.04%             | 2039-01-17      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                    | STAR Trust, Series 2022-SFR3, Class F                                                     | CUSIP: 78474PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    988230 | PA      | $993474.41    | 0.02%             | 2039-05-17      | Floating      | 8.24%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                       | Saluda Grade Alternative Mortgage Trust, Series 2025-LOC5, Class A1A                      | CUSIP: 79581XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16001933 | PA      | $16041873.69  | 0.38%             | 2055-10-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                               | Santander UK Group Holdings plc                                                           | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   8434000 | PA      | $8381096.30   | 0.20%             | 2028-11-03      | Variable      | 3.82%                 | No            |                  2 | On Loan: —       |
| SDR Commercial Mortgage Trust                                 | SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A                                  | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1193000 | PA      | $1192824.75   | 0.03%             | 2039-05-15      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                     | Seagate Data Storage Technology Pte. Ltd.                                                 | CUSIP: 81180LAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |   6770500 | PA      | $7690145.61   | 0.18%             | 2032-12-01      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Seaspan Corp.                                                 | Seaspan Corp.                                                                             | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |   6104000 | PA      | $5802111.11   | 0.14%             | 2029-08-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Service Experts Issuer LLC                                    | Service Experts Issuer LLC, Series 2025-1A, Class A                                       | CUSIP: 81758JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4479699 | PA      | $4488570.46   | 0.11%             | 2037-01-20      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| ServiceMaster Funding LLC                                     | ServiceMaster Funding LLC, Series 2020-1, Class A2I                                       | CUSIP: 81761TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16179808 | PA      | $15410133.12  | 0.37%             | 2051-01-30      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| ServiceMaster Funding LLC                                     | ServiceMaster Funding LLC, Series 2021-1, Class A2I                                       | CUSIP: 81761TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6671809 | PA      | $6262013.40   | 0.15%             | 2051-07-30      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                                     | SERVPRO Master Issuer LLC, Series 2021-1A, Class A2                                       | CUSIP: 817743AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5733820 | PA      | $5428591.56   | 0.13%             | 2051-04-25      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                                     | SERVPRO Master Issuer LLC, Series 2024-1A, Class A2                                       | CUSIP: 817743AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618975 | PA      | $639907.99    | 0.02%             | 2054-01-25      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                                     | SERVPRO Master Issuer LLC, Series 2025-1A, Class A2                                       | CUSIP: 817743AL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10030000 | PA      | $10013069.36  | 0.24%             | 2055-10-25      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Silver Point CLO 12 Ltd.                                      | Silver Point CLO 12 Ltd., Series 2025-12A, Class D1                                       | CUSIP: 82809MAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1707134.90   | 0.04%             | 2038-10-15      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Sixth Street CLO XV Ltd.                                      | Sixth Street CLO XV Ltd., Series 2020-15A, Class D1R                                      | CUSIP: 83012BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $756714.75    | 0.02%             | 2037-10-24      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Sixth Street CLO XX Ltd.                                      | Sixth Street CLO XX Ltd., Series 2021-20A, Class D1R                                      | CUSIP: 83012QAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2259315.00   | 0.05%             | 2038-07-17      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                         | Delta Air Lines, Inc.                                                                     | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  18877318 | PA      | $18995107.37  | 0.45%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                           | Societe Generale SA                                                                       | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6507000 | PA      | $6879203.46   | 0.16%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: —       |
| SoFi Consumer Loan Program Trust                              | SoFi Consumer Loan Program Trust, Series 2025-2, Class C                                  | CUSIP: 83407HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5169000 | PA      | $5221069.40   | 0.12%             | 2034-06-25      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Smyrna Ready Mix Concrete LLC                                 | Smyrna Ready Mix Concrete LLC                                                             | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |   8571000 | PA      | $8617214.83   | 0.21%             | 2028-11-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: —       |
| STAR Trust                                                    | STAR Trust, Series 2024-SFR4, Class D                                                     | CUSIP: 85520AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3095000 | PA      | $3118086.22   | 0.07%             | 2041-10-17      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                    | STAR Trust, Series 2025-SFR5, Class A                                                     | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7030721 | PA      | $7042062.21   | 0.17%             | 2042-02-17      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                    | STAR Trust, Series 2025-SFR5, Class C                                                     | CUSIP: 85520CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2753000 | PA      | $2756908.71   | 0.07%             | 2042-02-17      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                    | STAR Trust, Series 2025-SFR5, Class D                                                     | CUSIP: 85520CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1670000 | PA      | $1672188.70   | 0.04%             | 2042-02-17      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                    | STAR Trust, Series 2025-SFR6, Class B                                                     | CUSIP: 85520EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5179000 | PA      | $5185463.91   | 0.12%             | 2042-08-17      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                    | STAR Trust, Series 2025-SFR6, Class C                                                     | CUSIP: 85520EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1207400.76   | 0.03%             | 2042-08-17      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                    | STAR Trust, Series 2021-SFR1, Class G                                                     | CUSIP: 85521DAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $799636.16    | 0.02%             | 2038-04-17      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Start Ltd.                                                    | Start Ltd., Series 2018-1, Class A                                                        | CUSIP: 85572RAA7<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | ABS-O            | CORP              | BM        |   1122865 | PA      | $1124775.64   | 0.03%             | 2043-05-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Start II Ltd.                                                 | Start II Ltd., Series 2019-1, Class A                                                     | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   1210669 | PA      | $1207873.88   | 0.03%             | 2044-03-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                                   | Stellantis Finance US, Inc.                                                               | CUSIP: 85855CAL4<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |  11584000 | PA      | $12047693.97  | 0.29%             | 2035-03-18      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: —       |
| Stellantis Financial Services US Corp.                        | Stellantis Financial Services US Corp.                                                    | CUSIP: 85855FAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5616000 | PA      | $5705966.86   | 0.14%             | 2030-09-15      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Subway Funding LLC                                            | Subway Funding LLC, Series 2024-3A, Class A2I                                             | CUSIP: 864300AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5565246 | PA      | $5555423.18   | 0.13%             | 2054-07-30      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Subway Funding LLC                                            | Subway Funding LLC, Series 2024-3A, Class A2II                                            | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5443020 | PA      | $5409954.20   | 0.13%             | 2054-07-30      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Sunbird Engine Finance LLC                                    | Sunbird Engine Finance LLC, Series 2020-1A, Class A                                       | CUSIP: 86709LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    386817 | PA      | $382746.38    | 0.01%             | 2045-02-15      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                                     | Sunoco LP                                                                                 | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   8085000 | PA      | $8311703.48   | 0.20%             | 2030-09-18      | Variable      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Synovus Financial Corp.                                       | Synovus Financial Corp.                                                                   | CUSIP: 87161CAP0<br>LEI: 549300EIUS8UN5JTLE54 | Long             | DBT              | CORP              | US        |  12906000 | PA      | $13416787.86  | 0.32%             | 2030-11-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: —       |
| TD SYNNEX Corp.                                               | TD SYNNEX Corp.                                                                           | CUSIP: 87162WAN0<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |   9739000 | PA      | $9648100.46   | 0.23%             | 2035-10-10      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| TYSN Mortgage Trust                                           | TYSN Mortgage Trust, Series 2023-CRNR, Class A                                            | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127000 | PA      | $1187336.42   | 0.03%             | 2033-12-10      | Variable      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                         | Taco Bell Funding LLC, Series 2021-1A, Class A2I                                          | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630950 | PA      | $1589806.68   | 0.04%             | 2051-08-25      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| TELUS Corp.                                                   | TELUS Corp.                                                                               | CUSIP: 87971MCQ4<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |   9761000 | PA      | $9781342.80   | 0.23%             | 2056-06-09      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| TerraForm Power Operating LLC                                 | TerraForm Power Operating LLC                                                             | CUSIP: 88104LAE3<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |   2026000 | PA      | $2025224.24   | 0.05%             | 2028-01-31      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| TerraForm Power Operating LLC                                 | TerraForm Power Operating LLC                                                             | CUSIP: 88104LAG8<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |   4842000 | PA      | $4722551.73   | 0.11%             | 2030-01-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                    | Cloud Software Group, Inc.                                                                | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |   8578000 | PA      | $8695929.66   | 0.21%             | 2029-03-31      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                   | Toronto-Dominion Bank (The)                                                               | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  10220000 | PA      | $10217054.60  | 0.24%             | 2035-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: —       |
| Toronto-Dominion Bank (The)                                   | Toronto-Dominion Bank (The)                                                               | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  13641000 | PA      | $14395740.43  | 0.34%             | 2082-10-31      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Toucan FinCo Ltd.                                             | Toucan FinCo Ltd.                                                                         | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7564000 | PA      | $7560494.09   | 0.18%             | 2030-05-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: —       |
| Towd Point Mortgage Trust                                     | Towd Point Mortgage Trust, Series 2025-HE2, Class A1A                                     | CUSIP: 89183PAA4<br>LEI: 254900HCCXAYNB40M417 | Long             | ABS-O            | CORP              | US        |   5638758 | PA      | $5652833.77   | 0.14%             | 2065-09-25      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                                      | Tricon Residential Trust, Series 2025-SFR1, Class B                                       | CUSIP: 895974AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1801952.28   | 0.04%             | 2042-03-17      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked Notes                          | Truist Bank Auto Credit-Linked Notes, Series 2025-1, Class B                              | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5464289 | PA      | $5475942.26   | 0.13%             | 2033-09-26      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| TX Trust                                                      | TX Trust, Series 2024-HOU, Class A                                                        | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3356251.10   | 0.08%             | 2039-06-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| TX Trust                                                      | TX Trust, Series 2024-HOU, Class D                                                        | CUSIP: 90216DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2415935.52   | 0.06%             | 2039-06-15      | Floating      | 6.99%                 | Yes           |                  2 | On Loan: No      |
| UWM Holdings LLC                                              | UWM Holdings LLC                                                                          | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8992000 | PA      | $8981980.93   | 0.21%             | 2031-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| US Acute Care Solutions LLC                                   | US Acute Care Solutions LLC                                                               | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5706000 | PA      | $5755441.52   | 0.14%             | 2029-05-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| UniCredit SpA                                                 | UniCredit SpA                                                                             | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   5801000 | PA      | $5916513.92   | 0.14%             | 2035-06-30      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Bills                                                                       | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1900000 | PA      | $1888801.51   | 0.05%             | 2026-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Bonds                                                                       | CUSIP: 912810FT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5291000 | PA      | $5463577.55   | 0.13%             | 2036-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| United States of America                                      | U.S. Treasury Bonds                                                                       | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 448020000 | PA      | $344940400.68 | 8.25%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Bonds                                                                       | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50694000 | PA      | $40123509.16  | 0.96%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Bonds                                                                       | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     33000 | PA      | $15807.77     | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Notes                                                                       | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36801000 | PA      | $34310463.62  | 0.82%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Notes                                                                       | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 122387000 | PA      | $123460276.47 | 2.95%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Notes                                                                       | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 313389000 | PA      | $318273462.15 | 7.62%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Notes                                                                       | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 151523000 | PA      | $152730448.91 | 3.66%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                      | U.S. Treasury Notes                                                                       | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 167805000 | PA      | $169233963.61 | 4.05%             | 2035-05-15      | Fixed         | 4.25%                 | 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        |   9839426 | PA      | $9923374.12   | 0.24%             | 2047-01-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Virgin Media Vendor Financing Notes IV DAC                    | Virgin Media Vendor Financing Notes IV DAC                                                | CUSIP: 92770QAA5<br>LEI: 635400ZZNJSEA4CAJR23 | Long             | DBT              | CORP              | IE        |   4111000 | PA      | $4036244.75   | 0.10%             | 2028-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: —       |
| Vistra Operations Co. LLC                                     | Vistra Operations Co. LLC                                                                 | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   9579000 | PA      | $9893976.68   | 0.24%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| VoltaGrid LLC                                                 | VoltaGrid LLC                                                                             | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |   9051000 | PA      | $8971629.43   | 0.21%             | 2030-11-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: —       |
| Voyager Parent LLC                                            | Voyager Parent LLC                                                                        | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |   7391000 | PA      | $7847253.82   | 0.19%             | 2032-07-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: —       |
| Wand NewCo 3, Inc.                                            | Wand NewCo 3, Inc.                                                                        | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |   7271000 | PA      | $7698752.93   | 0.18%             | 2032-01-30      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                         | Wells Fargo Commercial Mortgage Trust, Series 2025-609M, Class A                          | CUSIP: 95004NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5600000 | PA      | $5613864.48   | 0.13%             | 2042-08-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Wendy's Funding LLC                                           | Wendy's Funding LLC, Series 2018-1A, Class A2II                                           | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1839451 | PA      | $1810135.77   | 0.04%             | 2048-03-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Westpac Banking Corp.                                         | Westpac Banking Corp.                                                                     | CUSIP: 961214EX7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   7870000 | PA      | $7109975.61   | 0.17%             | 2036-11-18      | Variable      | 3.02%                 | No            |                  2 | On Loan: —       |
| Willis Engine Structured Trust VIII                           | Willis Engine Structured Trust VIII, Series 2025-A, Class A                               | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5682547 | PA      | $5782440.34   | 0.14%             | 2050-06-15      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Willis North America, Inc.                                    | Willis North America, Inc.                                                                | CUSIP: 970648AQ4<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   4223000 | PA      | $4225007.61   | 0.10%             | 2036-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Willis Engine Structured Trust VII                            | Willis Engine Structured Trust VII, Series 2023-A, Class A                                | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404783 | PA      | $416339.43    | 0.01%             | 2048-10-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| XPLR Infrastructure Operating Partners LP                     | XPLR Infrastructure Operating Partners LP                                                 | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |   1441000 | PA      | $1515119.28   | 0.04%             | 2031-01-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: —       |
| XPLR Infrastructure Operating Partners LP                     | XPLR Infrastructure Operating Partners LP                                                 | CUSIP: 98380MAB1<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |   6878000 | PA      | $7240465.79   | 0.17%             | 2033-03-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Zegona Finance plc                                            | Zegona Finance plc                                                                        | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |   9350000 | PA      | $9945800.70   | 0.24%             | 2029-07-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Romania                                                       | Romania Government Bond                                                                   | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |   6357000 | PA      | $6750683.81   | 0.16%             | 2034-02-07      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Romania                                                       | Romanian Government Bond                                                                  | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    273000 | PA      | $261637.27    | 0.01%             | 2033-04-14      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                          | Jyske Realkredit A/S, Series CCE                                                          | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   5966000 | PA      | $900165.59    | 0.02%             | 2056-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                        | Realkredit Danmark A/S, Series 23S                                                        | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  49609166 | PA      | $7489054.92   | 0.18%             | 2056-10-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Romania                                                       | Romanian Government Bond                                                                  | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |   3607000 | PA      | $3456870.41   | 0.08%             | 2033-04-14      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                          | Nordea Kredit Realkreditaktieselskab, Series CC.2                                         | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |  14312804 | PA      | $2187495.67   | 0.05%             | 2053-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                       | Nykredit Realkredit A/S, Series 01e                                                       | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        | 121327481 | PA      | $18570846.42  | 0.44%             | 2053-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Romania                                                       | Romania Government Bond                                                                   | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    439000 | PA      | $466186.91    | 0.01%             | 2034-02-07      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                          | Nordea Kredit Realkreditaktieselskab                                                      | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |  48559960 | PA      | $7342095.74   | 0.18%             | 2056-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                       | Nykredit Realkredit A/S, Series 01E                                                       | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  27431506 | PA      | $4149990.38   | 0.10%             | 2056-10-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 5 Year Notes                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      4745 | NC      | $-510341.27   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                      | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  43779371 | NS      | $43779371.00  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Vantage Data Centers Germany Borrower Lux SARL                | Vantage Data Centers Germany Borrower Lux SARL, Series 2025-1A, Class A2                  | CUSIP: N/A<br>LEI: 2549008VW14T3IH21H24       | Long             | ABS-MBS          | CORP              | LU        |   5327000 | PA      | $6330086.37   | 0.15%             | 2050-06-28      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Caister Finance DAC                                           | Caister Finance DAC, Series 1A, Class B                                                   | CUSIP: N/A<br>LEI: 635400IBLLJ9RCTGJN46       | Long             | ABS-MBS          | CORP              | IE        |   6495000 | PA      | $8827662.50   | 0.21%             | 2035-08-17      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 2 Year Notes                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -2286 | NC      | $18878.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | U.S. Treasury 10 Year Notes                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       882 | NC      | $240925.41    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | U.S. Treasury Long Bonds                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         8 | NC      | $-1930.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | U.S. Treasury 10 Year Ultra Bonds                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1570 | NC      | $-1240932.36  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | U.S. Treasury Ultra Bonds                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -216 | NC      | $580214.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

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

**Signature:** Francis J. Smith

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

**Title:** Principal Financial Officer